Dynamic Trading Volume

We derive the process followed by trading volume, in a market with finite depth and constant investment opportunities, where a representative investor, with a long horizon and constant relative risk aversion, trades a safe and a risky asset. Trading volume approximately follows a Gaussian, mean-reverting diffusion, and increases with depth, volatility, and risk aversion. The model generates an endogenous ban on leverage and short-selling

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Year of publication:	2014
Authors:	Guasoni, Paolo
Other Persons:	Weber, Marko (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Handelsvolumen der Börse \| Trading volume \| Wertpapierhandel \| Securities trading \| Dynamisches Gleichgewicht \| Dynamic equilibrium

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Extent:	1 Online-Ressource (36 p)
Series:	Boston U. School of Management Research Paper ; No. 2012-28
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2, 2012 erstellt
Other identifiers:	10.2139/ssrn.2155944 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013065331