Research Interests

Main areas of concentration: Financial Economics, Microeconomics, Game Theory, Economic Theory, Mathematical Economics, Learning

Currently, I am mainly interested in the effects of disagreement and learning in financial, game theoretic, and economic models.

Working Papers

• The Dynamics of a Speculative Bubble under Learning (job market paper) Pdf

  I analyze the dynamics of a speculative bubble in a simple general equilibrium model, in which a single asset is traded by two types of risk neutral agents with a short sale constraint imposed. The types have heterogeneous prior beliefs about the dividend process and they learn from the common observations of the dividend. The speculative bubble is defined as the difference between the equilibrium price and the maximum buy-and-hold forever valuation of the asset. I use a novel recursive methodology to obtain the non-generic conditions for the data generating process so that the bubble persists forever with probability one. I also provide generic conditions under which the bubble can persist arbitrarily long in expected terms. Even in the cases where the bubble is persistent, I show that it appears highly infrequently on typical sample paths.

• Speculative Trading with Bayesian Learning Pdf

  I introduce a novel recursive technique for analyzing bubble equilibria in a setup with traders facing short sale constraints and having heterogeneous priors about the dividend, which follows a hidden Markov process. I provide a simple functional operator, which characterizes bounded recursive equilibria as its fixed point. Using this operator I show that bounded recursive equilibria have the lowest possible prices in the set of all sequential market equilibria. I also provide a simple criterion for having a bubble in equilibrium.

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