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Price Discovery Processes

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Author Info

  • Stein, Jerome L

Abstract

This paper analyzes two price discovery processes: ordinary least squares learning from public information and a Bayesian learni ng made feasible by futures markets. The former tends to produce cobwe b behavior. In the latter, there is no cobweb, there is a faster convergence to Muth rational expectations, and the forecast errors are positively serially correlated. The evidence drawn from the Sydney Futures Exchange is consistent with the Bayesian learning process. Copyright 1992 by The Economic Society of Australia.

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Bibliographic Info

Article provided by The Economic Society of Australia in its journal The Economic Record.

Volume (Year): 0 (1992)
Issue (Month): 0 (Supplement)
Pages: 34-45

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Handle: RePEc:bla:ecorec:v:0:y:1992:i:0:p:34-45

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Cited by:
  1. Chichilnisky, Graciela, 1996. "Markets with endogenous uncertainty: theory and policy," MPRA Paper 8612, University Library of Munich, Germany.
  2. Malliaris, A. G. & Stein, Jerome L., 1999. "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1605-1635, November.
  3. Chichilnisky, Graciela, 1998. "The economics of global environmental risk," MPRA Paper 8812, University Library of Munich, Germany.
  4. Brorsen, B. Wade & Irwin, Scott H., 1996. "Improving The Relevance Of Research On Price Forecasting And Marketing Strategies," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 25(1), April.

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