Volume, Volatility, and the Dispersion of Beliefs
通过一个两期噪声理性预期期货市场模型，证明对未来价格加权平均的预期分散度同时衡量了噪声信息带来的额外波动性和额外预期成交量，有助于解释成交量与价格变化正相关等典型事实。
I examine a two-period noisy rational expectations model of a futures market and show that the dispersion of expectations about a weighted average of future prices measures both the additional volatility and the additional expected volume of trade associated with noisy information. The role played by dispersion helps clarify several stylized facts concerning volume and price behavior. Specifically, dispersion can be a factor contributing to the positive correlation between volume and absolute price changes, and the positive correlation between consecutive absolute price changes.