General Equilibrium: Arbitrage and Information

Nikita Kuksin

No 701, CERT Discussion Papers from Centre for Economic Reform and Transformation, Heriot Watt University

Abstract: Adopting a non-probabilistic formulation of the Efficient Markets Hypothesis, this paper looks at its relationship to general equilibrium theory. Shannon's entropy allows us to show that arbitrage-free prices maximise the economy-wide amount of information, thereby bringing the two concepts together.

Keywords: arbitrage; entropy; information; efficient markets (search for similar items in EconPapers)
JEL-codes: D89 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-hpe
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