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The Joint Dynamics and Stability of Stock Prices and Volume

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This paper examines the joint process for volume and volatility. Locallinear models are used to analyze stability of the joint processes in different regions of volatility-volume space. It is found that this way of looking at the series changes dramatically the results found by using a global linear approach. The estimated model for volume and volatility shows that some small shocks may be temporarily amplified, but they will eventually dissapate.

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  • Blake LeBaron, "undated". "The Joint Dynamics and Stability of Stock Prices and Volume," Working papers _004, University of Wisconsin - Madison.
    • Handle: RePEc:wop:wimahp:_004
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    File URL: http://www.econ.wisc.edu/~blake/papers/stab.ps
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    Cited by:

    1. Blake LeBaron, 1994. "Chaos and Nonlinear Forecastability in Economics and Finance," Finance 9411001, University Library of Munich, Germany.

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