  In speculative markets, risk-free profit opportunities are eliminated by
traders exploiting them. Markets are therefore often described as
"informationally efficient", rapidly removing predictable price changes, and
leaving only residual unpredictable fluctuations. This classical view of
markets absorbing information and otherwise operating close to an equilibrium
is challenged by extreme price fluctuations, in particular since they occur far
more frequently than can be accounted for by external news. Here we show that
speculative markets which absorb mainly self-generated information can exhibit
both: evolution towards efficient equilibrium states as well as their
subsequent destabilization. This peculiar dynamics, a generic instability
arising from an adaptive control which annihilates predictable information, is
realized in a minimal agent-based market model where the impacts of agents'
strategies adapt according to their trading success. This adaptation implements
a learning rule for the market as a whole minimizing predictable price changes.
The model reproduces stylized statistical properties of price changes in
quantitative detail, including heavy tailed log return distributions and
volatility clusters. Our results demonstrate that the perpetual occurrence of
market instabilities can be a direct consequence of the very mechanisms that
lead to market efficiency.
