This paper studies market selection in an Arrow-Debreu economy with complete markets
where agents learn over misspecified models. In this setting, standard Bayesian learning …

We investigate market selection and bet pricing in a repeated prediction market model. We
derive the conditions for long-run survival of more than one agent (the crowd) and quantify …

We consider an exchange economy where agents have heterogeneous beliefs and assets
are long-lived, and investigate the coupled dynamics of asset prices and agents' wealth. We …

In this paper, I consider an exchange economy with complete markets where agents have
heterogeneous beliefs and, possibly, preferences, and investigate the Market Selection …

The approximate agents' wealth and price invariant densities of a repeated prediction
market model is derived using the Fokker–Planck equation of the associated continuous …

This paper investigates whether short-term momentum and long-term reversal may emerge
from the wealth reallocation process taking place in speculative markets. We assume that …

In this paper I study the relationship between rationality and asset prices when agents have
heterogeneous and incorrect beliefs about future events. Using as a benchmark the pricing …

We consider a repeated betting market populated by two agents who wage on a binary
event according to generic betting strategies. We derive new simple criteria, based on the …

For near-critical, transient Markov chains on the non-negative integers in the Lamperti
regime, where the mean drift at x decays as 1/x as x→∞, we quantify degree of transience …

We provide sufficient conditions for the persistence or transience of stochastic processes on
the real line based on the behavior of the first and second moment of their conditional …