A Theory of Limited Liquidity and Large Investors Causing Spikes in Stock Market Volatility and Trading Volume
提出一个理论，认为大型金融机构在流动性不足的市场中的策略交易行为，共同导致了收益率和交易量等金融变量的厚尾分布，即使没有基本面消息也能产生极端波动和交易量。
We survey a theory of the economic underpinnings of the fat-tailed distributions of a number of financial variables, such as returns and trading volumes. Our theory posits that they have a common origin in the strategic trading behavior of very large financial institutions in a relatively illiquid market. We show how the fat-tailed distribution of fund sizes can indeed generate extreme returns and volumes, even in the absence of fundamental news. Moreover, we are able to replicate the individually different empirical values of the power law exponents for each distribution. Large investors moderate their trades to reduce their price impact; coupled with a concave price impact function, this leads to volumes being more fat-tailed than returns but less fat-tailed than fund sizes. The trades of large institutions offer a unified explanation for apparently disconnected empirical regularities that are otherwise a challenge for economic theory.