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Authors: G. Iori

Journal: International Journal of Theoretical and Applied Finance, Vol. 3, No. 3 (2000) 467-472

Year: 2000

Status: Journal Articles

Abstract: We propose a model with heterogeneous interacting traders which can explain the observed cross-correlation between stock return volatility and trading volume. Transaction costs are introduced which, by responding to price movements, create a feedback mechanism on future trading and generates volatility clustering.

Link: http://www.doi.org/10.1142/S0219024900000413

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