Gençay, Ramazan; Gibson, Rajna; Xue, Yi - 2009
speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate … that the quality of the private information regarding the volatility parameter together with the relative transaction costs … further show that in the presence of imprecise volatility signals, only the quot;most sophisticatedquot; traders (those with …