Trading Volume and Information Revelation in Stock Markets
构建了一个市场微观结构模型，其中公共和私人信息的到达率是随机的，交易者利用历史交易量推断私人信息的可用性并调整策略，解释了交易量为何能预测波动率。
I consider a market microstructure model in which the rates of public and private informa? tion arrival are probabilistic. The latter depends on the availability of private information that is stochastically changing over time. In equilibrium, traders estimate the availability of private information using past periods' trading volume and use this information to adjust their strategies. The time-series properties include contemporaneous correlation between price variability and volume and autocorrelation in price variability (similar to GARCH). The model explains why trading volume contains useful information for predicting volatil? ity and provides predictions on the limit and market order placement strategies of traders.