A Generative Approach on the Relationship between Trading Volume, Prices, Returns and Volatility of Financial Assets

José Antonio Pascual () and Javier Pajares ()
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José Antonio Pascual: Universidad de Valladolid
Javier Pajares: Universidad de Valladolid

Chapter Chapter 15 in Artificial Economics, 2009, pp 185-196 from Springer

Abstract: Abstract The relationship among trading volume, prices, returns, etc., of financial assets is complex, but its proper understanding may be of great influence on the development of financial theories. Throughout the last half century, many researchers have faced the issue, but a general consensus has not been reached. In this paper, we propose to use agent based simulation, a methodology that allows us to recreate different scenarios to reproduce the observed behavior in financial markets.

Keywords: Stock Market; Risk Aversion; Stock Return; Trading Volume; Granger Causality (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-02956-1_15

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DOI: 10.1007/978-3-642-02956-1_15

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