Do markets favor agents able to make accurate predictions

By Alvaro Sandroni. 2000

392 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d939c402091f608c3c70da4c20e11f7c799c91c1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Cars H. Hommes
2. Lars Peter Hansen
3. Thomas J. Sargent
4. Alp Simsek
5. Chris Shannon
6. Yossi Spiegel
7. Aviad Heifetz
8. Igor V. Evstigneev

In Finance

1. Cars H. Hommes
2. Lars Peter Hansen
3. Thomas J. Sargent
4. Thorsten Hens
5. Klaus Reiner Schenk-Hoppé
6. Igor V. Evstigneev
7. Peter C. B. Phillips
8. Yossi Spiegel

Citations in the corpus

• Evolutionary stable stock markets (2006, neutral): “For a market selection model based on rational expectations see Blume and Easley (2000) and Sandroni (2000). Our paper shows that such an idealized market with rational expectations can be justified by evolutionary reasoning.”
• Evolutionary stability of portfolio rules in incomplete markets (2005, background): “Our approach should be contrasted with the recent work byBlume and Easley (2000), Sandroni (2000)who consider an infinite horizon stochastic exchange economy with complete markets.”
• Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam 2006, pp.1109-1186 (2005, background): “Are futures markets stabilizing because risk can be hedged, or 23There is an important difference between Sandroni (2000) and e.g. the approach of Brock and Hommes (1997a,1998).”
• The Price Impact and Survival of Irrational Traders (2006, neutral): “Information structure The economy has a finite horizon and evolves in continuous time.”
• MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002, background): “For recent results in the case of endogenous savings and nonsimple trading strategies, see Blume and Easley (2000) and Sandroni (2000).”
• Dotcom Mania: The Rise and Fall of Internet Stock Prices (2003, neutral): “The debate continues and is beyond the scope of this paper (e.g., see the different conclusions in DeLong, Shleifer, Summers and Waldmann (1990) versus Sandroni (2000)).”
• EMPIRICAL LIMITS FOR TIME SERIES ECONOMETRIC MODELS (2003, background): “In particular, Sandroni (2000) shows that—under reasonable assumptions—the KL-distance of the agent's model to the DGP process essentially determines his survival: an agent with smaller KL-distance will drive an agent with larger KL-distance (to the DGP process) out of business.”
• Investor Psychology and Asset Pricing (2001, positive): “Mental accounting may explain the disposition e ect (Shefrin and Statman (1985)), an excessive propensity to hold on to securities that have declined in value and to sell winners.”
• Belief Disagreements and Collateral Constraints (2013, background): “Recent research (e.g., Sandroni, 2000, Blume and Easley, 2006, and Cao, 2011) has demonstrated the limitations of this hypothesis, by showing that traders with inaccurate (and heterogeneous) beliefs may have a permanent presence when nancial markets are incomplete.”
• If You're so Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets (2006, methodology): “These works may be reposted onlywith the explicit permission of the copyright holder.www.santafe.edu SANTA FE INSTITUTE”
• Information Heterogeneity and the Speed of Learning in Social Networks (2013, neutral): “Finally, our paper is related to the literatures in decision theory and information economics that provide foundations for the concept of relative entropy, such as Sandroni (2000), Blume and Easley (2006), Lehrer and Smorodinsky (2000), and Cabrales, Gossner, and Serrano (2012).”
• The Dynamic Evolution of Preferences (2007, methodology): “The pairwise random matching framework adopted here yields insights complementing those obtained in other models of interaction, including the local interaction models studied by Eshel, Samuelson and Shaked (1998) and the market models studied by Mailath and Sandroni (2003), Sandroni (2000, 2004) ,”
• Robust control and model misspecification (2006, background): “The work of Araujo and Sandroni [2] and Sandroni [38] emphasizes that absolute continuity of models implies that decision makers' beliefs eventually merge with the model that generates the data.”