The Price Variability-Volume Relationship on Speculative Markets

dc.contributor.author	Tauchen, George	en_US
dc.contributor.author	Pitts, Mark	en_US
dc.date.accessioned	2010-03-09T15:27:09Z
dc.date.available	2010-03-09T15:27:09Z
dc.date.issued	1983	en_US
dc.identifier.uri	http://hdl.handle.net/10161/1877
dc.description.abstract	This paper concerns the relationship between the variability of the daily price change and the daily volume of trading on the speculative markets. Our work extends the theory of speculative markets in two ways. First, we derive from economic theory the joint probability distribution of the price change and the trading volume over any interval of time within the trading day. And second, we determine how this joint distribution changes as more traders enter (or exit from) the market. The model's parameters are estimated by FIML using daily data from the 90-day T-bills futures market. The results of the estimation can reconcile a conflict between the price variability-volume elationship for this market and the relationship obtained by previous investigators for other speculative markets.	en_US
dc.format.extent	546413 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Econometrica	en_US
dc.subject	daily volumes	en_US
dc.subject	price changes	en_US
dc.subject	speculative markets	en_US
dc.title	The Price Variability-Volume Relationship on Speculative Markets	en_US
dc.type	Journal Article	en_US
dc.department	Economics