Research in financial markets has assumed that markets were perfect (agents take prices as given and can not be manipulated), and that all information was public. More recently, after the wave of insider trading scandals in the 1980's, there is recognition that there are some big players who have access to private information and the ability to manipulate market prices. Most of this research is theoretical, and there is little evidence about elementary parameters-like the precision of private information, the level of background noise in a financial market, and the variability of asset returns-that govern risk in such models. The research undertaken by these researchers is working to identify such parameters. After identification, they work to measure how the financial market is manipulated by large traders and market makers. In the end, these researchers measure who gains and who loses.
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