Author's School

Graduate School of Arts & Sciences

Author's Department/Program

Economics

Language

English (en)

Date of Award

Spring 4-25-2013

Degree Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Chair and Committee

Werner Ploberger

Abstract

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.

Comments

Permanent URL: http://dx.doi.org/10.7936/K75M63ST

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