Trading Volume in General Equilibrium with Complete Markets

Eric Aldrich ()

No 36, 2012 Meeting Papers from Society for Economic Dynamics

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.

Date: 2012
New Economics Papers: this item is included in nep-cmp and nep-dge
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Citations: View citations in EconPapers (5)

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