On the survival of agents that under-react to information

The Institute of Economics will hold a webinar as part of its Seminar Series on Tuesday, June 23, 2020: Filippo Massari, from Bocconi University and the University of East Anglia, will present the paper "On the survival of agents that under-react to information".

Abstract:

The author shows that under-reaction is a robust response to model misspecication rewarded by nancial markets, rather than an irrational attitude that leads to extinction. Under-reacting prediction schemes guarantee predictions as accurate as Bayes' in wellspeci fied learning problems and beat Bayes' in many mis-specified learning environments. Therefore, if a Bayesian agent and an under-reacting agent with the same information trade in the same market, there are no paths on which the under-reacting agent loses all his wealth against the Bayesian, while there is a large class of mis-specified ed learning settings in which the Bayesian agent loses all his wealth against the under-reacting agent almost surely.

The webinar will take place through the Team platform. Interested participants are invited to contact the organizers.