Bookstaber, R. M ., and Pomerant z, S . "An Info rmation-Based Model o f Market Volatility." Financial Analysts Journal, Vol. 45 No.6 (November-December 1989), pp. 37-46.  Home/Search   Document Not in Database   Summary   Related Articles

....independentmarkets theory. The resultsshow an information transfer in volatility between the futures instruments such that the dominant market theory is valid for a large number of cases. I. Introduction Volatility is an important measure of the flow of information. Models by Ross (1989) and Bookstaberand Pomerantz(1989) show that the information vola tility relationship is more i mportant than the information price change relationship. In addition, option prices, portfolio insurance strategies, and other financial models are directly related to volatility, while the direction of information flow and market ....

....as a factor in information transfer. The choice of three minute intervals for this study is based on the belief that information is transmitted quickly. 7 See the following for discussions of information theory and informed trader models: Admati (1991) Admati and Pfleiderer (1988 89) Bookstaber and Pomerantz (1989), French and Roll (1986) Kyle (1985) and Ross (1989) 8 An example of a dominant market is shown by Blume, MacKinlay and Terker (1989) who found that the S P 500 stocks fell 7 more than non S P 500 stocks on October 19, 1987. They attributed the difference to order imbalances. Another ....

Bookstaber, R. M ., and Pomerant z, S . "An Info rmation-Based Model o f Market Volatility." Financial Analysts Journal, Vol. 45 No.6 (November-December 1989), pp. 37-46.

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