<p> This paper analyzes and characterizes the dynamics of wealth-share and equilibrium price in a stochastic general equilibrium model with heterogeneous consumers. The characterization enables a comparison between probabilistic learning and price evolution, revealing that prices incorporate "sparse" information efficiently. Results on wealth-share are obtained by comparing traders' optimal investment-consumption plans against their prices. This novel approach extends recent results in the literature by providing a condition that is necessary as well as sufficient for a trader to vanish. The results are applied to survival in iid, survival in large economies, and survival of traders that follow strategies commonly observed in real markets.</p>
| Identifer | oai:union.ndltd.org:PROQUEST/oai:pqdtoai.proquest.com:3559425 |
| Date | 25 May 2013 |
| Creators | Massari, Filippo |
| Publisher | Washington University in St. Louis |
| Source Sets | ProQuest.com |
| Language | English |
| Detected Language | English |
| Type | thesis |
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