| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP12434
|
| DP12434 Noise Traders Incarnate: Describing a Realistic Noise Trading Process |
| Joel PERESS
|
| 发表日期 | 2017-11-10
|
| 出版年 | 2017
|
| 语种 | 英语
|
| 摘要 | We estimate a realistic process for noise trading to help theorists calibrate noisy rational expectations models. For this purpose, we characterize the trades initiated by individual investors, who are natural candidates for the role of noise traders because their trades are, on average, cross-correlated and loss making. We use transactions data from a retail brokerage house, small TAQ trades, and flows to retail mutual funds, obtaining consistent results. We find that noise trading can be treated as approximately i.i.d. at monthly and lower frequencies but that weekly and daily trades are serially correlated; the distribution of noise trading is less heavy-tailed at lower frequency but conforms to a normal only for quarterly data. We provide a complete description of these processes, including estimates of their standard deviation. In line with theory, the estimates are higher for more liquid and volatile stocks; they also suggest that the prevalence of noise trading has declined over time. |
| 主题 | Financial Economics
|
| URL | https://cepr.org/publications/dp12434
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541244
|
推荐引用方式
GB/T 7714 |
Joel PERESS. DP12434 Noise Traders Incarnate: Describing a Realistic Noise Trading Process. 2017.
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