Information dissemination and aggregation are key economic functions of financial markets. How intelligent do traders have to be for the complex task of aggregating diverse information (i.e., approximate the predictions of the rational expectations equilibrium) in a competitive double auction...

We use computer simulation to examine three asset markets with imperfect information. In processing imperfect information, traders in the three markets are bayesian, empirical bayesian, and heuristic (representativeness and anchor-and-adjust) respectively. All three converge to the same bayesian...