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- W3131787310 endingPage "100618" @default.
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- W3131787310 abstract "We estimate a realistic process for noise trading to help theorists derive predictions from noisy rational expectations models. We characterize the trades of individual investors, who are natural candidates for the role of noise traders because their trades are weakly correlated with fundamentals, in line with how such models define noise trading. Data from a retail brokerage house, small and price-improved trades in TAQ, and flows to retail mutual funds yield consistent estimates. The properties of noise trading are highly sensitive to the frequency considered, with the common assumption of i.i.d.-normal noise appropriate only at monthly and lower frequencies." @default.
- W3131787310 created "2021-03-01" @default.
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- W3131787310 date "2021-06-01" @default.
- W3131787310 modified "2023-10-13" @default.
- W3131787310 title "Noise traders incarnate: Describing a realistic noise trading process" @default.
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- W3131787310 doi "https://doi.org/10.1016/j.finmar.2020.100618" @default.
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