On aggregation of information in competitive markets: the dynamic case

Article Abstract:

Participants in various dynamic competitive security market utilize the information quoted in the market prices, which in turn is derived from the various elements of information from most participants. The use of market prices creates a rational market equilibrium without making an agent's private information insignificant. The market price is found to demonstrate only the portion of private information that is common to the signals of a large number of agents.

Economics, Research and Development in the Social Sciences and Humanities, Analysis, Investment analysis, Securities analysis

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Expectations, (in)stability and (in)viability in realistic overlapping cohorts models

Article Abstract:

The dynamics generated by rational expectations in overlapping cohorts models is often unstable as well as unviable that even the steady states can hardly be simulated, while the dynamics generated by naive expectations is practically asymptotically stable and viable around the lower steady state. This was gleaned from an analysis of the multi-cohort generalization of overlapping generations models.

Econometrics & Model Building, Models, Econometrics, Macroeconomics, Business models, Economic stagnation

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Market efficiency and inefficiency in rational expectations equilibria: dynamic effect of heterogenous information and noise

Article Abstract:

A study was done to analyze time series properties and efficiency of securities markets. In these markets, traders with various market information create rational expectations and signals based on the endogenous market price. Market prices reflect all market knowledge when trader speculation is the only source of trade. When information is limited to a few agents, the market variations occur.

Prices and rates, Securities, Securities prices

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