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Trading Volume in General Equilibrium with Complete Markets

Author

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  • Eric Aldrich

    (Federal Reserve Bank of Atlanta)

Abstract

This paper investigates asset trade in a general-equilibrium complete-markets endowment economy with heterogeneous agents. It shows that standard no-trade results cease to hold when agents have heterogeneous beliefs and that substantial trade volume is generated, even in the presence of a spanning set of assets. Further, trade volume and price movements have a positive relationship in the model, as is well documented in the empirical literature. This paper also develops a computational algorithm for solving finite-period heterogeneous-beliefs economies and demonstrates how the problem is well suited for large-scale parallel computing methods, such as GPU computing.

Suggested Citation

  • Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
    • Handle: RePEc:red:sed012:36
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    References listed on IDEAS

    as
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    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Trading Volume in General Equilibrium with Complete Markets
      by Christian Zimmermann in NEP-DGE blog on 2012-10-23 08:50:43

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    Cited by:

    1. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
    2. Oancea, Bogdan, 2014. "Parallel Computing in Economics - An Overview of the Software Frameworks," MPRA Paper 72039, University Library of Munich, Germany.
    3. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
    4. Aldrich, EM, 2014. "GPU Computing in Economics," Santa Cruz Department of Economics, Working Paper Series qt8p12748g, Department of Economics, UC Santa Cruz.

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