| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15573 |
| DP15573 Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality | |
| Roger Farmer; Jean-Philippe Bouchaud | |
| 发表日期 | 2022-04-27 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates beliefs in response to observed outcomes. We show that the distribution of the observed signal is described by a quasi-non-ergodic process and that people continue to disagree with each other forever. Interestingly, these disagreements generate large wealth inequalities that arise from the multiplicative nature of wealth dynamics which makes successful bold bets highly pro table. People who agree with the market belief have a low expected subjective gain from trading. People who disagree may either become spectacularly rich, or spectacularly poor. The flip side is that such wealth inequalities lead to persistent discrepancies between market implied probabilities and true probabilities. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp15573-1 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546270 |
| 推荐引用方式 GB/T 7714 | Roger Farmer,Jean-Philippe Bouchaud. DP15573 Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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