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Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume
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The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a ma
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I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational t
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We develop a dynamic model in which traders have differential information about the true value of the risky asset and trade the risky asset with proportional tr
Market Microstructure Theory
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Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important
Noise Trading on the London Stock Exchange
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Type: BOOK - Published: 1996 - Publisher:

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