We report an exploratory study of the process of price formation in a speculative market in the absence of liquidity traders. Traders exchange a futures contract because they interpret information differently. We formulate trading as a sequence of anonymous double auctions and introduce a notion of bounded rationality in which traders use approximate models of market response in forming their bids. We prove existence of a perfect equilibrium in the sequential anonymous auctions game, and show that the equilibrium has a “no-regret” property. After learning the market price, a trader regrets neither the bid that he made nor the position that he holds. We show that trading volume is related to changes in the distribution of information in the economy. We also show that volume and expected change in price are related to two different attributes of the pattern of private information flow. Fundamentally, no particular relationship between the time series of these variables is always valid for all futures contracts. This point is emphasized by an example.