IDEAS home Printed from https://ideas.repec.org/p/sce/scecf4/139.html
   My bibliography  Save this paper

On the Possibility of Informationally Efficient Markets

Author

Listed:
  • David Goldbaum

Abstract

In a dynamic asset pricing model informed traders receive a noisy signal of the value of a risky asset while uninformed traders learn to extract the information from the price. The relative popularity of the two strategies depends on past performance. An "intensity of choice" parameter is endogenous, reflecting the traders" confidence in selecting the better of the two strategies. The asymptotic properties of the model depend on the evolutionary process for modeling relative popularity. It also depends on how the treatment of the convergence of the model as the popularity of being informed declines towards zero. It is possible to create prices that are arbitrarily close to perfect efficient

Suggested Citation

  • David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets," Computing in Economics and Finance 2004 139, Society for Computational Economics.
    • Handle: RePEc:sce:scecf4:139
    as

    Download full text from publisher

    File URL: http://andromeda.rutgers.edu/~goldbaum/papers/PossibilityEM.pdf
    File Function: main text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Market Efficiency; Asset Pricing; Learning;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:139. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/sceeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.