This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility....

This article examines the relationship among intradaily information flows, volatility and volume based on the Mixture of Distribution Hypothesis (MDH). We generalize the MDH model to accommodate both informed and uninformed trading effects on return volatility. Using a Fourier filtering...

In this article we examine the interaction of brokerage search with the Bayesian learning behavior of competitive dealers under asymmetric information. We particularly focus on the effects of price search and discretionary trading on the performance of a dealer market. A search process is...