IDEAS home Printed from https://ideas.repec.org/p/red/sed012/36.html
   My bibliography  Save this paper

Trading Volume in General Equilibrium with Complete Markets

Author

Listed:
  • Eric Aldrich

    (Federal Reserve Bank of Atlanta)

Abstract

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.

Suggested Citation

  • Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
  • Handle: RePEc:red:sed012:36
    as

    Download full text from publisher

    File URL: https://economicdynamics.org/meetpapers/2012/paper_36.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Jaroslav Borovicka, 2009. "Heterogeneous beliefs under recursive preferences," 2009 Meeting Papers 892, Society for Economic Dynamics.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-1087, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Trading Volume in General Equilibrium with Complete Markets
      by Christian Zimmermann in NEP-DGE blog on 2012-10-23 08:50:43

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Oancea, Bogdan, 2014. "Parallel Computing in Economics - An Overview of the Software Frameworks," MPRA Paper 72039, University Library of Munich, Germany.
    2. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: http://edirc.repec.org/data/sedddea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.