Playing the Field - An Evolutionary Approach to Information Transmission in Stock Markets
by
Ross Cressman
Department of Mathematics, Wilfrid Laurier University, Waterloo, Ontario
Coauthors: Jean-Francois Wen (Department of Economics, University of Calgary)

Abstract: We examine the classic paper, On the Impossibility of Informationally Efficient Markets, by Grossman and Stiglitz (American Economic Review, vol 70, 1980) from the perspective of dynamic evolutionary game theory. Here agents compete only indirectly with others through the aggregate behavior of all participants - such situations are called "playing the field" in the biological literature on evolutionary games. We show that, unlike the classic model, the stable level of market information that will evolve over time depends on whether traders use mixed strategies or not.

Date received: June 20, 2000

Copyright © 2000 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cafk-26.