Evolution, Noise Traders, and Market Efficiency in a One-Sided Auction Market

Guo Ying Luo ()
Additional contact information
Guo Ying Luo: McMaster University

Chapter Chapter 6 in Evolutionary Foundations of Equilibria in Irrational Markets, 2012, pp 113-155 from Springer

Abstract: Abstract This chapter builds an evolutionary model of one-sided buyer auction market toexamine if the informational efficiency would still occur as a long run outcome. Here, each trader’s behavior is preprogramed with its own inherent and fixed probabilities of overpredicting, predicting correctly, and underpredicting the fundamental value of the asset. This chapter shows that, if each buyer’s initial wealth is sufficiently small relative to the market supply and if the variation in the asset’s random shock is sufficiently small, then as time gets sufficiently large, the proportion of time, that the asset price is arbitrarily close to the fundamental value, converges to one with probability one.

Keywords: Asset Price; Positive Probability; Risky Asset; Market Maker; Asset Market (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:steccp:978-1-4614-0712-6_6

Ordering information: This item can be ordered from
http://www.springer.com/9781461407126

DOI: 10.1007/978-1-4614-0712-6_6

Access Statistics for this chapter

More chapters in Studies in Economic Theory from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().