Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain...

Statistische Eigenschaften von Handelsvolumina auf Aktienmärkten -- Theoretische Analysen zur Rolle des Handelsvolumens auf Aktienmärkten -- Kontemporärer Zusammenhang zwischen Aktienrenditen und Handelsvolumina -- Ereignisinduzierte Marktreaktionen: Preis- und Volumenseffekte am Beispiel von...