Journal article
Market Efficiency and Natural Selection in a Commodity Futures Market
Abstract
While the literature usually justifies informational efficiency in the context of rationality, this article shows informational efficiency by applying the evolutionary idea of natural selection. In a dynamic futures market, speculators are assumed to merely act upon their predetermined trading types (buyer or seller), their predetermined fractions of wealth allocated for speculation, and their inherent abilities to predict the spot price, …
Authors
Luo GY
Journal
Review of Financial Studies, Vol. 11, No. 3, pp. 647–674
Publisher
Oxford University Press (OUP)
Publication Date
7 1998
DOI
10.1093/rfs/11.3.647
ISSN
0893-9454