Statistical mechanics of asset markets with private information

Quantitative Finance

Volumn 1, Issue 2, 2001, Pages 203-211

  Berg, Johannes ^a   Marsili, Matteo ^b   Rustichini, Aldo ^c   Zecchina, Riccardo ^a  

^a ABDUS SALAM INTERNATIONAL CENTRE FOR THEORETICAL PHYSICS   (Italy)

^b INFM   (Italy)

^c UNIVERSITY OF MINNESOTA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008794154     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/713665667     Document Type: Article

References (18)

1. The first influential paper to prove this statement in a formal model is Akerlof G 1970 The market for lemons Q. J. Economics 89 488–500.
2. Shiller R S 1989 Market Volatility (Cambridge, MA: MIT Press)
3. Lo A W and Mackinlay A C 1999 A Non-Random Walk Down Wall Street (Princeton, NJ: Princeton University Press)
4. Gul F and Postlewaite A 1992 Asymptotic efficiency in large exchange economies with asymmetric information Econometrica 60 1273–92
5. Rustichini A, Satterthwaite M and Williams S 1994 Convergence to efficiency in a simple market with incomplete information Econometrica 62 1041–63
6. A very useful survey of the results in this area is in O’Hara M 1994 Market Microstructure Theory (Malden, MA: Blackwell)
7. Malkiel B 1992 Efficient market hypothesis New Palgrave Dictionary of Money and Finance ed P Newman, M Milgate and J Eatwell (London: MacMillan)
8. A classic paper for the efficient market hypothesis is Fama E F 1970 Efficient capital markets: a review of theory and empirical work J. Finance 25 383–420
9. For recent and critical evaluations see for instance Shiller R S 1989 Market Volatility (Cambridge, MA: MIT Press)
10. Lo A W and Mackinlay A C 1999 A Non-Random Walk Down Wall Street (Princeton, NJ: Princeton University Press).
11. Borgers T and Sarin R 1997 Learning through reinforcement and replicator dynamics J. Economic Theory 77 1–14
12. Easley D and Rustichini A 1999 Choice without belief Econometrica 67 1157–84
13. There is even a growing experimental literature. For an illuminating survey, see Fudenberg D and Levine D 1998 The Theory of Learning in Games (Cambridge, MA: MIT Press).
14. Shapley L and Shubik M 1977 Trade using one commodity as a means of payment J. Political Economy 85 937–68
15. Mézard M, Parisi G and Virasoro M A 1987 Spin Glass Theory and Beyond (Singapore: World Scientific)
16. Challet D, Marsili M and Zecchina R 2000 Phys. Rev. Lett. 84 1824
17. A more detailed account of this work is given in Marsili M, Challet D and Zecchina R 2000 Physica A 280 522.
18. Berg J, Marsili M, Rustichini A and Zecchina R 2001 in preparation