García, Diego; Urošević, Branko - In: Journal of Financial Markets 16 (2013) 3, pp. 526-549
We study the relation between noise (liquidity traders, endowment shocks) and the aggregation of information in financial markets with large number of agents. We show that as long as noise increases with the number of agents, the limiting equilibrium is well-defined and leads to non-trivial...
