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A Necessary and Sufficient Condition for Convergence of Statistical to Strategic Equilibria of Market Games

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Dimitrios P. Tsomocos
Dimitris Voliotis

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Abstract

We analyze a market game where traders are heterogeneous with respect to their rationality level and have asymmetric information. The market mechanism results into a statistical equilibrium, where traders randomise among their available actions due to their limited rationality. We provide a necessary and sufficient condition for convergence of statistical to strategic equilibria of market games, when traders become more informed and increasingly more rational.

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Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2005fe14.

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Date of creation: 2005
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Handle: RePEc:sbs:wpsefe:2005fe14

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  1. Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 937-68, October. [Downloadable!] (restricted)
  2. Kalai, Ehud & Lehrer, Ehud, 1993. "Rational Learning Leads to Nash Equilibrium," Econometrica, Econometric Society, vol. 61(5), pages 1019-45, September. [Downloadable!] (restricted)
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  3. Kalai, Ehud & Lehrer, Ehud, 1994. "Weak and strong merging of opinions," Journal of Mathematical Economics, Elsevier, vol. 23(1), pages 73-86, January. [Downloadable!] (restricted)
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  4. Lehrer, Ehud & Smorodinsky, Rann, 2000. "Relative entropy in sequential decision problems1," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 425-439, May. [Downloadable!] (restricted)
  5. Chen, Hsiao-Chi & Friedman, James W. & Thisse, Jacques-Francois, 1997. "Boundedly Rational Nash Equilibrium: A Probabilistic Choice Approach," Games and Economic Behavior, Elsevier, vol. 18(1), pages 32-54, January. [Downloadable!] (restricted)
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