JOURNAL ARTICLE
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Handelsfrequenz und Nichtmengenanpassung
Credit and Capital Markets – Kredit und Kapital, Vol. 30 (1997), Iss. 2 : pp. 250–275
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Hans Hirth, Tübingen
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Abstract
Trading Frequency and Non-Pricetaking
In light of non-pricetaking, account has to be taken of effects not only on current, but also on future prices. This intertemporal link, together with rational expectations of all market participants, results in the trading frequency determining current prices. It turns out that, with a higher trading frequency, current prices tend to draw closer to those prices that would be the outcome of optimized risk allocation. At the same time, the liquidity of the market increases when measured by the insensitivity of prices to fluctuations in the volume of transactions.