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是在随机时间内产生的。如果市场要有效，这些市场“基本面”的给定样本必须在下一个样本出现之前可靠地传递到价格中。市场按顺序出清的频率通常远远高于基本面的平均频率。基本面和市场清算价格之间的这种时基关系由通信通道共享，这些通道使用通道上的多次传输来传输各个信息源样本。但市场-渠道类比是不完全的，因为市场主体受利润驱动，而渠道用户追求可靠的沟通。这一提议表明，这些有时相互冲突的目标是可以解决的。这一建议的体现是一种证明，当市场主体在利润和可靠通信之间进行权衡时，流行的期货市场模型与在无噪声反馈的信道上扩展带宽的模型是相同的。对粮食期货市场的这种权衡进行了实证检验。实证还表明，序贯拍卖模型作为信息源的估计者，因此与股票估值模型中围绕价格波动的争议有关。这项研究估计了公认的股票市场基本面的信息利率，并通过比较来源信息利率和股票估值模型的能力来建立波动性标准。所考虑的市场模型假设源信息是以随机定时突发产生的。因此，多交易者期货模型是对多址信道信源编码的研究。在一个具有最优获利和信息传递的有效市场中，代理人交易行为应该解决一个多址编码问题。市场理论中笔式问题的解决方案有助于传播理论中的开放问题，进一步证明了知情市场参与者比例的确定解决了寻找任意变化的渠道的容量的挑战性问题。这项研究的意义在于认识到，目前还没有已知的测试产生最终可靠性的标准衡量标准，市场价格可以用来反映基本信息。成功的实证研究将确立这样的标准。此外，将市场视为传播理论的共生体，提供了现实市场可以作为实验资源来解决传播理论中的重大问题的前景。

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.