Volume and the Nonlinear Dynamics of Stock Returns (Lecture Notes in Economics and Mathematical Systems)

Volume and the Nonlinear Dynamics of Stock Returns (Lecture Notes in Economics and Mathematical Systems)

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Book Description
This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain the main empirical regularities found in high frequency stock data: (i) Time varying volatility. (ii) Positive volume-volatility relation. (iii) Ambiguous volume-persistance relation. Finally, the model is tested using efficient method of moments.

Book Info
About the joint dynamics of stock returns and trading volume. Explains the relation between volume, volatility and persistence of stock returns. Paper.

Volume and the Nonlinear Dynamics of Stock Returns (Lecture Notes in Economics and Mathematical Systems),Chiente Hsu,Springer-Verlag Telos,3540636722,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,Investments & Securities - General,Investments & Securities - Stocks,Mathematical Models,Prices,Return on investment,Stocks

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