Autore
Palomino, Frédéric

Titolo
Noise trading in small markets
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1994 - Fascicolo: 18 - Pagina iniziale: 1 - Pagina finale: 25

Noise traders have often been defined as those who falsely believe th at they have private information about the future price of risky assets. Using such a definition, it was dem onstrated that, in perfectly competitive markets, when trading against rational investors, noise traders are always expected to disappear in the long run if the im itation rule chosen is based on relative utility levels. In this article, we focus on the survival of noise traders in imperfectly competitive markets. Under such an assumption, we dem onstrate th at there exist im itation rules based on relative utility levels such th at noise traders dominate the market in the long run.



Testo completo: http://hdl.handle.net/1814/498

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