Kovalenkov, Alexander; Vives, Xavier - In: Journal of Economic Theory 149 (2014) C, pp. 211-235
Consider a financial market with N risk-averse asymmetrically informed traders. When N grows at the same rate as noise trading, prices in competitive and in strategic rational expectations equilibrium converge to each other at a rate of 1/N. Equilibria in the two scenarios are close when noise...