Innovation and information: a study of financial markets' evolution
Gespeichert in:
Hauptverfasser: | , |
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Format: | Abschlussarbeit Buch |
Sprache: | English |
Veröffentlicht: |
2000
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Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis |
Beschreibung: | VI, 271 S. graph. Darst. |
Internformat
MARC
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245 | 1 | 0 | |a Innovation and information |b a study of financial markets' evolution |c vorgelegt von Sandra Güth und Sven Ludwig |
264 | 1 | |c 2000 | |
300 | |a VI, 271 S. |b graph. Darst. | ||
336 | |b txt |2 rdacontent | ||
337 | |b n |2 rdamedia | ||
338 | |b nc |2 rdacarrier | ||
502 | |a Bielefeld, Univ., Diss., 2000 | ||
650 | 4 | |a Finanzinnovation / Kapitalmarkttheorie / Bank / Wettbewerb / Evolutionsökonomik / Theorie | |
650 | 4 | |a Finanzmarkt / Beschränkte Rationalität / Evolutionsökonomik / Theorie | |
650 | 4 | |a Kapitalmarkttheorie / Informationsökonomik / Börsenkurs / Informationsverhalten / Information / Mikrostrukturanalyse / Evolutionsökonomik / Theorie | |
650 | 4 | |a Mikrostrukturtheorie <Kapitalmarkttheorie> | |
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Datensatz im Suchindex
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adam_text | Contents
General Introduction 1
I Financial Innovation 7
Introduction 9
1 The Evolutionary Emergence and Vanishing of Assets in In¬
complete Financial Markets 17
1.1 Introduction 17
1.2 Restricted Participation Equilibrium 22
1.3 Properties of Equilibrium Portfolios 27
1.4 Evolution under Imitation Rules 31
1.5 Mutation 34
1.5.1 Mutation Stable States 34
1.5.2 On Going Mutation 37
1.6 Innovations 41
1.6.1 On Going Innovation 43
1.7 Conclusion 45
2 Exploitation via Funds or How Banks Hurt Investors 47
2.1 Introduction 47
2.2 Model 53
2.2.1 Trading Behavior and Choice of Innovations 55
2.2.2 Equilibria and Prices 57
2.3 Impact of Banks on Utilities 61
2.3.1 Autarky 62
2.3.2 Economy with one Bank 63
2.3.3 Clashing Interests of Banks and Investors 67
iii
iv CONTENTS
2.4 Economy with Competing Banks 70
2.5 Conclusion 72
2.6 Appendix A (Proof Monopolistic Case) 74
2.7 Appendix B (Proof Competing Case) 77
II Heterogeneous Expectations 81
Introduction 83
3 Success of the Uninformed Pure Chance or More? 91
3.1 Introduction 91
3.2 Model 93
3.2.1 Computation of Equilibrium 96
3.3 Effects of Accuracy 97
3.4 Manipulation 105
3.5 Conclusion 107
3.6 Appendix A (Existence of a Probability Measure Q) 109
3.7 Appendix B (Proof of Pareto Optimality) Ill
4 Why Rumors have Long Term Effects on Stock Prices 113
4.1 Introduction 113
4.2 Model 117
4.2.1 Individual Demand Functions 117
4.2.2 Price Determination 121
4.2.3 Rumors 122
4.3 Properties of the Price Process 123
4.4 Long Term Effects 125
4.5 Diffusion Independent Results 127
4.6 Diffusion Processes 129
4.6.1 One Shot Rumor 130
4.6.2 Line Rumor 132
4.7 Comparison to Empirical Analysis 136
4.8 Conclusion 137
4.9 Appendix A (Proof of Theorem 10) 140
4.10 Appendix B (Proof of Theorem 19) 143
CONTENTS v
5 How Helpful is a Long Memory on Financial Markets 145
5.1 Introduction 145
5.2 Model 147
5.2.1 Portfolio Strategy 148
5.3 Trends versus Traditions 150
5.3.1 Definition of Equilibrium 151
5.3.2 Prices and properties of ard 153
5.4 Mixed Equilibria 157
5.4.1 Dominant Case 159
5.4.2 Balanced Case 160
5.4.3 Alternating Case 161
5.4.4 Half Dominant Case I 161
5.4.5 Half Dominant Case II 165
5.5 Discussion of Mixed Equilibria 167
5.6 Adjustment to Equilibrium 169
5.7 Predictability of Prices 173
5.8 Conclusion 175
5.9 Appendix A (Strict Monotonicity) 177
6 Hope for Homo Oeconomicus? On the Evolutionary Fitness
of Utility Maximizing Investors 179
6.1 Introduction 179
6.2 Model 183
6.3 Existence of the Wealth Limit 188
6.3.1 Probabilistic FYamework 189
6.3.2 Construction of the Martingale Measure 189
6.3.3 Martingale Property of the Relative Wealth Process . . 191
6.3.4 Properties of tt 193
6.4 Properties of the Individual Wealth Limit 195
6.4.1 Constant Wealth Distributions 196
6.4.2 Single Survivor 197
6.5 Survival Criteria 199
6.6 Conclusion 203
6.7 Appendix A (Proof of Lemma 5) 205
6.8 Appendix B (Proofs of Lemma 6 and Lemma 7) 206
6.9 Appendix C (Proof of Lemma 9) 209
6.10 Appendix D (Proof of Lemma 12) 211
6.11 Appendix E (Proof of Theorem 15) 213
6.12 Appendix F (Proof of Lemma 18) 217
vi CONTENTS
7 Evolution of Sophistication 219
7.1 Introduction 219
7.2 Model 222
7.2.1 Long Run Survival 225
7.2.2 Success of Always Imitate 226
7.2.3 Two Lemmata for Large Economies 231
7.2.4 Stochastically Stable Sets 232
7.3 Success of Imitate if Better 238
7.3.1 Stochastically Stable Sets with Imitate if Better ... 241
