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A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions

Iori, Giulia - EconWPA - 2000

We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model, synchronization effects, which generate large fluctuations in returns, can arise purely from communication and imitation among traders. The key element in...

Persistent link: https://www.econbiz.de/10005413173

Surprise Volume and Heteroskedasticity in Equity Market Returns

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume---i.e. unexpected above-average trading activity---which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and...

Persistent link: https://www.econbiz.de/10005556382

A Double Auction Market with Signals of Varying Precision

Plat, Carl - EconWPA - 2005

A computerized double auction market with human traders is employed to examine the relation of price and volume under conditions of asymmetric information. In this market, the informed traders receive higher precision signals than the uninformed traders. The relation of price and volume has been...

Persistent link: https://www.econbiz.de/10005556681

Trading Frequency and Event Study Test Specification

Cowan, Arnold R.; Sergeant, Anne M.A. - EconWPA - 1996

We examine the effects of thin trading on the specification of event study tests. Simu-lations of upper and lower tail tests are reported with and without variance increases on the event date across levels of trading volume. The traditional standardized test is mis-specified for thinly traded...

Persistent link: https://www.econbiz.de/10005561759

Return-Volume Dependence and Extremes in International Equity Markets

Marsh, Terry A.; Wagner, Niklas - EconWPA - 2004

This paper reconsiders return-volume dependence for the U.S. and six international equity markets. We contribute to previous work by proposing surprise volume as a new proxy for private information flow and apply extreme value theory in studying dependence for large volume and return, i.e. under...

Persistent link: https://www.econbiz.de/10005134862

AN EMPIRICAL STUDY OF RETURN-VOLUME RELATIONSHIP FOR INDIAN MARKET

Tambi, Mahesh Kumar - EconWPA - 2005

Generally there is a common belief that returns and trading activities have a strong positive relationship. This paper analyzes return-volume relationship in Indian context, both in contemporaneous as well as lead- lag. Initial screening of returns and trading activity data shows some...

Persistent link: https://www.econbiz.de/10005134900

New types of non-trade related participation in commodity futures markets

Rutten, Lamon - EconWPA - 2003

involvement of banks. The impact of this new form of "speculation" on the price formation process on commodity futures markets is …

Persistent link: https://www.econbiz.de/10005077040

Macroeconomics of Speculation

Erturk, Korkut - EconWPA - 2005

speculation per se, ignoring asset price bubbles and their macroeconomic effects. That is perhaps because his views were formed … during the era of financial regulation, when speculation “could do no harm as bubbles on a steady stream of enterprise … a whirlpool of speculation” has begun to ring true again. To deepen our understanding of financial fragility under …

Persistent link: https://www.econbiz.de/10005561366

Speculation in Standard Auctions with Resale

Garratt, Rod; Troger, Thomas - EconWPA - 2004

We analyze the role resale creates for zero-value bidders, called speculators, in standard auctions with symmetric independent private values buyers. English/second-price auctions always have equilibria with active resale markets and positive profits for a speculator. In first- price/Dutch...

Persistent link: https://www.econbiz.de/10005561846

Speculation in Second-Price Auctions with Resale

Garratt, Rod; Troger, Thomas - EconWPA - 2003

equilibria that are profitable for a speculator. With no reserve price in the initial auction, speculation can enhance the … initial seller's expected revenue. On the other hand, speculation can harm the initial seller even if she chooses an optimal …

Persistent link: https://www.econbiz.de/10005118641