Information dynamics in financial markets

Macroeconomic Dynamics

Volumn 4, Issue 2, 2000, Pages 139-169

  De Fontnouvelle, Patrick ^a  

^a United States Securities and Exchange Commission   (United States)

Author keywords

ARCH; Asymmetric information; Noisy rational expectations; Trading volume

Indexed keywords

EID: 0034414017     PISSN: 13651005     EISSN: None     Source Type: Journal    
DOI: 10.1017/s1365100500015017     Document Type: Article

References (40)

1. Andersen, T. (1996) Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance 51, 169-204.
2. Anderson, S., A. de Palma & J. Thisse (1993) Discrete Choice Theory of Product Differentiation. Cambridge, MA: MIT Press.
3. Antoniewicz, R. (1992) An Empirical Analysis of Stock Returns and Volume. Ph.D. Dissertation, University of Wisconsin at Madison.
4. Aoki, M. (1995) Economic fluctuations with interactive agents: Dynamic and stochastic externalities. Japanese Economic Review 46.
5. Arthur, B. (1995) Complexity in economic and financial markets. Complexity 1, 20-25.
6. Arthur, B., Holland, J., LeBaron, B., R. Palmer & P. Taylor (1997) Asset pricing under endogenous expectations, in an artificial stock market. In B. Arthur, S. Durlauf & D. Lane (eds.), The Economy as an Evolving Complex System: II, pp. 15-44. Reading, MA: Addison-Wesley.
7. Blume, L. (1993) The statistical mechanics of strategic interaction. Games and Economic Behavior 5, 387-426.
8. Bollerslev, T., R. Chou & K. Kroner (1992) ARCH modeling in finance. Journal of Econometrics 52, 5-59.
9. Bollerslev, T., R. Engle & D. Nelson (1993) ARCH models. In R. Engle & D. McFadden (eds.), Handbook of Econometrics, vol. IV, pp. 2959-3038. Amsterdam: North-Holland.
10. Bray, M. (1982) Learning, estimation and the stability of rational expectations equilibria. Journal of Economic Theory 26, 318-339.
11. Bray, M. & N. Savin (1986) Rational expectations equilibria, learning, and model specification. Econometrica 54, 1129-1160.
12. Brock, W. & C. Hommes (1997) A rational route to randomness. Econometrica 65, 1059-1095.
13. Brock, W. & B. LeBaron (1996) A dynamic structural model for stock return volatility and trading volume. Review of Economics and Statistics 78, 94-110.
14. Campbell, J., S. Grossman & J. Wang (1993) Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108, 905-939.
15. Clark, P. (1973) A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41, 135-155.
16. de Fontnouvelle, P. (1996) Stock Returns and Trading Volume: A Structural Explanation of the Empirical Regularities. Working paper, Iowa State University.
17. De Long, J., A. Shleifer, L. Summers & R. Waldmann (1990) Noise trader risk in financial markets. Journal of Political Economy 98, 703-738.
18. Durlauf, S. (1989) Locally Interacting Systems, Coordination Failure, and the Behavior of Aggregate Activity. Working paper, Stanford University.
19. Evans, G. & S. Honkapohja (1999) Learning dynamics. In J. Taylor & M. Woodford (eds.), Handbook of Macroeconomics, vol. 1, Ch. 7, pp. 499-542. Amsterdam: North-Holland.
20. Evans, G. & G. Ramey (1992) Expectation calculation and macroeconomic dynamics. American Economic Review 82, 207-224.
21. Fama, E. (1991) Efficient capital markets: II. Journal of Finance 46, 1575-1618.
22. Follmer, H. (1974) Random economies with many interacting agents. Journal of Mathematical Economics 1, 51-62.
23. Fudenberg, D. & D. Levine (1998) The Theory of Learning in Games. Cambridge, MA: MIT Press.
24. Gallant, A., P. Rossi & G. Tauchen (1992) Stock prices and volume. Review of Financial Studies 5, 199-242.
25. Geweke, J. (1995) The Bayesian Comparison of Econometric Models. Working paper, University of Minnesota.
26. Goeree, J. & C. Hommes (2000) Heterogeneous beliefs and the non-linear cobweb model. Journal of Economic Dynamics and Control 24, 761-798.
27. Grossman, S. & J. Stiglitz (1980) On the impossibility of informationally efficient markets. American Economic Review 70, 393-408.
28. Hellwig, M. (1980) On the aggregation of information in competitive markets. Journal of Economic Theory 22, 477-498.
29. Holland, J. (1995) Hidden Order: How Adaptation Builds Complexity. Reading, MA: Addison-Wesley.
30. Jacquier, E., N. Polson & P. Rossi (1994) Bayesian analysis of stochastic volatility models. Journal of Business and Economic Statistics 12, 371-388.
31. Karpoff, J. (1987) The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, 109-126.
32. Lamoureux, C. & W. Lastrapes (1990) Heteroskedasticity in stock return data: Volume versus GARCH effects. Journal of Finance 45, 221-229.
33. Lang, L., R. Litzenberger & V. Madrigal (1992) Testing financial market equilibrium under asymmetric information. Journal of Political Economy 111, 317-348.
34. LeBaron, B., B. Arthur & R. Palmer (1999) The time series properties of an artificial stock market. Journal of Economic Dynamics and Control 23, 1487-1516.
35. Lo, A. (ed.) (1996) Market Efficiency: Stock Market Behaviour in Theory and Practice. London: Edward Elgar.
36. Manski, C. & D. McFadden (1981) Structural Analysis of Discrete Data with Econometric Applications. Cambridge, MA: MIT Press.
37. Marimon, R. (1997) Learning from learning in economics. In Kreps, D. & K. Wallis (eds.), Advances in Economics and Econometrics: Theory and Applications, vol. I, Seventh World Congress of the Econometric Society, Cambridge, UK: Cambridge University Press.
38. Sargent, T. (1993) Bounded Rationality in Macroeconomics. New York: Oxford University Press.
39. Townsend, R. (1983) Forecasting the forecasts of others. Journal of Political Economy 91, 546-588.
40. Wang, J. (1994) A model of competitive stock trading volume. Journal of Political Economy 102, 127-168.