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General Equilibrium: Arbitrage and Information

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Author Info
Nikita Kuksin
Abstract

Adopting a non-probabilistic formulation of the Efficient Markets Hypothesis, this paper looks at its relationship to general equilibrium theory. Shannon's entropy allows us to show that arbitrage-free prices maximise the economy-wide amount of information, thereby bringing the two concepts together.

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File URL: http://www.sml.hw.ac.uk/cert/wpa/2007/dp0701.pdf
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Publisher Info
Paper provided by Centre for Economic Reform and Transformation, Heriot Watt University in its series CERT Discussion Papers with number 0701.

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Date of creation: 2007
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Handle: RePEc:hwe:certdp:0701

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Related research
Keywords: arbitrage; entropy; information; efficient markets;

Find related papers by JEL classification:
D89 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Other

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
  2. Richard E. Kihlstrom & Leonard J. Mirman, 1975. "Information and Market Equilibrium," Bell Journal of Economics, The RAND Corporation, vol. 6(1), pages 357-376, Spring. [Downloadable!] (restricted)
  3. Akerlof, George A, 1970. "The Market for 'Lemons': Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, MIT Press, vol. 84(3), pages 488-500, August. [Downloadable!] (restricted)
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