Market efficiency and learning in an endogenously unstable environment

DOI10.1016/J.JEDC.2004.08.001zbMath1202.91109OpenAlexW1965653310MaRDI QIDQ953783

David Goldbaum

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.08.001

zbMATH Keywords

efficient marketsleast-square learning

Mathematics Subject Classification ID

Economics of information (91B44) Rationality and learning in game theory (91A26)

Related Items (4)

Informational differences and learning in an asset market with boundedly rational agents ⋮ The heterogeneous expectations hypothesis: Some evidence from the lab ⋮ Profitable technical trading rules as a source of price instability ⋮ Self-organization and the persistence of noise in financial markets

Cites Work

• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• On the aggregation of information in competitive markets
• Learning, estimation, and the stability of rational expectations
• Market efficiency and inefficiency in rational expectations equilibria. Dynamic effects of heterogeneous information and noise
• Evolutionarily stable strategies and game dynamics
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Learning through reinforcement and replicator dynamics
• Endogenous fluctuations under evolutionary pressure in Cournot competition
• INFORMATION DYNAMICS IN FINANCIAL MARKETS
• Two Competing Models of How People Learn in Games
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning

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