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- Title
Price Discovery Processes.
- Authors
STEIN, JEROME L.
- Abstract
This paper analyzes two price discovery processes: OLS learning from public information and a Bayesian learning made feasible by futures markets. The former tends to produce cobweb behaviour. In the latter, there is no cobweb, there is a faster convergence to Muth Rational Expectations, and the forecast errors are positively serially correlated The evidence drawn from the Sydney Futures Exchange is consistent with the Bayesian learning process.
- Subjects
SYDNEY (N.S.W.); NEW South Wales; PRICES -- Mathematical models; BAYESIAN analysis; FUTURES market; ECONOMIC convergence; ECONOMIC forecasting
- Publication
Economic Record, 1992, Vol 68, p34
- ISSN
0013-0249
- Publication type
Article
- DOI
10.1111/j.1475-4932.1992.tb02294.x