A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME-Reference-Cited by-同舟云学术

A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME

Published:2000-07 Issue:03 Volume:03 Page:467-472
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

IORI GIULIA¹

Affiliation:

1. Department of Mathematics, King's College, London, Strand, London WC2R 2LS, UK

Abstract

We propose a model with heterogeneous interacting traders which can explain the observed cross-correlation between stock return volatility and trading volume. Transaction costs are introduced which, by responding to price movements, create a feedback mechanism on future trading and generates volatility clustering.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024900000413

Reference7 articles.

1. Scaling behaviour in the dynamics of an economic index

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