Artikel
Trade clustering and power laws in financial markets
This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a two-state model with binary actions, where traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior accordingly. We prove that this leads to power laws for equilibrium volume and returns whenever the number of traders is large and the signals for asset value are sufficiently noisy. We also provide numerical results showing that the model reproduces observed distributions of daily stock volume and returns.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 15 ; Year: 2020 ; Issue: 4 ; Pages: 1365-1398 ; New Haven, CT: The Econometric Society
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Herd behavior
trading volume
stock returns
fat tail
power law
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nirei, Makoto
Stachurski, John
Watanabe, Tsutomu
- Ereignis
-
Veröffentlichung
- (wer)
-
The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2020
- DOI
-
doi:10.3982/TE3523
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Nirei, Makoto
- Stachurski, John
- Watanabe, Tsutomu
- The Econometric Society
Entstanden
- 2020
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