Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders

Anufriev, M; Bottazzi, G; Pancotto, F

Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders

Anufriev, M

Bottazzi, G Pancotto, F

Permalink

Publication Type:: Journal Article
Citation:: Journal of Economic Dynamics and Control, 2006, 30 (9-10), pp. 1787 - 1835
Issue Date:: 2006-09-01

Closed Access

	Filename	Description	Size
	2011002605OK.pdf		539.83 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Anufriev, M https://orcid.org/0000-0002-1842-6814	en_US
dc.contributor.author	Bottazzi, G	en_US
dc.contributor.author	Pancotto, F	en_US
dc.date.issued	2006-09-01	en_US
dc.identifier.citation	Journal of Economic Dynamics and Control, 2006, 30 (9-10), pp. 1787 - 1835	en_US
dc.identifier.issn	0165-1889	en_US
dc.identifier.uri	http://hdl.handle.net/10453/22643
dc.description.abstract	We consider a pure exchange economy where one risky and one riskless security are traded in discrete time. Individual demands are expressed as fractions of individual wealth and depend on traders' forecasts about future price movement. Introducing the 'Equilibrium Market Line' as the locus of all possible equilibrium returns, we show that, irrespectively of the number of traders and of their investment behavior, the economy possesses isolated equilibria where a single agent dominates the market and continuous manifolds of equilibria where many agents hold finite wealth shares. Moreover, we prove that no global dominance order relation among strategies can be defined. © 2006 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Journal of Economic Dynamics and Control	en_US
dc.relation.isbasedon	10.1016/j.jedc.2005.10.012	en_US
dc.subject.classification	Economics	en_US
dc.title	Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders	en_US
dc.type	Journal Article
utslib.citation.volume	9-10	en_US
utslib.citation.volume	30	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1401 Economic Theory	en_US
pubs.embargo.period	Not known	en_US
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/Economics Discipline
utslib.copyright.status	closed_access
pubs.issue	9-10	en_US
pubs.publication-status	Published	en_US
pubs.volume	30	en_US

Abstract:

We consider a pure exchange economy where one risky and one riskless security are traded in discrete time. Individual demands are expressed as fractions of individual wealth and depend on traders' forecasts about future price movement. Introducing the 'Equilibrium Market Line' as the locus of all possible equilibrium returns, we show that, irrespectively of the number of traders and of their investment behavior, the economy possesses isolated equilibria where a single agent dominates the market and continuous manifolds of equilibria where many agents hold finite wealth shares. Moreover, we prove that no global dominance order relation among strategies can be defined. © 2006 Elsevier B.V. All rights reserved.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/22643