Supplement to "Volatility and the Gains from Trade"

This Online Appendix contains detailed derivations, proofs of propositions and extensions for the model introduced in Section 4 of the main text. Additional information regarding the empirical context of the data in Section 2, robustness related to stylized facts in Section 3, the derivation and estimation of the quantitative model in Section 5 and additional tables and figures mentioned in the main text are contained in the Supplemental Materials posted on both the authors' websites and in the replication files on the journal website.

Treb Allen and David Atkin
Online Appendix