Autore
Sacco, Pier Luigi

Titolo
Noise traders permanence in stock markets: a tâtonnement approach. I: informational dynamics for the two-dimensional case
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1992 - Fascicolo: 62 - Pagina iniziale: 1 - Pagina finale: 37

This paper studies a model of a stock market with noise traders, building on earlier work of De Long et al.; the market is open at discrete points in time; when the market is closed, fictional trade takes place. As fictional trade takes place, traders learn the returns to rational and noise trading as depending on the distribution of rational and noise traders in the population. This in turn changes the distribution of types; the process goes on until a stationary distribution is reached. Conditions for the eventual permanence of noise traders in equilibrium are given, both in a static (evolutionary stability) and in a dynamic (replicator dynamics) evolutionary framework. It is found that a dynamic evolutionary analysis leads to substantial improvements on existing results.



Testo completo: http://hdl.handle.net/1814/413

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