This is a study of volume and the nonlinear dynamics of stock returns. It examines efficient stock markets, the informational role of volume, volume and the volatility of stock returns, nonlinear analysis of return and volume and testing the structural model.

This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain the main empirical regularities found in high frequency stock data: (i) Time varying volatility. (ii) Positive volume-volatility relation. (iii) Ambiguous volume-persistance relation. Finally, the model is tested using efficient method of moments.

Introduction
Efficient Stock Markets
The Informational Role of Volume
Volume and Volatility of Stock Returns
Nonlinear Analysis of Return and Volume
Testing the Structural Model
Conclusions.