Evolution and market behavior with endogenous investment rules

DOI10.1016/j.jedc.2014.08.012zbMath1402.91938OpenAlexW2169930336MaRDI QIDQ1991938

Giulio Bottazzi, Pietro Dindo

Publication date: 2 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/89485

zbMATH Keywords

asset pricingevolutionary financeKelly rulemarket selectionprice feedbacks

Mathematics Subject Classification ID

Related Items (14)

Asset prices and wealth dynamics in a financial market with random demand shocks ⋮ A continuous-time asset market game with short-lived assets ⋮ Markets with heterogeneous beliefs: a necessary and sufficient condition for a trader to vanish ⋮ Itchy feet vs cool heads: flow of funds in an agent-based financial market ⋮ Drift criteria for persistence of discrete stochastic processes on the line ⋮ Survival in speculative markets ⋮ Social contagion and the survival of diverse investment styles ⋮ Market selection and learning under model misspecification ⋮ Procedural rationality, asset heterogeneity and market selection ⋮ On a Diffusion Approximation of a Prediction Game ⋮ Capital Growth and Survival Strategies in a Market with Endogenous Prices ⋮ Market selection with an endogenous state ⋮ Long-run heterogeneity in an exchange economy with fixed-mix traders ⋮ Far from the madding crowd: collective wisdom in prediction markets

Cites Work

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• Globally evolutionarily stable portfolio rules
• Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
• Evolution and market behavior
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Sequentially complete markets remain incomplete
• Agent-based computational finance: Suggested readings and early research
• The market organism: Long-run survival in markets with heterogeneous traders
• IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?
• If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
• Do Markets Favor Agents able to Make Accurate Predictions?
• Asset price and wealth dynamics under heterogeneous expectations
• STOCHASTIC VERSIONS OF HARTMAN–GROBMAN THEOREMS
• Complex Analysis

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