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Price Discovery Processes

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  • 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.

Suggested Citation

  • Stein, Jerome L, 1992. "Price Discovery Processes," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 34-45, Supplemen.
  • Handle: RePEc:bla:ecorec:v:0:y:1992:i:0:p:34-45
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    Cited by:

    1. Chichilnisky, Graciela, 1998. "The economics of global environmental risk," MPRA Paper 8812, University Library of Munich, Germany.
    2. A. G. Malliaris & Jerome L. Stein, 2005. "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters,in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 8, pages 85-115 World Scientific Publishing Co. Pte. Ltd..
    3. Brorsen, B. Wade & Irwin, Scott H., 1996. "Improving the Relevance of Research on Price Forecasting and Marketing Strategies," Agricultural and Resource Economics Review, Cambridge University Press, vol. 25(01), pages 68-75, April.
    4. Anonymous, 1997. "Price Discovery in Concentrated Livestock Markets: Issues, Answers, Future Directions," Research Institute on Livestock Pricing Publications 232724, Virginia Tech, Department of Agricultural and Applied Economics.
    5. Chichilnisky, Graciela, 1996. "Markets with endogenous uncertainty: theory and policy," MPRA Paper 8612, University Library of Munich, Germany.

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