This paper investigates the relations between aggregate trading volume and information on financial markets from a theoretical standpoint. Through numerical examples, it relates some statistics describing equilibrium price and volume--such as the variance of the price and its correlation with...

This paper shows how to infer information about any random variable from trading volume, assuming that the random variable and the traders' demands are symmetrically (and then normally) distributed around zero. The volume-based conditional expectation of such a random variable is zero, while the...

This paper uses a competitive equilibrium model to study how institutional investors influence the volatility and the informativeness of asset prices. Institutional investors are assumed to be "rational" informed traders, while individual investors are supposed to be "naive" informed traders,...