For a market to be viable, participants must be heterogeneous. Traditional asymmetric information models achieve this by including informed, uninformed, and noise traders. We model heterogeneity differently by relaxing the assumption that identically informed agents form homogeneous...

We demonstrate that the process of discovering efficient values in equity trading introduces noise in prices. Noise plays an important role in theoretical microstructure literature, and empirical studies have documented high, U-shaped intra-day volatility that is a manifestation of noise. While...