Market efficiency and inefficiency in rational expectations equilibria. Dynamic effects of heterogeneous information and noise
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Publication:1200322
DOI10.1016/0165-1889(92)90053-HzbMath0825.90129OpenAlexW2116042397MaRDI QIDQ1200322
Publication date: 16 January 1993
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1889(92)90053-h
Related Items (9)
Models of information aggregation in financial markets: a review ⋮ Market equilibria with endogenous, hierarchical information ⋮ Dynamic portfolio choice and asset pricing with differential information ⋮ On aggregation of information in competitive markets: The dynamic case ⋮ Asset pricing with flexible beliefs ⋮ Market efficiency and learning in an endogenously unstable environment ⋮ Self-organization and the persistence of noise in financial markets ⋮ Speculative dynamics with bounded rationality learning ⋮ Financial returns and efficiency as seen by an artificial technical analyst
Cites Work
- Equilibrium with signal extraction from endogenous variables
- Convergence of least squares learning mechanisms in self-referential linear stochastic models
- On the aggregation of information in competitive markets
- Information, trade and common knowledge
- Learning, estimation, and the stability of rational expectations
- Optimal Properties of Exponentially Weighted Forecasts
- A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
- Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
- On the Possibility of Speculation under Rational Expectations
- Information Acquisition in a Noisy Rational Expectations Economy
- Smart Money, Noise Trading and Stock Price Behaviour
- The General Theory of Employment, Interest, and Money
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