Danthine, Jean-Pierre; Moresi, Serge - European Science Foundation Network in Financial … - 1990
noise trading. In this model, we address three issues: What does informational efficiency mean in a multi-period setting …? How do information arrival and noise trading interact to generate price volatility? What are the effects of futures … trading on volatility and welfare? Without noise trading, we show that a fully revealing equilibrium price is unlikely to …