Divergent rational expectations equilibrium in a dynamic model of a futures market

Keywords

Rationality, Futures contract, Fuzzy logic, Contrast (vision), Economics

References

• On the Impossibility of Informationally Efficient MarketsSanford J. Grossman — 1980
• Economic theory of teamsJacob Marschak, Roy Radner — 1972
• Informational efficiency in stock markets with disequilibrium tradingLawrence R. Glosten — 1979
• The Existence of Futures Markets, Noisy Rational Expectations and Informational ExternalitiesSanford J. Grossman — 1977
• The Behavior of Stock-Market PricesEugene F. Fama — 1965
• Information and Competitive Price SystemsJoseph E. Stiglitz, Sanford J. Grossman — 1976
• Optimal Statistical DecisionsD. V. Lindley, Morris de Groot — 1971
• The Theory Of Stochastic ProcessesB.D. Bunday — 1977
• Optimal Statistical DecisionsPaul H. Randolph, Morris H. de Groot — 1970

Cited by

• Options and market information: a mean-variance portfolio approachDavid W. Bullock — 1989
• Evolutionary Foundations of Equilibria in Irrational MarketsGuo Ying Luo — 2011
• On Kernels and SentimentHersh Shefrin — 2001
• Essays in economic theoryJ. Tirole — 1981
• Informational efficiency in stock markets with disequilibrium tradingLawrence R. Glosten — 1979
• Smart Money, Dumb Money, and Learning Type from PriceJ.B. Heaton, Nick Polson — 2012
• Fuzzy options with application to default risk analysis for municipal bonds in ChinaLiyan Han, Chengli Zheng — 2005
• Asymmetric information and portfolio performance measurementBradford Cornell — 1979
• Market Efficiency and Natural Selection in a Commodity Futures MarketGuo Ying Luo — 1998
• Conservative traders, natural selection and market efficiencyGuo Ying Luo — 2012
• Economic natural selectionLawrence E. Blume, David Easley — 1993
• Evolution and market behaviorLawrence E. Blume, David Easley — 1992
• On the Possibility of Speculation under Rational ExpectationsJean Tirole — 1982
• Volume, Volatility, Price, and Profit When All Traders Are Above AverageTerrance Odean — 1998
• Natural Selection and Market Efficiency in a Futures Market with Random ShocksGuo Ying Luo — 2001
• The Evolution of Equilibria in Irrational MarketsGuo Ying Luo — 2017
• Recent Developments in the Theory of Efficient Capital MarketsTorben M. Andersen — 1985
• Volume, Volatility, Price, and Profit When All Traders Are Above AverageTerrance Odean — 1998
• Evolution and Informationally Efficient Equilibrium in a Commodity Futures MarketG. Luo — 2012
• Kapitalmarkteffizienz und Informationsfunktion des JahresabschlussesThomas Schildbach — 1986

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