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Craig A. Depken II;
  • Journal: Journal of Applied Economics, volume 4, issue November, pages 313-327
  • Subject: information flows; autocorrelation
    • jel: jel:C32 | jel:G14

It is shown that the volume of trade can be decomposed into proportional proxies for stochastic flows of good news and bad news into the market. Positive (good) information flows are assumed to increase the price of a financial vehicle while negative (bad) information f... View more
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