Dynamics of Volume and Price: A New Approach
This paper investigates the dynamic relationship between stock returns and volume. We develop a new framework in which investors maximize their expected utility by optimally placing limit orders in the market. Since these limit orders differ in prices and quantities, transactions may occur at di erent prices during each trading period, and the instantaneous demand may not equal the instantaneous supply. Multiple trading periods may be necessary for stocks to reach equilibrium. A Mini-Exchange platform has been developed to simulate the trading process of the model. One outcome from the simulation suggests that, during periods of price adjustment, relatively low trading volume predicts a large absolute value change in future price. Our empirical estimates show that a relatively low past trading volume indicates a relatively large price movement in the future, consistent with the prediction of the model.
Li Gan Xiaojin Su Lin Zou
Department of Economics Texas A&M University College Station TX 77843-4228
国际会议
成都
英文
1-24
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）