Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs

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• 作者：Gunduz Caginalp^a ; ^{caginalp@pitt.edu} ; Mark DeSantis^b ; ^{desantis@chapman.edu}
• 关键词：Volume ; Nonlinearity ; Scaling laws ; Cross-over behavior ; Price efficiency ; Volatility
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 February 2017
• 年：2017
• 卷：467
• 期：Complete
• 页码：436-452
• 全文大小：879 K
• 卷排序：467

文摘

The relationship between price efficiency and volume tests two competing theories. Low volume levels obey a power law that supports efficient market theories. Very high volume levels correspond to a power law increase in inefficiency. Cross-over behavior is established between the two regimes. The model accounts for contemporaneous correlation and fund heterogeneity.