Dissertation/Thesis Abstract

Essays on Price Dynamics and Market Selection
by Massari, Filippo, Ph.D., Washington University in St. Louis, 2013, 72; 3559425
Abstract (Summary)

This paper analyzes and characterizes the dynamics of wealth-share and equilibrium price in a stochastic general equilibrium model with heterogeneous consumers. The characterization enables a comparison between probabilistic learning and price evolution, revealing that prices incorporate "sparse" information efficiently. Results on wealth-share are obtained by comparing traders' optimal investment-consumption plans against their prices. This novel approach extends recent results in the literature by providing a condition that is necessary as well as sufficient for a trader to vanish. The results are applied to survival in iid, survival in large economies, and survival of traders that follow strategies commonly observed in real markets.

Indexing (document details)
Advisor: Ploberger, Werner, Nachbar, John
Commitee: Berliant, Marcus, Hamilton, Bart, Natenzon, Paulo, Said, Maher
School: Washington University in St. Louis
Department: Economics
School Location: United States -- Missouri
Source: DAI-A 74/08(E), Dissertation Abstracts International
Subjects: Economics, Finance
Keywords: Asset pricing, General equilibrium, Learning, Market selection
Publication Number: 3559425
ISBN: 978-1-303-04486-1
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