Modeling of Stock Returns and Trading Volume
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of stock markets inspired from statistical mechanics  to explore the empirical findings. We show that as the interaction among the interacting traders strengthens both the returns and the trading volume present power-law behavior.
References listed on IDEAS
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- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993.
"Trading Volume and Serial Correlation in Stock Returns,"
The Quarterly Journal of Economics,
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- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
- Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
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- Kaizoji, Taisei, 2001. "A model of international financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 279-293. Full references (including those not matched with items on IDEAS)
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