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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. Mordecai Kurz & Maurizio Motolese, "undated". "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
    2. 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.
    3. Alvaro Sandroni, 2000. "Do Markets Favor Agents Able to Make Accurate Predicitions?," Econometrica, Econometric Society, vol. 68(6), pages 1303-1342, November.
    4. 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.
    5. Debreu, Gerard, 1970. "Economies with a Finite Set of Equilibria," Econometrica, Econometric Society, vol. 38(3), pages 387-392, May.
    6. 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.
    7. 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.
    8. 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.
    9. Jan Wenzelburger, 2000. "Convergence of Adaptive Learning Models of Pure Exchange," Econometric Society World Congress 2000 Contributed Papers 1070, Econometric Society.
    10. 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.
    11. Debreu, Gerard, 1974. "Excess demand functions," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 15-21, March.
    12. 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.
    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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