Bhushan, Ravi; Brown, David P.; Mello, Antonio S. - In: Journal of Financial and Quantitative Analysis 32 (1997) 01, pp. 25-45
We analyze myopic trader models of noisy prices in financial markets. Unlike extant analysis, such as De Long et al. (1990a), a classical equilibrium exists in our analysis, e.g., a riskless perpetuity is priced by arbitrage and its price does not vary with noise. A unique noisy equilibrium...
