Trading Volume in General Equilibrium with Complete Markets
This paper investigates asset trade in a general-equilibrium complete-markets endowment economy with heterogeneous agents. It shows that standard no-trade results cease to hold when agents have heterogeneous beliefs and that substantial trade volume is generated, even in the presence of a spanning set of assets. Further, trade volume and price movements have a positive relationship in the model, as is well documented in the empirical literature. This paper also develops a computational algorithm for solving finite-period heterogeneous-beliefs economies and demonstrates how the problem is well suited for large-scale parallel computing methods, such as GPU computing.
|Date of creation:||2012|
|Contact details of provider:|| Postal: Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA|
Web page: http://www.EconomicDynamics.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eric M. Aldrich & Jesus Fernandez-Villaverde & A. Ronald Gallant & Juan F. Rubio-Ramirez, 2010.
"Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors,"
10-89, Duke University, Department of Economics.
- Aldrich, Eric M. & Fernández-Villaverde, Jesús & Ronald Gallant, A. & Rubio-Ramírez, Juan F., 2011. "Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 386-393, March.
- Eric M. Aldrich & Jesús Fernández-Villaverde & A. Ronald Gallant & Juan F. Rubio-Ramírez, 2010. "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," NBER Working Papers 15909, National Bureau of Economic Research, Inc.
- Eric M. Aldrich & Jesús Fernández-Villaverde & Ronald Gallant & Juan F. Rubio-Ramírez, 2010. "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," PIER Working Paper Archive 10-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jaroslav Borovicka, 2009. "Heterogeneous beliefs under recursive preferences," 2009 Meeting Papers 892, Society for Economic Dynamics.
- Basak, Suleyman, 2000. "A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 63-95, January.
- Isaenko, Sergei, 2008. "The term structure of interest rates in a pure exchange economy where investors have heterogeneous recursive preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 457-481, August.
- Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000.
"Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
American Economic Review,
American Economic Association, vol. 90(4), pages 787-805, September.
- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc.
- Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
- Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-1087, December.
When requesting a correction, please mention this item's handle: RePEc:red:sed012:36. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann)
If references are entirely missing, you can add them using this form.