Trading Volume in Dealer Markets
基于Glosten和Milgrom模型，研究了做市商市场中交易量与价格波动性、订单不平衡的关系，发现交易量增加会加剧波动和订单不平衡，对高频交易和算法交易研究者有参考价值。
Abstract We develop a financial market trading model in the tradition of Glosten and Milgrom (1985) that allows us to incorporate nontrivial volume. We observe that in this model price volatility is positively related to the trading volume and to the absolute value of the net order flow (i.e., the order imbalance). Moreover, higher volume leads to higher order imbalances. These findings are consistent with well-established empirical findings. Our model further predicts that higher trader participation and systematic improvements in the quality of traders’ information lead to higher volume, larger order imbalances, lower market depth, shorter duration, and higher price volatility.