A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME

Giulia Iori

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 467-472

Abstract: We propose a model with heterogeneous interacting traders which can explain the observed cross-correlation between stock return volatility and trading volume. Transaction costs are introduced which, by responding to price movements, create a feedback mechanism on future trading and generates volatility clustering.

Keywords: Stock market models; volatility clustering; complex systems (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219024900000413

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