7.4 Robustness of Imitation Rules 244
7.5 Infrequent Learning 245
7.5.1 Optimal Buying 247
7.5.2 Optimal Imitating 248
7.6 Conclusion 253
General Conclusion 257
Bibliography 261
|
any_adam_object | 1 |
author | Güth, Sandra Ludwig, Sven 1971- |
author_GND | (DE-588)123205395 |
author_facet | Güth, Sandra Ludwig, Sven 1971- |
author_role | aut aut |
author_sort | Güth, Sandra |
author_variant | s g sg s l sl |
building | Verbundindex |
bvnumber | BV013891228 |
classification_rvk | QK 600 |
ctrlnum | (OCoLC)248398756 (DE-599)BVBBV013891228 |
discipline | Wirtschaftswissenschaften |
format | Thesis Book |
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spelling | Güth, Sandra Verfasser aut Innovation and information a study of financial markets' evolution vorgelegt von Sandra Güth und Sven Ludwig 2000 VI, 271 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bielefeld, Univ., Diss., 2000 Finanzinnovation / Kapitalmarkttheorie / Bank / Wettbewerb / Evolutionsökonomik / Theorie Finanzmarkt / Beschränkte Rationalität / Evolutionsökonomik / Theorie Kapitalmarkttheorie / Informationsökonomik / Börsenkurs / Informationsverhalten / Information / Mikrostrukturanalyse / Evolutionsökonomik / Theorie Mikrostrukturtheorie <Kapitalmarkttheorie> Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Information (DE-588)4026899-8 gnd rswk-swf Innovation (DE-588)4027089-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Innovation (DE-588)4027089-0 s Information (DE-588)4026899-8 s DE-604 Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s Kapitalmarkt (DE-588)4029578-3 s Finanzinnovation (DE-588)4124975-6 s DE-188 Ludwig, Sven 1971- Verfasser (DE-588)123205395 aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009504467&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Güth, Sandra Ludwig, Sven 1971- Innovation and information a study of financial markets' evolution Finanzinnovation / Kapitalmarkttheorie / Bank / Wettbewerb / Evolutionsökonomik / Theorie Finanzmarkt / Beschränkte Rationalität / Evolutionsökonomik / Theorie Kapitalmarkttheorie / Informationsökonomik / Börsenkurs / Informationsverhalten / Information / Mikrostrukturanalyse / Evolutionsökonomik / Theorie Mikrostrukturtheorie <Kapitalmarkttheorie> Kreditmarkt (DE-588)4073788-3 gnd Finanzinnovation (DE-588)4124975-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Information (DE-588)4026899-8 gnd Innovation (DE-588)4027089-0 gnd |
subject_GND | (DE-588)4073788-3 (DE-588)4124975-6 (DE-588)4029578-3 (DE-588)4508395-2 (DE-588)4026899-8 (DE-588)4027089-0 (DE-588)4113937-9 |
title | Innovation and information a study of financial markets' evolution |
title_auth | Innovation and information a study of financial markets' evolution |
title_exact_search | Innovation and information a study of financial markets' evolution |
title_full | Innovation and information a study of financial markets' evolution vorgelegt von Sandra Güth und Sven Ludwig |
title_fullStr | Innovation and information a study of financial markets' evolution vorgelegt von Sandra Güth und Sven Ludwig |
title_full_unstemmed | Innovation and information a study of financial markets' evolution vorgelegt von Sandra Güth und Sven Ludwig |
title_short | Innovation and information |
title_sort | innovation and information a study of financial markets evolution |
title_sub | a study of financial markets' evolution |
topic | Finanzinnovation / Kapitalmarkttheorie / Bank / Wettbewerb / Evolutionsökonomik / Theorie Finanzmarkt / Beschränkte Rationalität / Evolutionsökonomik / Theorie Kapitalmarkttheorie / Informationsökonomik / Börsenkurs / Informationsverhalten / Information / Mikrostrukturanalyse / Evolutionsökonomik / Theorie Mikrostrukturtheorie <Kapitalmarkttheorie> Kreditmarkt (DE-588)4073788-3 gnd Finanzinnovation (DE-588)4124975-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Information (DE-588)4026899-8 gnd Innovation (DE-588)4027089-0 gnd |
topic_facet | Finanzinnovation / Kapitalmarkttheorie / Bank / Wettbewerb / Evolutionsökonomik / Theorie Finanzmarkt / Beschränkte Rationalität / Evolutionsökonomik / Theorie Kapitalmarkttheorie / Informationsökonomik / Börsenkurs / Informationsverhalten / Information / Mikrostrukturanalyse / Evolutionsökonomik / Theorie Mikrostrukturtheorie <Kapitalmarkttheorie> Kreditmarkt Finanzinnovation Kapitalmarkt Mikrostrukturtheorie Kapitalmarkttheorie Information Innovation Hochschulschrift |
url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009504467&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT guthsandra innovationandinformationastudyoffinancialmarketsevolution AT ludwigsven innovationandinformationastudyoffinancialmarketsevolution |