Volatility, information and noise trading
构建了一个动态竞争模型，研究信息到达和噪声交易如何共同影响价格波动，发现无噪声时存在完全揭示均衡，噪声交易下更多信息反而可能降低波动，并识别噪声交易可通过价格变化的负相关来检测。
We construct a dynamic competitive model where price volatility comes from both information arrival and noise trading. We first show that in the absence of noise trading, there exists a fully revealing equilibrium, thus extending a well-known result to a multiperiod setting. Informational efficiency implies that price variations are serially uncorrelated and that volatility over time sums up to a constant. Thus a permanent increase in price volatility cannot be accounted for strictly in terms of an increase in information producing activities. In this context, information arrival at time 0 is welfare reducing (the Hirshleifer effect). We then study the effects of noise trading on the equilibrium prices. With noise trading, more information may mean less volatility as improved information places rational agents in a better position to counteract the actions of noise traders. We find that, in principle, significant episodes of noise trading can be identified as they translate into a negative correlation in price changes and that, under plausible hypotheses, more information is beneficiary in that it reduces the (net) welfare loss due to noise trading.