Market efficiency and learning in an endogenously unstable environment

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dc.contributor.author Goldbaum, David en_US
dc.date.accessioned 2009-12-21T02:36:50Z
dc.date.available 2009-12-21T02:36:50Z
dc.date.issued 2005 en_US
dc.identifier 2006011953 en_US
dc.identifier.citation Goldbaum, David 2005, 'Market efficiency and learning in an endogenously unstable environment', Journal of Economic Dynamics and Control, vol. 29, pp. 953-978. en_US
dc.identifier.issn 0165-1889 en_US
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. en_US
dc.publisher Elsevier B.V. en_US
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.jedc.2004.08.001 en_US
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Economic Dynamics and Control. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Dynamics and Control, [Volume 29, Issue 5, May 2005, Pages 953–978] DOI# http://dx.doi.org/10.1016/j.jedc.2004.08.001 en_US
dc.title Market efficiency and learning in an endogenously unstable environment en_US
dc.parent Journal of Economic Dynamics and Control en_US
dc.journal.volume 29 en_US
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 en_US
dc.personcode 100802 en_US
dc.percentage 100 en_US
dc.classification.name Financial Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Efficient markets; Least-square learning en_US
dc.staffid 100802 en_US


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