ON THE SOPHISTICATION OF FINANCIAL INVESTORS AND THE INFORMATION REVEALED BY PRICES

被引：0

作者：

Carvajal, Andres ^{[1
,2
]}

Zhou, Hang ^{[3
]}

机构：

[1] Univ Calif Davis, Davis, CA 95616 USA

[2] EPGE FGV, Botafogo, Brazil

[3] Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China

来源：

JOURNAL OF DYNAMICS AND GAMES | 2025年 / 12卷 / 04期

关键词：

Rational expectations; level-k reasoning; radner equilibrium; RATIONAL-EXPECTATIONS; SELECTION; STABILITY;

D O I：

10.3934/jdg.2024024

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Does increasing the traders' understanding of the financial markets lead to their more orderly functioning? We provided an answer by studying a simple exchange economy with asymmetric information. Each trader was either a fundamentalist, who knew the probability distribution of random shocks, or a speculator trying to infer that distribution from asset prices. Starting with the unsophisticated beliefs that asset prices transfmitted no information, the speculators learned the mapping from asset prices to probabilities through adaptive observation. Our results characterized the necessary conditions for convergence to rational expectations equilibrium.

引用

页码：406 / 414

页数：9

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