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Market crashes, speculation and learning in financial markets

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  • Patrick Leoni

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  • Patrick Leoni, 2009. "Market crashes, speculation and learning in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(2), pages 217-229, May.
    • Handle: RePEc:spr:joecth:v:39:y:2009:i:2:p:217-229
    DOI: 10.1007/s00199-007-0310-z
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    References listed on IDEAS

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    1. Debreu, Gerard, 1970. "Economies with a Finite Set of Equilibria," Econometrica, Econometric Society, vol. 38(3), pages 387-392, May.
    2. Mordecai Kurz & Maurizio Motolese, "undated". "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
    3. Sandroni, Alvaro, 1998. "Learning, Rare Events, and Recurrent Market Crashes in Frictionless Economies without Intrinsic Uncertainty," Journal of Economic Theory, Elsevier, vol. 82(1), pages 1-18, September.
    4. Kurz, Mordecai, 1994. "On the Structure and Diversity of Rational Beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(6), pages 877-900, October.
    5. Kandel, Eugene & Pearson, Neil D, 1995. "Differential Interpretation of Public Signals and Trade in Speculative Markets," Journal of Political Economy, University of Chicago Press, vol. 103(4), pages 831-872, August.
    6. Jan Wenzelburger, 2002. "Global convergence of adaptive learning in models of pure exchange," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 19(4), pages 649-672.
    7. Jan Wenzelburger, 2000. "Convergence of Adaptive Learning Models of Pure Exchange," Econometric Society World Congress 2000 Contributed Papers 1070, Econometric Society.
    8. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
    9. Debreu, Gerard, 1974. "Excess demand functions," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 15-21, March.
    10. Alvaro Sandroni, 2003. "Speculative trade, asset prices and investment levels," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(2), pages 423-433, March.
    11. Aloisio Araujo & Alvaro Sandroni, 1999. "On the Convergence to Homogeneous Expectations when Markets Are Complete," Econometrica, Econometric Society, vol. 67(3), pages 663-672, May.
    12. Alvaro Sandroni, 2000. "Do Markets Favor Agents Able to Make Accurate Predicitions?," Econometrica, Econometric Society, vol. 68(6), pages 1303-1342, November.
    13. J. Michael Harrison & David M. Kreps, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 92(2), pages 323-336.
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    Cited by:

    1. Kukushkin, Nikolai S., 2015. "Robert Louis Stevenson's Bottle Imp: A strategic analysis," MPRA Paper 64639, University Library of Munich, Germany.

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    More about this item

    Keywords

    Asset pricing; Price convergence; Rational expectations; Learning; G12;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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