The purpose of this paper is to provide a non-technical exposition of the main conclusions of the theory of Rational … Belief Equilibrium (RBE) for market volatility. It is argued that the theory of Rational Belief Equilibria (RBE) provides a … uncertainty is propagated within the economy (hence "endogenous") by the beliefs of the agents who trade assets. The theory of RBE …

by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold … structure of market expectations. To make the case for this theory we present a single RBE model, which builds on developments … mean and standard deviation of the price\dividend ratio; (ii) the long term mean and standard deviation of the risky rate …

We model the interactions between the trading activities of a large investor, the stock price and the market liquidity … that is associated with a stop loss order. The derivative matures when the asset price falls below a stop loss limit for … the first time and then pays the price difference between the asset price immediately before and after the execution of …

implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. …In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for … financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change …

stock market crashes. Moreover, based on a general characterization of the pricing kernel, we propose analytical asset price …

stock price series. …