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.
","abstract_html":"<p>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.</p>","abstract_has_math":false,"creators":["Massari, Filippo"],"institution":null,"degree_name":"Doctor of Philosophy (PhD)","degree_level":"Dissertation","degree_discipline":"Economics","degree_department":null,"school":null,"contributors":["Werner Ploberger"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2013,"date_issued":"2013-04-25T07:00:00Z","date_published":"2013-04-25T07:00:00Z","updated_at":"2026-07-24T06:12:25Z","subjects":["Asset Pricing","General Equilibrium","Learning","Market Selection","Economics"],"languages":["English (en)"],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier.doi","label":"DOI","values":["https://doi.org/10.7936/K75M63ST"],"render_values":[{"text":"https://doi.org/10.7936/K75M63ST","href":"https://doi.org/10.7936/K75M63ST","code":true}]}]},"links":{"outbound_url":"https://openscholarship.wustl.edu/etd/1080","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Werner Ploberger"]},{"key":"dc:creator","label":"Author","values":["Massari, Filippo"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.available","label":"Dc Date Available","values":["2013-08-19T07:00:00Z"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Doctor of Philosophy (PhD)"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Asset Pricing","General Equilibrium","Learning","Market Selection","Economics"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["English (en)"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://openscholarship.wustl.edu/etd/1080"]},{"key":"dc:identifier.doi","label":"DOI","values":["https://doi.org/10.7936/K75M63ST"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["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.
"]},{"key":"dc:title","label":"Title","values":["Essays on Price Dynamics and Market Selection"]}]}],"canonical_facts":{"dc:contributor":["Werner Ploberger"],"dc:creator":["Massari, Filippo"],"dc:date.available":["2013-08-19T07:00:00Z"],"dc:description.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.
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