A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME

DOI10.1142/S0219024900000413MaRDI QIDQ4521272zbMATH OpenOpenAlexFDO

Authors Giulia Iori

Publication date 5 July 2001

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024900000413

zbMATH Keywords

complex systemsstock market modelsvolatility clustering

Mathematics Subject Classification ID

Trade models (91B60)

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Cites work

• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(18)

• Nonlinear fluctuation behavior of financial time series model by statistical physics system
• The behaviour of US stock prices: Evidence from a threshold autoregressive model
• Volume-volatility dynamics in an intertemporal asset pricing model.
• Discovering stock dynamics through multidimensional volatility phases
• Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
• New evidence on the relation between return volatility and trading volume
• There's more to volatility than volume
• Modelling financial time series with threshold nonlinearity in returns and trading volume
• THE BEHAVIOR OF A THRESHOLD MODEL OF MARKET PRICE IN STOCK EXCHANGE
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
• scientific article; zbMATH DE number 10027 (Why is no real title available?)
• The invisible hand and the rational agent are behind bubbles and crashes
• TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
• scientific article; zbMATH DE number 5583464 (Why is no real title available?)
• A generalized bivariate mixture model for stock price volatility and trading volume
• The trading rectangle strategy within book models
• Contagious popular stories, stock market participation, and boom-bust cycles

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