We develop a financial market trading model in the tradition of Glosten and Milgrom (1985) that allows us to incorporate non-trivial volume. We observe that in this model price volatility is positively related to the trading volume and to the absolute value of the net order flow, i.e. the order...

We extend the comparison of experiments in Blackwell (1953) to a strategic setting that both simplifies and expands upon ideas in Gossner (2000). We introduce a partial order on correlating signals, called more strategically informative, and prove that it is equivalent to the partial order more...

An unresolved problem in Bayesian decision theory is how to value and price information. This paper resolves both problems by assuming inexpensive information. Building on Large Deviation Theory, we produce a generically complete asymptotic order on samples of i.i.d. signals in finite-state,...

This paper produces a comprehensive theory of the value of Bayesian information and its static demand. Our key insight is to assume 'natural units' corresponding to the sample size of conditionally i.i.d. signals - focusing on the smooth nearby model of the precision of an observation of a...