Do Markets Favor Agents able to Make Accurate Predictions?

DOI10.1111/1468-0262.00163zbMATH Open1055.91539OpenAlexW2159754748MaRDI QIDQ4530987FDOQ4530987

Alvaro Sandroni

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00163

Mathematics Subject Classification ID

Trade models (91B60)

Cited In (68)

• Recursive equilibrium with price perfect foresight and a minimal state space
• The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors
• IRRATIONALITY‐PROOFNESS: MARKETS VERSUS GAMES
• Evolutionary justifications for non-Bayesian beliefs
• Optimal growth strategies in a stochastic market model with endogenous prices
• Social contagion and the survival of diverse investment styles
• Scoring Probability Forecasts by a User’s Bets Against a Market Consensus
• Capital Growth and Survival Strategies in a Market with Endogenous Prices
• Procedural rationality, asset heterogeneity and market selection
• Survival in Cournot games
• Rational expectations and monopolistic trades
• Live fast, die young: equilibrium and survival in large economies
• Price probabilities: a class of Bayesian and non-Bayesian prediction rules
• The dynamics of efficient asset trading with heterogeneous beliefs
• Market selection in large economies: A matter of luck
• Evolutionary portfolio selection with liquidity shocks
• Market selection when markets are incomplete
• Markets do not select for a liquidity preference as behavior towards risk
• Long-run heterogeneity in an exchange economy with fixed-mix traders
• Equilibrium asset pricing with Epstein-Zin and loss-averse investors
• The possibility of informationally efficient markets
• Market selection with an endogenous state
• The evolution of portfolio rules and the capital asset pricing model
• Evolution and market behavior with endogenous investment rules
• The reality game
• Optimality and natural selection in markets
• Are inefficient entrepreneurs driven out of the market?
• Ambiguity aversion in the long run: ``to disagree, we must also agree
• Market crashes, speculation and learning in financial markets
• Do asset market prices reflect traders' judgment biases?
• Existence of an equilibrium for infinite horizon economies with and without complete information
• Self-enforcement, heterogeneous agents, and long-run survival
• Markets with heterogeneous beliefs: a necessary and sufficient condition for a trader to vanish
• Momentum and reversal in financial markets with persistent heterogeneity
• Market power, survival and accuracy of predictions in financial markets
• Are biased beliefs fit to survive? An experimental test of the market selection hypothesis
• A continuous-time asset market game with short-lived assets
• Market selection and learning under model misspecification
• Live fast, die young
• Loss aversion, survival and asset prices
• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY
• Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
• Market selection with learning and catching up with the Joneses
• Asset market games of survival: a synthesis of evolutionary and dynamic games
• Survival in speculative markets
• Consumption dynamics in general equilibrium: a characterisation when markets are incomplete
• Can irrational investors survive in the long run? The role of generational type transmission
• Belief heterogeneity and survival in incomplete markets
• Drift criteria for persistence of discrete stochastic processes on the line
• On non-ergodic asset prices
• Market selection: hungry misers and bloated bankrupts
• Evolutionary stability of portfolio rules in incomplete markets
• What to maximize if you must
• Market selection and survival of investment strategies
• Robust control and model misspecification
• Economic Darwinism: Who has the best probabilities?
• Relative entropy in sequential decision problems
• Survival with ambiguity
• The market organism: Long-run survival in markets with heterogeneous traders
• Globally evolutionarily stable portfolio rules
• Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate
• Market selection with idiosyncratic uncertainty
• Rumours and markets
• Evolutionary game theory: a renaissance
• Market selection
• Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes
• Conservative traders, natural selection and market efficiency
• The dynamics of risk-sensitive allocations

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