排序方式: 共有3条查询结果,搜索用时 0 毫秒
1
1.
Volume, volatility, and the dispersion of beliefs 总被引:11,自引:0,他引:11
I examine a two-period noisy rational expectations model ofa futures market and show that the dispersion of expectationsabout a weighted average of future prices measures both theadditional volatility and the additional expected volume oftrade associated with noisy information. The role played bydispersion helps clarify several stylized facts concerning volumeand price behavior. Specifically, dispersion can be a factorcontributing to the positive correlation between volume andabsolute price changes, and the positive correlation betweenconsecutive absolute price changes. 相似文献
2.
3.
1