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.

我们估计了噪声交易的现实过程，以帮助理论家从嘈杂的理性预期模型中得出预测。我们描述了个人投资者的交易特征，他们是噪声交易者角色的自然候选人，因为他们的交易与基本面的相关性较弱，这与这些模型如何定义噪声交易一致。来自零售经纪公司的数据、TAQ 中的小规模和价格上涨的交易以及流向零售共同基金的数据产生一致的估计。噪声交易的特性对所考虑的频率高度敏感，一般假设 iid-normal 噪声仅适用于每月和更低的频率。