Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29537
Authors: 
Caccioli, Fabio
Marsili, Matteo
Year of Publication: 
2010
Series/Report no.: 
Economics Discussion Papers 2010-3
Abstract: 
The authors study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough. Upon introducing non-informed agents, the authors find that the latter contribute significantly to the trading activity if and only if the market is (nearly) information efficient. This suggests that information efficiency might be a necessary condition for bubble phenomena - induced by the behavior of non-informed traders - or conversely that throwing some sands in the gears of financial markets may curb the occurrence of bubbles.
Subjects: 
Interacting agents models
market efficiency
market stability
statistical mechanics of financial market
JEL: 
G01
G14
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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