Conservative traders, natural selection and market efficiency

• 成果类型: Article
• 署名作者: Luo, Guo Ying
• 署名单位: McMaster University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.10.016
• 发表日期: 2012
• 页码: 310-335
• 关键词: Conservative traders; EVOLUTION; Survivor; Market rationality; Natural selection; market efficiency

摘要

This paper examines the impact of conservative traders on market efficiency in an evolutionary model of a commodity futures market. This paper shows that the long-run market outcome is informationally efficient, as long as in every period there is a positive probability that entering traders are more conservative than their predecessors. Conservative traders are those who correctly predict the spot price with a positive probability, and more importantly, who in their mistakes err on the side of caution, and rarely overpredict the spot price as buyers, and underpredict the spot price as sellers. This result does not require entry of traders with better information than their predecessors. (C) 2011 Elsevier Inc. All rights reserved.