Noise and aggregation of information in large markets

► We introduce a new notion of noise within the standard rational expectations paradigm. ► We endogenize the measure of informed agents as the size of the economy grows. ► We show how prices converge to a partially revealing equilibrium, even when per capita noise tends to zero. ► We also study information markets and information acquisition in multi-asset markets. ► Our notion of large noise is necessary and sufficient to yield limiting economies where agents act competitively.