Trading Volume in Financial Markets

小行星9709976 如果价格和数量是任何市场交易理论的基本组成部分，那么交易量在理解金融市场行为方面的重要性是显而易见的。 然而，尽管许多金融市场的经济模型已经被开发出来解释价格的行为-可预测性，可变性和信息含量-但很少有人关注交易量的行为。 本项目通过开发清晰的资产价格和交易量的经济模型，并使用芝加哥大学证券价格研究中心（CRSP）1962年至1996年的个别证券最近可用的每日交易量数据进行经验估计，扩展了我们对交易量的理解。 ??

9709976 Lo If price and quantity are the fundamental building blocks of any theory of market transactions, the importance of trading volume in understanding the behavior of financial markets is clear. However while many economic models of financial markets have been developed to explain the behavior of prices - predictability, variability, and information content- far less attention has been devoted to explaining the behavior of trading volume. This project expands our understanding of trading volume by developing well-articulated economic models of asset prices and volume and empirically estimating them using recently available daily volume data for individual securities from the University of Chicago's Center for Research in Securities Prices (CRSP) from 1962 to 1996. ??