Handbook of financial markets: dynamics and evolution
"The models of portfolio selection and asset-price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the m...
Saved in:
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam [u.a.]
Elsevier
2009
|
| Series: | Handbooks in finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | "The models of portfolio selection and asset-price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners."--BOOK JACKET. |
| Physical Description: | XXI, 584 S. graph. Darst. |
| ISBN: | 9780123742582 |
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| adam_text | Contents
List of Contributors
xiii
Preface
xv
Introduction to the Series
xxi
1
Thought and Behavior Contagion in Capital Markets
1
David Hirshleifer and
Siew
Hong Teoh
1.1.
Introduction
2
1.2.
Sources of Behavioral Convergence
5
1.3.
Rational Learning and Information Cascades: Basic Implications
7
1.4.
What Is Communicated or Observed?
9
1.4.1.
Observation of Past Actions Only
10
1.4.2.
Observation of Consequences of Past Actions
15
1.4.3.
Conversation, Media, and Advertising
16
1.5.
Psychological Bias
17
1.6.
Reputation, Contracts, and Herding
18
1.7.
Security Analysis
20
1.7.1.
Investigative Herding
20
1.7.2.
Herd Behavior by Stock Analysts and Other Forecasters
21
1.8.
Herd Behavior and Cascades in Security Trading
24
1.8.1.
Evidence on Herding in Securities Trades
24
1.8.2.
Financial Market Runs and Contagion
27
1.8.3.
Exploiting Herding and Cascades
28
1.9.
Markets, Equilibrium Prices, and Bubbles
29
1.10.
Cascades and Herding in Firm Behavior
36
1.10.1.
Investment and Financing Decisions
36
1.10.2.
Disclosure and Reporting Decisions
38
1.11.
Contagion of Financial
Mêmes
39
1.12.
Conclusion
· 44
References
46
vi
Contents
2
How Markets Slowly Digest Changes in Supply and Demand
57
Jean-Philippe Bouchaud, J. Doyne Farmer, and
Fabrizio
Lilio
2.1.
Introduction
59
2.1.1.
Overview
59
2.1.2.
Organization
60
2.1.3.
Motivation and Scope
61
2.1.4.
Approach to Model Building
63
2.2.
Market Structure
64
2.3.
Information, Liquidity, and Efficiency
65
2.3.1.
Information and Fundamental Values
66
2.3.2.
Market Efficiency
67
2.3.3.
Trading and Information
68
2.3.4.
Different Explanations for Market Impact
69
2.3.5.
Noise Trader Models and Informed vs. Uninformed Trading
70
2.3.6.
A Critique of the Noise Trader Explanation
of Market Impact
71
2.3.7.
The Liquidity Paradox: Prices Are Not in Equilibrium
72
2.3.8.
Time Scales and Market Ecology
73
2.3.9.
The Volatility Puzzle
75
2.3.10.
The Kyle Model
76
2.4.
Large Fluctuations and Long Memory of Order Flow
77
2.4.1.
Empirical Evidence for Long Memory of Order Flow
11
2.4.2.
On the Origin of Long Memory of Order Flow
79
2.4.3.
Theory for Long Memory in Order Flow Based on Strategic
Order Splitting
80
2.4.4.
Evidence Based on Exchange Membership Codes
82
2.4.5.
Evidence for Heavy Tails in Volume
83
2.5.
Summary of Empirical Results for Diverse Types of Market Impact
84
2.5.1.
Impact of Individual Transactions
86
2.5.2.
Impact of Aggregate Transactions
86
2.5.3.
Hidden Order Impact
88
2.5.4.
Upstairs Market Impact
90
2.6.
Theory of Market Impact
90
2.6.1.
Why Is Individual Transaction Impact Concave?
91
2.6.2.
A Fixed Permanent Impact Model
93
2.6.3.
The MRR Model
94
2.6.4.
A Transient Impact Framework
95
2.6.5.
History Dependent, Permanent Impact
99
2.6.6.
Empirical Results
103
2.6.7.
Impact of a Large Hidden Order
106
2.6.8.
Aggregated Impact
108
2.7.
The Determinants of the Bid-Ask Spread
111
2.7.1.
The Basic Economics of Spread and Impact 111
Contents
vii
2.7.2. Models
for the Bid-Ask Spread
114
2.7.3.
Limit vs. Market Orders: The Microstructure Phase
Diagram
117
2.7.4.
