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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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Bibliographic Info

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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Web page: http://www.finance.ox.ac.uk
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Find related papers by JEL classification:

• B4 - Schools of Economic Thought and Methodology - - Economic Methodology
• C0 - Mathematical and Quantitative Methods - - General
• C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
• C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
• D5 - Microeconomics - - General Equilibrium and Disequilibrium
• D7 - Microeconomics - - Analysis of Collective Decision-Making
• M2 - Business Administration and Business Economics; Marketing; Accounting - - Business Economics

This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-12-01 (All new papers)
• NEP-GTH-2005-12-01 (Game Theory)

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