A Study of Future Markets and Stock Price Volatility Using Shannon's Separation Theorem

与市场交易相关的信息通常 在随机的时间外生的。 的给定样品 这些市场“基本面”必须可靠地传递到 价格之前，下一个样本发生，如果市场是 高效. 市场按顺序结算的频率为 通常远远超过基本面的平均频率。 基本面和市场出清之间的这种时基关系 价格是由传播渠道共享的， 单个信息源样本使用多个 频道上的传输。 但市场渠道的类比是， 不完全，因为市场代理人的动机是利润， 信道用户追求可靠的通信。 这项建议 这些有时相互冲突的目标是可以解决的。 的 该建议的一个实施例是一个受欢迎的 期货市场模型与带宽模型相同 当市场进入时，通过无噪声反馈的渠道进行扩展 代理商权衡利润和可靠的通信。 实证检验这种权衡提出了粮食期货 市场 该演示还表明，顺序拍卖 模型充当信息源的估计器，因此 与围绕股票价格波动的争议有关 估值模型 该研究估计信息率为 公认的股票市场基本面，并建立波动 标准通过比较源信息率与股票 评价模型能力。 考虑的市场模型假设源信息是 以随机定时的突发方式产生。 因此，多重- 交易员期货模型是一个研究多渠道渠道来源 编码 在一个有最优获利了结的有效市场中， 信息转移，可检验假设，代理交易 行为应该解决多路访问编码问题。 达特 市场理论中的pen问题的解决方案可以有助于开放 传播理论中的问题进一步证明了显示 知情市场比例的确定 参与者解决了寻找容量的挑战性问题， 任意变化的信道。 这项研究的意义在于认识到， 没有已知的测试产生标准的测量， 市场价格能够反映的最终可靠性 基本信息。成功的实证研究将 建立这样的标准。 此外，将市场视为 共生体的传播理论提供了前景， 市场可以作为解决问题的实验资源 传播理论中的重大问题。

Information relevant to market transactions is usually generated exogenously and at random times. A given sample of these market "fundamentals" must be reliably transmitted to prices before the next sample occurs if the market is to be efficient. Markets clear sequentially at a frequency which is typically far in excess of the average frequency of fundamentals. This time-base relation between fundamentals and market clearing prices is shared by communications channels which transmit individual information source samples using multiple transmissions on the channel. But the market-channel analog is incomplete because market agents are motivated by profits while channel users pursue reliable communication. This proposal suggests these sometimes conflicting goals can be resolved. The embodiment of the suggestion is a demonstration that a popular futures market model is identical to a model of bandwidth expansion over a channel with noiseless feedback when market agents tradeoff profits against reliable communication. Empirical tests of this tradeoff are proposed for a grain futures market. The demonstration also suggests that sequential auction models act as estimators of information sources and therefore are relevant to the controversy surrounding price volatility in stock valuation models. The research estimates information rates for recognized stock market fundamentals and establishes volatility standards by comparing source information rates with the stock valuation model capacity. The market models considered assume source information is generated in randomly timed bursts. Consequently, the multiple- trader futures model is a study in multiple-access channel source coding. In an efficient market with optimal profit-taking and information transfer, both testable hypotheses, agent trading behavior should solve a multiple-access coding problem. Tat solutions of pen problems in market theory can contribute to open problems in communication theory is further evidenced by showing that the determination of the proportion of informed market participants solves a challenging problem of finding the capacity of an arbitrarily varying channel. The significance of the study lies in the recognition that there are no known tests yielding a standard measure of the ultimate reliability with which market prices can reflect fundamental information. Successful empirical studies will establish such a standard. In addition, treating markets as a symbiont of communication theory offers the prospect that actual markets can serve as experimental resources for solving significant problems in communication theory.