This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Functional Rational Expectations Equilibria in Market Games

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Shorish, Jamsheed (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)

Additional information is available for the following registered author(s):

Abstract

The rational expectations equilibrium has been criticized as an equilibrium concept in market game environments. Such an equilibrium may not exist generically, or it may introduce unrealistic assumptions about an economic agent's knowledge or computational ability. We define a rational expectations equilibrium as a probability measure over uncertain states of nature which exploits all available information in a market game, and which exists for almost all economies. Furthermore, if retrading is allowed, it is possible for agents to compute such a 'functional rational expectations equilibrium' using straightforward numerical fixed point algorithms.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ihs.ac.at/publications/eco/es-186.pdf
File Format: application/pdf
File Function: First version, 2006
Download Restriction: no

Publisher Info
Paper provided by Institute for Advanced Studies in its series Economics Series with number 186.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 17 pages
Date of creation: Feb 2006
Date of revision:
Handle: RePEc:ihs:ihsesp:186

Contact details of provider:
Postal: Stumpergasse 56, A-1060 Vienna, Austria
Phone: ++43 - (0)1 - 599 91 - 0
Fax: ++43 - (0)1 - 599 91 - 555
Web page: http://www.ihs.ac.at/index.php3?id=310
More information through EDIRC

Order Information:
Postal: Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria

For technical questions regarding this item, or to correct its listing, contact: (Wolfgang Nessler).

Related research
Keywords: Market game; Rational expectations equilibrium; Bayesian updating; Learning; Computation;

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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. Martin Shubik & Nicolaas J. Vriend, 1999. "A Behavioral Approach to a Strategic Market Game," Research in Economics 99-01-003e, Santa Fe Institute. [Downloadable!]
  2. Dubey, Pradeep & Sahi, Siddharta & Shubik, Martin, 1993. "Repeated trade and the velocity of money," Journal of Mathematical Economics, Elsevier, vol. 22(2), pages 125-137. [Downloadable!] (restricted)
    Other versions:
  3. Dubey, P. & Rogawski, J. D., 1990. "Inefficiency of smooth market mechanisms," Journal of Mathematical Economics, Elsevier, vol. 19(3), pages 285-304. [Downloadable!] (restricted)
  4. Ghosal, Sayantan & Morelli, Massimo, 2004. "Retrading in market games," Journal of Economic Theory, Elsevier, vol. 115(1), pages 151-181, March. [Downloadable!] (restricted)
    Other versions:
  5. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  6. Kelly, David L. & Shorish, Jamsheed, 2000. "Stability of Functional Rational Expectations Equilibria," Journal of Economic Theory, Elsevier, vol. 95(2), pages 215-250, December. [Downloadable!] (restricted)
    Other versions:
  7. Pradeep Dubey & John Geanakoplos & Martin Shubik, 1982. "Revelation of Information in Strategic Market Games: A Critique of Rational Expectations," Cowles Foundation Discussion Papers 634R, Cowles Foundation, Yale University, revised Nov 1985. [Downloadable!]
  8. Dubey, Pradeep, 1980. "Nash equilibria of market games: Finiteness and inefficiency," Journal of Economic Theory, Elsevier, vol. 22(2), pages 363-376, April. [Downloadable!] (restricted)
  9. James Peck & Matthew O. Jackson, 1999. "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer, vol. 13(3), pages 603-628. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? Each page is provided with a technical contact, in case something is not right with the supplied information. See under "publisher info".

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.