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Market Selection of Financial Trading Strategies: Global Stability


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.

Abstract

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.

Abstract

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.

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Additional indexing

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