Stock Market Volatility

Institutional Investors and Stock Market Volatility ArXiv ID: ssrn-837165 “View on arXiv” Authors: Unknown Abstract We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid Keywords: Stock Market Volatility, Institutional Investors, Illiquidity, Asset Pricing, Market Microstructure Complexity vs Empirical Score Math Complexity: 7.5/10 Empirical Rigor: 4.0/10 Quadrant: Lab Rats Why: The paper presents a theoretical model using power-law distributions and optimal trading behavior derived via analytical methods, indicating high math complexity. While it references empirical stylized facts, the excerpt lacks specific data sources, code, or backtesting details, leaning more towards theoretical derivation than empirical implementation. flowchart TD A["Research Question: What causes excess stock market volatility?"] B["Methodology: Theoretical Model & Empirical Analysis"] C["Data: Institutional Trades & Stock Liquidity"] D["Process: Analyze trade impact on price deviations"] E["Key Finding: Large institutional trades drive volatility in illiquid markets"] A --> B B --> C C --> D D --> E

Institutional Investors and Stock Market Volatility ArXiv ID: ssrn-442940 “View on arXiv” Authors: Unknown Abstract We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid Keywords: Stock Market Volatility, Institutional Investors, Illiquidity, Asset Pricing, Market Microstructure Complexity vs Empirical Score Math Complexity: 7.5/10 Empirical Rigor: 6.0/10 Quadrant: Holy Grail Why: The paper is mathematically dense, employing power-law distributions and statistical physics methods to model investor behavior, while providing strong empirical backing with real-world data on stock market volatility, returns, and trading volumes. flowchart TD A["Research Goal: Explain excess stock market volatility"] B["Theory: Large institutional investors<br>in illiquid markets drive price swings"] C["Data: Institutional trading &<br>stock liquidity measures"] D["Methodology: Empirical asset pricing<br>& market microstructure analysis"] E["Key Findings: Institutional flows<br>significantly amplify market volatility"] A --> B B --> C C --> D D --> E