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Evstigneev, Igor V; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (2001). Market Selection of Financial Trading Strategies: Global Stability. Working paper series / Institute for Empirical Research in Economics No. 83, University of Zurich.
In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easley (1992) to any complete or incomplete asset market.
| Item Type: | Working Paper |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former) |
| Dewey Decimal Classification: | 330 Economics |
| Scope: | Discipline-based scholarship (basic research) |
| Language: | English |
| Date: | July 2001 |
| Deposited On: | 29 Nov 2011 21:26 |
| Last Modified: | 06 Mar 2024 14:10 |
| Series Name: | Working paper series / Institute for Empirical Research in Economics |
| ISSN: | 1424-0459 |
| OA Status: | Green |
| Other Identification Number: | merlin-id:5779 |
Evstigneev, Igor V