We all know that the Efficient Market Hypothesis is true if you're willing to make enough simplifying assumptions about the market participants. But where can I find a mathematical proof of this in the literature?
The Efficient Market Hypothesis, in its softest version, basically says that if enough people agree on the price of an asset, then when the asset is traded on an open market, the market will converge to that price. But where can I find a mathematical proof of this fact, of the form "For a market trading stock A, under assumptions X, Y and Z about all market participants and about the stock, the market is guaranteed to converge to a price that can be calculated as follows: ...".
I ask this because I'm trying to prove that an unorthodox market mechanism (which is not two-sided markets using an order book) also has the Price Discovery property, and I'm not even sure under what conditions a traditional two-sided market has the Price Discovery Property.