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| Author: | Chakrabarti, R. Roll, R. |
| Title: | Learning from others, reacting, and market quality |
| Journal: | Journal of Financial Markets
1999 : MAY, VOL. 2:2, p. 153-178 |
| Index terms: | FINANCIAL MARKETS LEARNING PREDICTION THEORY |
| Language: | eng |
| Abstract: | Traders pay attention to one another but are unable to perfectly deduce each others' beliefs from transactions alone. This explains why markets are hard to beat and also why trading occurs at all. Even when traders react rationally to the actions of others, they cannot arrive easily at a common posterior assessment of value. The authors model a realistic market composed of traders who combine their own private information with rational learning about the information possessed by others. |
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