Learning, rare events, and recurrent market crashes in frictionless economies without intrinsic uncertainty

Article Abstract:

The presence of speculative trade in a dynamically complete environment was confirmed using a standard dynamic asset pricing model. It was revealed that the presence of sunspots tends to create a certain degree of uncertainty in markets where agents are long-lived. It was further shown that despite the homogenity of factors and beliefs, market crashes are still likely to prevail due to the tendency of wealth to bounce back and fourth from one agent to another.

Models, Pricing

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Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information

Article Abstract:

Research is presented concerning the study of a stochastic pure exchange economy which features trading between a locally riskless bond and a single risky asset. Brownian motion is used to describe the underlying risks.

Financial markets, Capital assets, Brownian motion

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Ex post efficiency in the buyer's bid double auction when demand can be arbitrarily larger than supply

Article Abstract:

Research is presented concerning the rate of convergence to efficiency in a sequence of markets featuring buyer's bid double auctions where the number of sellers is less than the number of buyers.

Negotiation, Negotiations, Letter to the Editor, Efficient market theory, Convergence (Mathematics)

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