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Self-organization and the persistence of noise in financial markets

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  • Goldbaum, David

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 30 (2006)
Issue (Month): 9-10 ()
Pages: 1837-1855

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Handle: RePEc:eee:dyncon:v:30:y:2006:i:9-10:p:1837-1855
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. 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.
  2. 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.
  3. 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.
  4. Johannes Berg & Matteo Marsili & Aldo Rustichini & Riccardo Zecchina, 2001. "Statistical mechanics of asset markets with private information," Papers cond-mat/0101351, arXiv.org.
  5. David Goldbaum, 2001. "Market Efficiency and Learning in an Endogenously Unstable Environment," Computing in Economics and Finance 2001 105, Society for Computational Economics.
  6. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
  7. Allan Timmermann, 1996. "Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning," Review of Economic Studies, Oxford University Press, vol. 63(4), pages 523-557.
  8. Bray, Margaret, 1982. "Learning, estimation, and the stability of rational expectations," Journal of Economic Theory, Elsevier, vol. 26(2), pages 318-339, April.
  9. Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, vol. 22(3), pages 477-498, June.
  10. Routledge, Bryan R, 1999. "Adaptive Learning in Financial Markets," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1165-1202.
  11. 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).
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Muendler, Marc-Andreas, 2007. "The possibility of informationally efficient markets," Journal of Economic Theory, Elsevier, vol. 133(1), pages 467-483, March.
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Cited by:

  1. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009. "More hedging instruments may destabilize markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1912-1928, November.
  2. Bouwe R. Dijkstra, 2011. "Good and Bad Equilibria with the Informal Sector," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 167(4), pages 668-685, December.
  3. Florian Hauser & Jürgen Huber & Bob Kaempff, 2015. "Costly Information in Markets with Heterogeneous Agents: A Model with Genetic Programming," Computational Economics, Society for Computational Economics, vol. 46(2), pages 205-229, August.
  4. Caccioli, Fabio & Marsili, Matteo, 2010. "Information efficiency and financial stability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 4, pages 1-20.
  5. Goldbaum, David & Panchenko, Valentyn, 2010. "Learning and adaptation's impact on market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 635-653, December.
  6. David Goldbaum, 2013. "Learning and Adaptation as a Source of Market Failure," Working Paper Series 14, Economics Discipline Group, UTS Business School, University of Technology, Sydney.

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