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Differences in opinions and the volatility-volume relationship on the Tokyo Grain Exchange

Eaves, James; Valero, Magali - In: Agricultural Finance Review 69 (2009) July, pp. 180-195

Purpose – The purpose of this paper is twofold. The first is to estimate the correlation between market activity and volatility on an exchange that does not use continuous auctions to find prices. The second is to estimate the sensitivity of that relationship to differences in opinions across...

Persistent link: https://www.econbiz.de/10004998372

Differences in opinions and the volatility-volume relationship on the Tokyo Grain Exchange

Eaves, James; Valero, Magali - In: Agricultural finance review 69 (2009) 2, pp. 180-195

Persistent link: https://www.econbiz.de/10003893912

Are intraday volume and volatility u-shaped after accounting for public information?

Eaves, James; Williams, Jeffrey - In: American journal of agricultural economics 92 (2010) 1, pp. 212-227

Persistent link: https://www.econbiz.de/10008904341

Excess demand and price formation during a Walrasian auction

Eaves, James; Melvin, Michael; Mohapatra, Sandeep - In: Journal of empirical finance 15 (2008) 3, pp. 533-548

Persistent link: https://www.econbiz.de/10003759595

Walrasian tâtonnement auctions on the Tokyo Grain Exchange

Eaves, James; Williams, Jeffrey - In: The review of financial studies 20 (2007) 4, pp. 1183-1218

Persistent link: https://www.econbiz.de/10003554515