Self-organization and the persistence of noise in financial markets
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- P. Bak & M. Paczuski & Martin Shubik, 1996.
"Price Variations in a Stock Market with Many Agents,"
Cowles Foundation Discussion Papers
1132, Cowles Foundation for Research in Economics, Yale University.
- Bak, P. & Paczuski, M. & Shubik, M., 1997. "Price variations in a stock market with many agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 430-453.
- P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers 96-09-075, Santa Fe Institute.
- Bray, Margaret, 1982. "Learning, estimation, and the stability of rational expectations," Journal of Economic Theory, Elsevier, vol. 26(2), pages 318-339, April.
- Sanford J Grossman & Joseph E Stiglitz, 1997.
"On the Impossibility of Informationally Efficient Markets,"
Levine's Working Paper Archive
1908, David K. Levine.
- 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.
- 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.
- David Goldbaum, 2004.
"Market Efficiency and Learning in an Endogenously Unstable Environment,"
Working Papers Rutgers University, Newark
2004-002, Department of Economics, Rutgers University, Newark.
- Goldbaum, David, 2005. "Market efficiency and learning in an endogenously unstable environment," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 953-978, May.
- David Goldbaum, 2001. "Market Efficiency and Learning in an Endogenously Unstable Environment," Computing in Economics and Finance 2001 105, Society for Computational Economics.
- Hussman, John P., 1992. "Market efficiency and inefficiency in rational expectations equilibria : Dynamic effects of heterogeneous information and noise," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 655-680.
- J. Berg & M. Marsili & A. Rustichini & R. Zecchina, 2001.
"Statistical mechanics of asset markets with private information,"
Taylor & Francis Journals, vol. 1(2), pages 203-211.
- Johannes Berg & Matteo Marsili & Aldo Rustichini & Riccardo Zecchina, 2001. "Statistical mechanics of asset markets with private information," Papers cond-mat/0101351, arXiv.org.
- Routledge, Bryan R, 1999. "Adaptive Learning in Financial Markets," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1165-1202.
- Muendler, Marc-Andreas, 2007. "The possibility of informationally efficient markets," Journal of Economic Theory, Elsevier, vol. 133(1), pages 467-483, March.
- Damien Challet & Matteo Marsili, 2002. "Criticality and finite size effects in a simple realistic model of stock market," Papers cond-mat/0210549, arXiv.org, revised Dec 2002.
- Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
- Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
- Branch, William A. & McGough, Bruce, 2008. "Replicator dynamics in a Cobweb model with rationally heterogeneous expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 65(2), pages 224-244, February.
- HELLWIG, Martin F., .
"Rational expectations equilibrium with conditioning on past prices: a mean-variance example,"
CORE Discussion Papers RP
-480, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hellwig, Martin F., 1982. "Rational expectations equilibrium with conditioning on past prices: A mean-variance example," Journal of Economic Theory, Elsevier, vol. 26(2), pages 279-312, April.
- Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, vol. 22(3), pages 477-498, June.
- Marcet, Albert & Sargent, Thomas J, 1989. "Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information," Journal of Political Economy, University of Chicago Press, vol. 97(6), pages 1306-22, December.
- Timmermann, Allan, 1996. "Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning," Review of Economic Studies, Wiley Blackwell, vol. 63(4), pages 523-57, October.
When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1837-1855. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.