| Field |
Value |
Language |
|
dc.contributor.author |
Dieci, R |
|
|
dc.contributor.author |
He, X-Z |
|
|
dc.date.accessioned |
2022-01-04T02:52:42Z |
|
|
dc.date.available |
2022-01-04T02:52:42Z |
|
|
dc.date.issued |
2021 |
|
|
dc.identifier.citation |
Decisions in Economics and Finance, 2021, 44, (2), pp. 727-754 |
|
|
dc.identifier.issn |
1593-8883 |
|
|
dc.identifier.issn |
1129-6569 |
|
|
dc.identifier.uri |
http://hdl.handle.net/10453/152643
|
|
|
dc.description.abstract |
<jats:title>Abstract</jats:title><jats:p>This paper presents a stylized model of interaction among boundedly rational heterogeneous agents in a multi-asset financial market to examine how agents’ impatience, extrapolation, and switching behaviors can affect cross-section market stability. Besides extrapolation and performance based switching between fundamental and extrapolative trading documented in single asset market, we show that a high degree of ‘impatience’ of agents who are ready to switch to more profitable trading strategy in the short run provides a further cross-section destabilizing mechanism. Though the ‘fundamental’ steady-state values, which reflect the standard present-value of the dividends, represent an unbiased equilibrium market outcome in the long run (to a certain extent), the price deviation from the fundamental price in one asset can spill-over to other assets, resulting in cross-section instability. Based on a (Neimark–Sacker) bifurcation analysis, we provide explicit conditions on how agents’ impatience, extrapolation, and switching can destabilize the market and result in a variety of short and long-run patterns for the cross-section asset price dynamics.</jats:p> |
|
|
dc.language |
en |
|
|
dc.publisher |
Springer Science and Business Media LLC |
|
|
dc.relation.ispartof |
Decisions in Economics and Finance |
|
|
dc.relation.isbasedon |
10.1007/s10203-021-00348-5 |
|
|
dc.rights |
info:eu-repo/semantics/closedAccess |
|
|
dc.subject |
01 Mathematical Sciences, 15 Commerce, Management, Tourism and Services |
|
|
dc.subject.classification |
Economic Theory |
|
|
dc.title |
Cross-section instability in financial markets: impatience, extrapolation, and switching |
|
|
dc.type |
Journal Article |
|
|
utslib.citation.volume |
44 |
|
|
utslib.for |
01 Mathematical Sciences |
|
|
utslib.for |
15 Commerce, Management, Tourism and Services |
|
|
pubs.organisational-group |
/University of Technology Sydney |
|
|
pubs.organisational-group |
/University of Technology Sydney/Faculty of Business |
|
|
pubs.organisational-group |
/University of Technology Sydney/Faculty of Business/Finance Discipline |
|
|
pubs.organisational-group |
/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre |
|
|
utslib.copyright.status |
closed_access |
* |
|
pubs.consider-herdc |
true |
|
|
dc.date.updated |
2022-01-04T02:52:41Z |
|
|
pubs.issue |
2 |
|
|
pubs.publication-status |
Published |
|
|
pubs.volume |
44 |
|
|
utslib.citation.issue |
2 |
|
