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Dynamic Trading Volume

Paolo Guasoni

出版	SSRN, 2014
URL	http://books.google.com.hk/books?id=lQAnzwEACAAJ&hl=&source=gbs_api

註釋

We derive the process followed by trading volume, in a market with finite depth and constant investment opportunities, where a representative investor, with a long horizon and constant relative risk aversion, trades a safe and a risky asset. Trading volume approximately follows a Gaussian, mean-reverting diffusion, and increases with depth, volatility, and risk aversion. The model generates an endogenous ban on leverage and short-selling.