This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

In an economy of interacting agents with both idiosyncratic and aggregate shocks, we examine how the information … structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information … joint distributions over actions and states that can arise in equilibrium under any information structure. This tractable …

private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information … over actions and states that can arise in equilibrium under any information structure. This tractable characterization …, extending results in Bergemann and Morris, can be used to address a wide variety of questions linking information with the …

private information in fluences aggregate volatility. The maximal aggregate volatility is attained in a noise free information … over actions and states that can arise in equilibrium under any information structure. This tractable characterization …, extending results in Bergemann and Morris, can be used to address a wide variety of questions linking information with the …