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Learning from arbitrage

Author

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  • Lionel De Boisdeffre

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CATT - Centre d'Analyse Théorique et de Traitement des données économiques - UPPA - Université de Pau et des Pays de l'Adour)

Abstract

We extend the refinement of information process presented in [3] to a model with uncountably many states of nature. This setting has the larger scope. It encompasses, in particular, the model of [3], where agents may have private information, and the model of [5], where they have private information, anticipations and beliefs. With no price model a la Radner (1972, 1979), and even no price to be observed, we show how agents may always infer information from ?nancial markets, whenever required, and narrow down their anticipation sets, until all arbitrage is precluded.

Suggested Citation

  • Lionel De Boisdeffre, 2015. "Learning from arbitrage," Working Papers hal-01871573, HAL.
    • Handle: RePEc:hal:wpaper:hal-01871573
    Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-01871573
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    File URL: https://univ-pau.hal.science/hal-01871573/document
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    References listed on IDEAS

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    1. Bernard Cornet & Lionel Boisdeffre, 2009. "Elimination of arbitrage states in asymmetric information models," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 287-293, February.
    2. Bernard Cornet & Lionel Boisdeffre, 2009. "Elimination of arbitrage states in asymmetric information models," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 287-293, February.
    3. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-678, May.
    4. Hart, Oliver D., 1975. "On the optimality of equilibrium when the market structure is incomplete," Journal of Economic Theory, Elsevier, vol. 11(3), pages 418-443, December.
    5. Cornet, Bernard & De Boisdeffre, Lionel, 2002. "Arbitrage and price revelation with asymmetric information and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 38(4), pages 393-410, December.
    6. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
    Full references (including those not matched with items on IDEAS)

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