06 Nov

Marko Weber, “Dynamic Trading Volume”

Tuesday November 6 2012
13:00
Scuola Normale Superiore
Aula Bianchi

Marko Weber
Dublin City University and Scuola Normale Superiore Pisa

Abstract
We derive the process followed by trading volume, in a market with finite depth and constant investment opportunities, where a representative investor, with a long horizon and constant relative risk aversion, trades a safe and a risky asset. Trading volume approximately follows a Gaussian, mean-reverting diffusion, and increases with depth, volatility, and risk aversion. The model generates an endogenous ban on leverage and short-selling. Joint work with Paolo Guasoni.
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