Divergent rational expectations equilibrium in a dynamic model of a futures market

DOI10.1016/0022-0531(78)90069-8zbMath0434.90030OpenAlexW2027030339MaRDI QIDQ1140033

George M. Feiger

Publication date: 1978

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(78)90069-8

zbMATH Keywords

rational expectationsrisk aversioninformed tradersfutures marketrandom walk theoryinformation patternsrisk neutralityuninformed traders

Mathematics Subject Classification ID

Applications of statistics (62P99) Economic growth models (91B62) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Cites Work

• The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
• Portfolio Analysis in a Stable Paretian Market
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