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.
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 |
| Language: | English |
| Date: | July 2001 |
| Deposited On: | 29 Nov 2011 21:26 |
| Last Modified: | 18 Mar 2022 09:38 |
| Series Name: | Working paper series / Institute for Empirical Research in Economics |
| ISSN: | 1424-0459 |
| OA Status: | Green |
Evstigneev, Igor V