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The price variability-volume relationship on speculative markets
- Econometrica
, 1983
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Cited by 212 (6 self)
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JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org. The Econometric Society is collaborating with JSTOR to digitize, preserve and extend access to Econometrica.
A Simulation Model of
- IEEE 802.15.4 in OMNeT++,” in 6. GI/ITG KuVS Fachgespr¨ach Drahtlose Sensornetze, Poster Session
, 2007
"... For a better understanding of the performance of slag in concrete, evaluating the feasibility of using one certain type of slag and possible improvement of its use in practice, fundamental knowledge about its reaction and interaction with other constituents is important. While the researches on hydr ..."
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Cited by 88 (10 self)
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For a better understanding of the performance of slag in concrete, evaluating the feasibility of using one certain type of slag and possible improvement of its use in practice, fundamental knowledge about its reaction and interaction with other constituents is important. While the researches on hydrating Portland cement paste is quite abundant, researches on theory of slag cement reaction are rather scarce. At least three difficulties impede the advancement: (a) The lack of knowledge about the chemistry of slag reaction; (b) The complexity involved with respect to the interaction between the two constituents in slag cement (slag and Portland cement); (c) The reactivity of slag in cement. Efforts on clarifying these three factors will be proven valuable when evaluating the reactivity of a slag, predicting the microstructure development and investigating the durability aspects of the concrete made with slag. Microstructural modelling of cement hydration is expected to provide a reliable representation of the real hydration process. It can on the one hand deepen the understanding of the material, and on the other hand extrapolate properties outside the available data. The ultimate goal of microstructural modelling is to predict the
Relationship between Trading Volume and Security
- Prices and Returns, MIT LIDS Technical Report 2638, February 2003 Area Exam
, 2003
"... The relationship between trading volume and securities prices is a complex one which, when understood properly, can lead to many insights in portfolio theory. Over the past forty years, much work has been done trying to understand this relationship. In this document, we will attempt to introduce and ..."
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The relationship between trading volume and securities prices is a complex one which, when understood properly, can lead to many insights in portfolio theory. Over the past forty years, much work has been done trying to understand this relationship. In this document, we will attempt to introduce and discuss some of these papers. First, we introduce basic topics of finance theory, such as the Capital Asset Pricing Model and two-fund separation. With this knowledge, we proceed to discuss how volume and price move together, how unusual volume can be a predictive measure of future price changes, and also how volume can allow us to infer a hedging portfolio. In each case, we present theoretical models which support empirical results. Finally, we analyze some sample price and volume data around the most recent quarter of earnings announcements.
SECURITY CLASSIFICATION O0 THI PG We aa&trd
"... Office of Naval Res':!dxch unaer Contract No. NOOO14-75-C-O346. The views arid conclusions contained in this document are those of the authors arid should niot be interpreted as necessarily represenlting9 the official pclicies, teither expressed or implied, of the Defer.-3e Advance Reseazch Pro ..."
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Office of Naval Res':!dxch unaer Contract No. NOOO14-75-C-O346. The views arid conclusions contained in this document are those of the authors arid should niot be interpreted as necessarily represenlting9 the official pclicies, teither expressed or implied, of the Defer.-3e Advance Reseazch Pro}pcts Aqency or the US Gov-2rment.
Returns and Volume: Between Information and Liquidity
, 2009
"... This paper develops a model for stock trading which takes into account both information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading, and suggest that their respective impacts on returns and traded volume should be modelize ..."
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This paper develops a model for stock trading which takes into account both information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading, and suggest that their respective impacts on returns and traded volume should be modelized differently. Second, we focus on the contemporaneous volatility-volume relationship to model impacts of information and liquidity. We relax the hypothesis of absence of liquidity problems and extend the standard mixture of distribution hypothesis (MDH) framework. This paper develops a modified MDH model which takes into account information and liquidity shocks. Third, we show how to use a structural model to exploit the volume-volatility relation in order to decompose the traded volume for a given stock into two components. Thus, we separate information from liquidity impact on the observed daily volume. This allows us to extract an average intra-day liquidity measure using daily data.
We thank Zexi Wang for research assistance. We are also grateful for comments from seminar
, 2010
"... We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term “liquidity pull-back”, e.g., selling assets in ..."
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We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term “liquidity pull-back”, e.g., selling assets in order to generate liquidity for themselves. By definition, trade in a highly liquid asset involves lower price impact, or transaction costs, on average than an equivalent trade in a less liquid asset. The implication, and our central hypothesis, is thus that increased tightness in the interbank market for liquidity is associated with an increase in the volume of more liquid assets relative to that of less liquid assets. Prices should also fall across the board, but not differentially so across assets with different “liquidity levels. ” We confirm these hypotheses on the CRSP universe of stocks using the three month Libor-OIS and TED spreads as measures of tightness in the interbank market. – All the rivers run into the sea; yet the sea is not full: unto the place from whence the rivers come, thither they return again. Ecclesiastes 1:7 1
unknown title
, 2001
"... motives are not explicitly required. In fact, our simulation results show that the stock ..."
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motives are not explicitly required. In fact, our simulation results show that the stock
