This paper studies robust Bayesian persuasion of a privately informed receiver in which the sender only has limited knowledge about the receiver's private information. The sender is ambiguity averse and has a maxmin expected utility function. We show that when the sender faces full ambiguity,...

We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger...