A Study of Future Markets and Stock Price Volatility Using  Shannon's Separation Theorem
{'Code': '05020000', 'Directorate': {'Abbreviation': 'CSE', 'LongName': 'Direct For Computer & Info Scie & Enginr'}, 'Division': {'Abbreviation': 'IIS', 'LongName': 'Div Of Information & Intelligent Systems'}}
{'SignBlockName': 'Lawrence Rosenblum', 'PO_EMAI': None, 'PO_PHON': None}
Information relevant to market transactions is usually                        generated exogenously and at random times.  A given sample of                   these market "fundamentals" must be reliably transmitted to                     prices before the next sample occurs if the market is to be                     efficient.  Markets clear sequentially at a frequency which is                  typically far in excess of the average frequency of fundamentals.               This time-base relation between fundamentals and market clearing                prices is shared by communications channels which transmit                      individual information source samples using multiple                            transmissions on the channel.  But the market-channel analog is                 incomplete because market agents are motivated by profits while                 channel users pursue reliable communication.  This proposal                     suggests these sometimes conflicting goals can be resolved.  The                embodiment of the suggestion is a demonstration that a popular                  futures market model is identical to a model of bandwidth                       expansion over a channel with noiseless feedback when market                    agents tradeoff profits against reliable communication.                         Empirical tests of this tradeoff are proposed for a grain futures               market.  The demonstration also suggests that sequential auction                models act as estimators of information sources and therefore are               relevant to the controversy surrounding price volatility in stock               valuation models.  The research estimates information rates for                 recognized stock market fundamentals and establishes volatility                 standards by comparing source information rates with the stock                  valuation model capacity.                                                         The market models considered assume source information is                     generated in randomly timed bursts.  Consequently, the multiple-                trader futures model is a study in multiple-access channel source               coding.  In an efficient market with optimal profit-taking and                  information transfer, both testable hypotheses, agent trading                   behavior should solve a multiple-access coding problem.  Tat                    solutions of pen problems in market theory can contribute to open               problems in communication theory is further evidenced by showing                that the determination of the proportion of informed market                     participants solves a challenging problem of finding the capacity               of an arbitrarily varying channel.                                                The significance of the study lies in the recognition that                    there are no known tests yielding a standard measure of the                     ultimate reliability with which market prices can reflect                       fundamental information. Successful empirical studies  will                     establish such a standard.  In addition, treating markets as a                  symbiont of communication theory offers the prospect that actual                markets can serve as experimental resources for solving                         significant problems in communication theory.
{'FirstName': 'William', 'LastName': "O'Neill", 'PI_MID_INIT': 'D', 'PI_SUFX_NAME': None, 'PI_FULL_NAME': "William D O'Neill", 'EmailAddress': 'WONeill@uic.edu', 'NSF_ID': '000304498', 'StartDate': '06/01/1989', 'EndDate': None, 'RoleCode': 'Principal Investigator'}
{'Name': 'University of Illinois at Chicago', 'CityName': 'CHICAGO', 'ZipCode': '606124305', 'PhoneNumber': '3129962862', 'StreetAddress': '809 S MARSHFIELD AVE M/C 551', 'StreetAddress2': None, 'CountryName': 'United States', 'StateName': 'Illinois', 'StateCode': 'IL', 'CONGRESSDISTRICT': '07', 'CONGRESS_DISTRICT_ORG': 'IL07', 'ORG_UEI_NUM': 'W8XEAJDKMXH3', 'ORG_LGL_BUS_NAME': 'UNIVERSITY OF ILLINOIS', 'ORG_PRNT_UEI_NUM': None}
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{'Code': '685000', 'Text': 'DIGITAL SOCIETY&TECHNOLOGIES'}
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