Is Sound Just Noise?
分析芝加哥期货交易所国债期货交易池的环境噪音水平，发现噪音能预测交易成本变化，噪音上升后价格波动加大、深度下降、信息不对称增加。
ABSTRACT We analyze the information content of the ambient noise level in the Chicago Board of Trade's 30‐year Treasury Bond futures trading pit. Controlling for a variety of other variables, including lagged price changes, trading volumes, and news announcements, we find that the sound level conveys information which is highly economically and statistically significant. Specifically, changes in the sound level forecast changes in the cost of transacting. Following a rise in the sound level, prices become more volatile, depth declines, and information asymmetry increases. Our results offer important implications for the future of open outcry and floor‐based trading mechanisms.