This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this...

This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse...

Technical analysis, also known as "charting", has been a part of financial practice for many decades, yet little academic research has been devoted to a systematic evaluation of this discipline. One of the main obstacles is the highly subjective nature of technical analysis---the presence of...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...

Milton Friedman argued that irrational traders will consistently lose money, won't survive and, therefore, cannot influence long run equilibrium asset prices. Since his work, survival and price influence have been assumed to be the same. Often partial equilibrium analysis has been relied upon to...

agents do not survive and do not affect prices in the long run. If relative risk aversion is unbounded, however, they may survive, and survival is neither necessary nor sufficient for their impact on prices. We provide necessary and sufficient conditions for price impact, as well as examples of...

The effects of spike-timing-dependent plasticity (STDP) and noise intensity on the temporal and spatial dynamics of Newman–Watts small-world neuronal networks are studied. Numerical results show that, an intermediate intensity of additive noise can optimize the dynamical response of the neural...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...

In this paper, we investigate vibrational resonance in feedforward neuronal network coupled in an all-to-all fashion. In contrast to earlier most work, where only reliable synaptic connections are considered, we mainly examine the effects of unreliable synapses on signal propagation in this...

In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity...