Admissible market data structures: A complete characterization

J. S. Jordan

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

This paper characterizes the market data which, if observed by traders in a stochastic exchange environment, will permit the general existence of (rational) expectations equilibria. It is proved that if a trader observes and conditions his expectations on some nonconstant market data, he must observe at least the equilibrium price and his own equilibrium trade. Any data which do not satisfy this requirement, such as the price alone, or the price and the volume of trade, will fail to permit the existence of an expectations equilibrium for some otherwise well-behaved stochastic environment.

Original languageEnglish (US)
Pages (from-to)19-31
Number of pages13
JournalJournal of Economic Theory
Volume28
Issue number1
DOIs
StatePublished - Oct 1982

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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