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A Threshold Model For Stock Return Volatility And Trading Volume

Author

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  • GIULIA IORI

    (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.

Suggested Citation

  • Giulia Iori, 2000. "A Threshold Model For Stock Return Volatility And Trading Volume," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 467-472.
    • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000413
    DOI: 10.1142/S0219024900000413
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    Citations

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    Cited by:

    1. Galam, Serge, 2016. "The invisible hand and the rational agent are behind bubbles and crashes," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 209-217.
    2. Serge Galam, 2011. "Market efficiency, anticipation and the formation of bubbles-crashes," Papers 1106.1577, arXiv.org.
    3. Serge Galam, 2016. "The invisible hand and the rational agent are behind bubbles and crashes," Papers 1601.02990, arXiv.org.
    4. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.

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