Dynamic equilibrium and volatility in financial asset markets:
This paper develops and estimates a continuous-time model of a financial market where investors' trading strategies and the specialist's rule of price adjustments are the best response to each other. We examine how far modeling market microstructure in a purely rational framework can go in...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
1996
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
5479 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | This paper develops and estimates a continuous-time model of a financial market where investors' trading strategies and the specialist's rule of price adjustments are the best response to each other. We examine how far modeling market microstructure in a purely rational framework can go in explaining alleged asset pricing ànomalies.' The model produces some major findings of the empirical literature: excess volatility of the market price compared to the asset's fundamental value, serially correlated volatility, contemporaneous volume-volatility correlation, and excess kurtosis of price changes. We implement a nonlinear filter to estimate the unobservable fundamental value, and avoid the discretization bias by computing the exact conditional moments of the price and volume processes over time intervals of any length. |
| Physical Description: | 34, [6] S. graph. Darst. |
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| id | DE-604.BV010781827 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:58:47Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007201140 |
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| physical | 34, [6] S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aït-Sahalia, Yacine Verfasser aut Dynamic equilibrium and volatility in financial asset markets Yacine Aït-Sahalia Cambridge, Mass. 1996 34, [6] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5479 This paper develops and estimates a continuous-time model of a financial market where investors' trading strategies and the specialist's rule of price adjustments are the best response to each other. We examine how far modeling market microstructure in a purely rational framework can go in explaining alleged asset pricing ànomalies.' The model produces some major findings of the empirical literature: excess volatility of the market price compared to the asset's fundamental value, serially correlated volatility, contemporaneous volume-volatility correlation, and excess kurtosis of price changes. We implement a nonlinear filter to estimate the unobservable fundamental value, and avoid the discretization bias by computing the exact conditional moments of the price and volume processes over time intervals of any length. Mathematisches Modell Capital market Mathematical models Equilibrium (Economics) Mathematical models Prices Mathematical models Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5479 (DE-604)BV002801238 5479 http://papers.nber.org/papers/w5479.pdf kostenfrei Volltext |
| spellingShingle | Aït-Sahalia, Yacine Dynamic equilibrium and volatility in financial asset markets National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Mathematisches Modell Capital market Mathematical models Equilibrium (Economics) Mathematical models Prices Mathematical models |
| title | Dynamic equilibrium and volatility in financial asset markets |
| title_auth | Dynamic equilibrium and volatility in financial asset markets |
| title_exact_search | Dynamic equilibrium and volatility in financial asset markets |
| title_full | Dynamic equilibrium and volatility in financial asset markets Yacine Aït-Sahalia |
| title_fullStr | Dynamic equilibrium and volatility in financial asset markets Yacine Aït-Sahalia |
| title_full_unstemmed | Dynamic equilibrium and volatility in financial asset markets Yacine Aït-Sahalia |
| title_short | Dynamic equilibrium and volatility in financial asset markets |
| title_sort | dynamic equilibrium and volatility in financial asset markets |
| topic | Mathematisches Modell Capital market Mathematical models Equilibrium (Economics) Mathematical models Prices Mathematical models |
| topic_facet | Mathematisches Modell Capital market Mathematical models Equilibrium (Economics) Mathematical models Prices Mathematical models |
| url | http://papers.nber.org/papers/w5479.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aitsahaliayacine dynamicequilibriumandvolatilityinfinancialassetmarkets |