This Working Paper is the first issue of the Research Interests Database for the Network on Financial Markets. Entries are based on information supplied by members on registration. As the Network develops we hope that this will become an important reference source for members and non- members....

We construct a dynamic competitive model with futures markets where price volatility comes from information arrival and noise trading. In this model, we address three issues: What does informational efficiency mean in a multi-period setting? How do information arrival and noise trading interact...