This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the … trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if … theparameters describing the investment opportunity set follow diffusion processes,the trading volume also follows under general …

feedback effect of prices on future order volume, namely dynamic hedging. Using order book and transaction data from the Swiss … actual order volume in the underlying stock market. We are able to show that the popular belief that options trading has a …

the impact of agents heterogeneity on the dynamics of the equilibrium quantities and measures of trading volume. In this …, leads to non trivial trading volume in equilibrium. Our main result comes in form of a non-informational no trade theorem … which provides necessary and suffcient conditions for zero trading volume in a dynamically effcient, continuous time Lucas …

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and …, it is shown in this paper that when market belief is more volatile,trading volume and liquidity decline while price …

, liquidity premium, andtrading volume. We identify these quantities as the limits of their isoelastic counterparts forhigh levels …

investment policy, its impliedwelfare, liquidity premium, and trading volume. At the first order, the liquidity premiumequals the …

proposed. Weights are derived from external variables thatconvey additional information about the true DGP, like trading volume …