Market efficiency and learning in an endogenously unstable environment

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dc.contributor.author Goldbaum, D
dc.date.accessioned 2009-12-21T02:36:50Z
dc.date.issued 2005-05
dc.identifier.citation Journal of Economic Dynamics and Control, 2005, 29 (5), pp. 953 - 978
dc.identifier.issn 0165-1889
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/5143
dc.description.abstract An informationally inefficiency market is produced without an exogenous source of noise in the price. Fundamental traders acquire private information directly through research. Regression traders employ a learning process to extract the private fundamental information from the public price. The relative popularity between these two strategies evolves based on performance. The model converges towards adoption of regression analysis to the point of creating instability, endogenously producing a noisy price. The lack of a revealing price in the coupled learning and population processes reflects the Grossman and Stiglitz (Amer. Econ. Rev. 70(3)(1980)393) impossibility of informationally efficient markets. © 2004 Elsevier B.V. All rights reserved.
dc.language eng
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1016/j.jedc.2004.08.001
dc.title Market efficiency and learning in an endogenously unstable environment
dc.type Journal Article
dc.description.version Published
dc.parent Journal of Economic Dynamics and Control
dc.journal.volume 5
dc.journal.volume 29
dc.publocation Netherlands en_US
dc.identifier.startpage 953 en_US
dc.identifier.endpage 978 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140207 Financial Economics
dc.personcode 100802
dc.percentage 100 en_US
dc.classification.name Financial Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Efficient markets
dc.description.keywords Least-square learning
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Study of Choice
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
pubs.consider-herdc false
utslib.collection.history Economics (ID: 372)
utslib.collection.history General (ID: 2)


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