Market selection of financial trading strategies: Global stability

Igor V. Evstigneev; Thorsten Hens; Klaus Reiner Schenk-Hoppé

doi:10.1111/j.1467-9965.2002.tb00127.x

Market selection of financial trading strategies: Global stability

Igor V. Evstigneev, Thorsten Hens, Klaus Reiner Schenk-Hoppé

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	329-339
Number of pages	10
Journal	Mathematical Finance
Volume	12
Issue number	4
DOIs	https://doi.org/10.1111/j.1467-9965.2002.tb00127.x
Publication status	Published - Oct 2002

Keywords

Evolutionary finance
Incomplete markets
Portfolio theory

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10.1111/j.1467-9965.2002.tb00127.x

Mathematical Behavioural Finance
Evstigneev, I. (Participant), Hens, T. (Participant), Rainer Schenk-Hoppé, K. (Participant) & Amir, R. (Participant)
Impact: Economic impacts, Societal impacts

Cite this

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title = "Market selection of financial trading strategies: Global stability",

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.",

keywords = "Evolutionary finance, Incomplete markets, Portfolio theory",

author = "Evstigneev, {Igor V.} and Thorsten Hens and Schenk-Hopp{\'e}, {Klaus Reiner}",

year = "2002",

month = oct,

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volume = "12",

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AU - Evstigneev, Igor V.

AU - Hens, Thorsten

AU - Schenk-Hoppé, Klaus Reiner

PY - 2002/10

Y1 - 2002/10

N2 - 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.

AB - 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.

KW - Evolutionary finance

KW - Incomplete markets

KW - Portfolio theory

U2 - 10.1111/j.1467-9965.2002.tb00127.x

DO - 10.1111/j.1467-9965.2002.tb00127.x

M3 - Article

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VL - 12

SP - 329

EP - 339

JO - Mathematical Finance

JF - Mathematical Finance

IS - 4

ER -

Market selection of financial trading strategies: Global stability

Abstract

Keywords

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Impacts

Mathematical Behavioural Finance

Cite this