Speculation and Equilibrium: Information, Risk, and Markets
نویسندگان
چکیده
منابع مشابه
On the Gains and Losses of Speculation in Equilibrium Markets
In computational markets utilizing algorithms that establish a market equilibrium (general equilibrium), competitive behavior is usually assumed: each agent makes its demand (supply) decisions so as to maximize its utility (pro t) assuming that it has no impact on market prices. However, there is a potential gain from strategic behavior (via speculating about others) because an agent does a ect...
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This paper analyzes information acquisition in double auction markets and shows that for any finite information cost, if the number of traders and the units a trader is allowed to trade are sufficiently large, then an efficient equilibrium allocation fails to exist. For a large set of parameter values any equilibrium with positive volume of trade has the following properties. Ex ante identicall...
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I conduct an experiment to observe individual traders beliefs and desired behavior in a partial-equilibrium asset market. Isolated traders trade a risky asset in a market with exogenous prices. The price series exhibits a "bubble," diverging strongly from the expected dividend yield. Before trading, traders predict the assets price in the upcoming period, the price in the nal period, and the...
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The paper analyzes a finite time economy with a single risky asset which pays a one-shot payoff (dividend). The payoff is random and its distribution is not known à priori. Agents observe public signals (random draws from the same distribution) and update their beliefs about the payoff. They trade in order to reshuffle their portfolios according to new beliefs. Agents may use various updating r...
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ژورنال
عنوان ژورنال: The Quarterly Journal of Economics
سال: 1975
ISSN: 0033-5533
DOI: 10.2307/1884690