منابع مشابه
Extracting Information from Trading Volume
This paper shows how to extract information from equilibrium trading volume. The analysis is rst carried out in a market-clearing framework with symmetrically (and later normally) distributed demands, and is then extended to include market-making models. The conclusions of this paper hence apply to the majority of the models developed in the noisy rational expectations literature. If a random v...
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This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest when information asymmetry is high, while the opposite relation holds for volume after the announcement. I...
متن کاملTiming Information, Information Asymmetry, and Trading Volume
Investigating various corporate announcements and abnormal return days, I observe that around 2% of daily trading volume decreases only before scheduled earnings announcements. This empirical pattern is robust across different specifications and periods. Also, proxies of ex ante information asymmetry are consistently related to the trading volume only before scheduled earnings announcements. Th...
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In this paper we address the problem of extracting the identities and phone numbers of the callers in voicemail messages. Previous work in information extraction from speech includes spoken document retrieval and named entity detection. This task differs from the named entity task in that the information we are interested in is a subset of the named entities in the message, and consequently, th...
متن کاملExtracting Relevant Information from Samples
The information bottleneck is an information theoretic framework, extending the classical notion of minimal sufficient statistics, that finds concise representations for an ‘input’ random variable that are as relevant as possible for an ‘output’ variable. This framework has been used successfully in various supervised and unsupervised applications. However, its learning theoretic properties and...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1997
ISSN: 1556-5068
DOI: 10.2139/ssrn.36088