An Equilibrium Model of Asset Trading with Sequential Information Arrival
构建了一个模型，描述新信息对金融市场的影响，重点研究保证金要求下价格变化与交易量的关系，发现保证金要求显著影响该关系，且受投资者数量、信息传播程度等因素影响。
ABSTRACT In an effort to better understand the dynamic market price adjustment process, this paper develops a model which describes the impact of new information on a financial market. The primary emphasis is on the price change‐volume relationship in the presence of a margin requirement. We find that the margin requirement significantly affects the relation of price change to volume. Furthermore, this relationship is shown to be affected by the number of investors in the market, the degree of information dissemination, differences in interpretation of information and the implicit cost of the margin requirement.