This paper investigates the strategic interaction of information acquisition and noise trading patterns, as well as its significant implications in market equilibrium outcomes. We consider a market where the strategic trader can dynamically acquire costly information about an asset's payoff via...

This paper investigates the strategic interaction of information acquisition and noise trading patterns, as well as its significant implications in market equilibrium outcomes. We consider a market where the strategic trader can dynamically acquire costly information about an asset's payoff via...

This paper investigates the strategic interaction of information acquisition, information-based dynamic trading, and noise trading patterns, as well as its significant implications on market equilibrium outcomes. We consider a market where the strategic trader can dynamically acquire costly...

In this paper, we provide a closed-form solution to an optimal portfolio execution problem with stochastic price impact and stochastic net demand pressure. Specifically, each trade of an investor has temporary and permanent price impacts, both of which are driven by a continuous-time Markov...