Journal ArticleDOI
Trading Volume and Information Revelation in Stock Markets
TLDR
In this article, the authors consider a market microstructure model in which the rates of public and private informa? tion arrival are probabilistic, and the latter depends on the availability of private information that is stochastically changing over time.Abstract:
I consider a market microstructure model in which the rates of public and private informa? tion arrival are probabilistic. The latter depends on the availability of private information that is stochastically changing over time. In equilibrium, traders estimate the availability of private information using past periods' trading volume and use this information to adjust their strategies. The time-series properties include contemporaneous correlation between price variability and volume and autocorrelation in price variability (similar to GARCH). The model explains why trading volume contains useful information for predicting volatil? ity and provides predictions on the limit and market order placement strategies of traders.read more
Citations
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Journal ArticleDOI
Causality in quantiles and dynamic stock return–volume relations
TL;DR: In this paper, the causal relations between stock return and volume based on quantile regressions are investigated, and the causal effects of volume on return are usually heterogeneous across quantiles and those of return on volume are more stable.
Journal ArticleDOI
Review: agent-based economic models and econometrics
TL;DR: This paper reviews the development of agent-based (computational) economics (ACE) from an econometrics viewpoint, focusing only on the literature ofAgent-based computational finance, or, more specifically, the agent- based modeling of financial markets.
Agent-Based Economic Models and Econometrics
陳樹衡,Ye-Rong Du +1 more
TL;DR: This paper reviewed the development of agent-based economics from an econometrics viewpoint and characterized three stages, characterizing the past, the present, and the future of this development.
Journal ArticleDOI
Causes and consequences of short-term institutional herding
Stephanie Kremer,Dieter Nautz +1 more
TL;DR: In this paper, the authors used a comprehensive database of every transaction made by financial institutions in the German stock market, and found that institutions exhibit herding behavior on a daily basis, and that herding intensity depends on stock characteristics including past returns and volatility.
Journal ArticleDOI
Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market
TL;DR: In this article, the authors investigated the herding behavior of institutional and individual investors in the Taiwan stock market and found evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors.
References
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Journal ArticleDOI
ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
Journal ArticleDOI
A subordinated stochastic process model with finite variance for speculative prices
TL;DR: In this article, a general class of finite-variance distributions for price changes is described, and a member of this class, the lognormal-normal, is tested against previously proposed distributions for speculative price differences.
Journal ArticleDOI
The Relation between Price Changes and Trading Volume: A Survey
TL;DR: In this paper, the authors reviewed previous and current research on the relation between price changes and trading volume in financial markets, and made four contributions: two empirical relations are established: volume is positively related to the magnitude of the price change and, in equity markets, to the price changes per se.
Journal ArticleDOI
Differences of Opinion Make a Horse Race
Milton Harris,Artur Raviv +1 more
TL;DR: In this article, a model of trading in speculative markets is developed based on differences of opinion among traders, where traders share common prior beliefs and receive common information but differ in the way in which they interpret this information.
Journal ArticleDOI
Information, trade and common knowledge
Paul Milgrom,Nancy L. Stokey +1 more
TL;DR: In this paper, it was shown that risk-averse traders can still never agree to any non-null trade when they receive private information, and that an equilibrium with fully revealing price changes always exists, and even at other equilibria the information revealed by price changes “swamps” each trader's private information.