This study provides an explanation of the emergence of power laws in trading volume and asset returns. In the model, traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior accordingly. When the number of traders is large and the signals for asset value are noisy, this leads to power laws for equilibrium volume and returns. We also provide numerical results showing that the model reproduces observed distributions of daily stock volume and returns.

中文翻译：

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金融市场中的贸易集群和幂律

本研究解释了交易量和资产回报中幂律的出现。在该模型中，交易者从他们的行为中推断出其他交易者关于资产价值的私人信号，并相应地调整自己的行为。当交易者的数量很大并且资产价值的信号嘈杂时，这会导致均衡交易量和收益的幂律。我们还提供了数值结果，表明该模型再现了观察到的每日股票交易量和回报的分布。