Tr: Sound Economics (fwd from lowercase sound)


Subject: Tr: Sound Economics (fwd from lowercase sound)
From: Alexandra Hettergott (a.hettergott@wanadoo.fr)
Date: Thu May 13 1999 - 12:41:37 EDT


From: / dave / <arouet@winternet.com>

(begin FWD)

>"Is Sound Just Noise?"
>
> BY: JOSHUA D. COVAL
> TYLER G. SHUMWAY
> University of Michigan Business School
> Department of Finance and Real Estate
>
>ABSTRACT:
> This Paper analyzes the information content of the ambient noise
> level in the Chicago Board of Trade's 30-year Treasury Bond
> futures trading pit. Controlling for a variety of other
> variables, including lagged price changes, trading volumes, and
> news announcements, we find that the sound level conveys
> information which is highly economically and statistically
> significant. In particular, we find increases in the sound level
> precede periods of high price volatility and increased trading
> volumes. Increases in the sound level also presage the placement
> of block trades and relative increases in customer-driven
> trading. Our results add to our understanding of the market
> price formation process and offer important implications for the
> future of open outcry and floor-based trading mechanisms.

http://papers.ssrn.com/paper.taf?abstract_id=160173

but a warning - it's a 1.7MB pdf format file, so you'll need Acrobat
Reader to view it after it's downloaded. Oh, and it presents a great
deal of exceedingly detailed (arcane?) economic jargon, so beware!

-- 

/ dave /



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