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A Probability Model of Asset Trading

Published online by Cambridge University Press:  19 October 2009

Thomas E. Copeland
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Extract

In a world where individuals are assumed to receive new information about an asset in random and sequential order, the volume of trading for a given message is a random variable. If the probabilities of trading events can be specified, it is possible to develop closed form expressions for the expected number of trades and the variance of trading. The result is a theory of trading which relates the number of trades to the characteristics of the message and to the number of participants in the market for an asset.

Information

Type
Proceedings of 1977 Western Finance Association Meeting: Selected Conference Papers
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 4 , November 1977 , pp. 563 - 578
Copyright
Copyright © School of Business Administration, University of Washington 1977

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References

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