Spread Dynamics After a Temporary Liquidity Crisis
123
2.8.
Liquidity and Volatility
125
2.8.1.
Liquidity and Large Price Changes
125
2.8.2.
Volume vs. Liquidity Fluctuations as Proximate Causes
of Volatility
127
2.8.3.
Spread vs. Volatility
129
2.8.4.
Market Cap Effects
132
2.9.
Order Book Dynamics
133
2.9.1.
Heavy Tails in Order Placement and the Shape
of the Order Book
133
2.9.2.
Volume at Best Prices: The Glosten-Sandas Model
135
2.9.3.
Statistical Models of Order Flow and Order Books
137
2.10.
Impact and Optimized Execution Strategies
142
2.11.
Toward an Empirical Characterization of a Market Ecology
144
2.11.1.
Identifying Hidden Orders
145
2.11.2.
Specialization of Strategies
146
2.12
Conclusion
148
Appendix
2.1:
Mechanical vs. Nonmechanical Impact
150
A2.1.1. Definition of Mechanical Impact for Order Books
150
A2.1.2. Empirical Results
152
Appendix
2.2:
Volume Fluctuations
153
Appendix
2.3:
The Bid-Ask Spread in the MRR Model
155
References
156
3
Stochastic Behavioral Asset-Pricing Models and the Stylized Facts
161
Thomas Lux
3.1.
Introduction
162
3.2.
The Stylized Facts of Financial Data
164
3.2.1.
Martingales, Lack of Predictability, and Informational
Efficiency
164
3.2.2.
Fat Tails of Asset Returns
167
3.2.3.
Volatility Clustering and Dependency in Higher Moments
173
3.2.4.
Other Stylized Facts
174
3.3.
The Stylized Facts as Scaling Laws
175
3.4.
Behavioral Asset-Pricing Models with Interacting Agents
178
3.4.1.
Interaction of Chartists and Fundamentalists and Nonlinear
Dynamics of Asset Prices
179
3.4.2.
Kirman s Model of Opinion Formation and Speculation
185
Vlil
Contents
3.4.3.
Beyond Local Interactions: Socioeconomic Group Dynamics
in Financial Markets
91
3.4.4.
Lattice Topologies of Agents Connections
207
3.5.
Conclusion
210
References
211
4
Complex Evolutionary Systems in Behavioral Finance
Cars
Hommes
and
Florian Wagener
217
4.1.
Introduction
4.2.
An Asset-Pricing Model with Heterogeneous Beliefs
4.2.1.
The Fundamental Benchmark with Rational Agents
4.2.2.
Heterogeneous Beliefs
4.2.3.
Evolutionary Dynamics
4.2.4.
Forecasting Rules
4.3.
Simple Examples
4.3.1.
Costly Fundamentalists vs. Trend Followers
4.3.2.
Fundamentalists vs. Opposite Biases
4.3.3.
Fundamentalists vs. Trend and Bias
4.3.4.
Efficiency
4.3.5.
Wealth Accumulation
4.3.6.
Extensions
4.4.
Many Trader Types
4.5.
Empirical Validation
4.5.1.
The Model in Price-to-Cash Flows
4.5.2.
Estimation of a Simple Two-Type Example
4.5.3.
Empirical Implications
4.6.
Laboratory Experiments
4.6.1.
Learning to Forecast Experiments
4.6.2.
The Price-Generating Mechanism
4.6.3.
Benchmark Expectations Rules
4.6.4.
Aggregate Behavior
4.6.5.
Individual Prediction Strategies
4.6.6.
Profitability
4.7.
Conclusion
Appendix
4.1 :
Bifurcation Theory
A4.1.1.
Basic Concepts from Dynamical Systems
Appendix
4.2:
Bifurcation Scenarios
A4.2.1. The Saddle-Node Bifurcation
A4.2.2.
The Period-Doubling Bifurcation
A4.2.3. The
Hopf
Bifurcation
A4.2.4.
The Pitchfork Bifurcation
References
218
221
222
223
224
225
226
227
229
230
230
232
236
236
241
242
246
251
253
255
256
257
259
259
262
264
266
266
268
268
268
269
270
271
Contents
ЇХ
5
Heterogeneity, Market Mechanisms, and Asset Price Dynamics
277
Carl Chiarella, Roberto
Dieci,
and Xue-Zhong He
5.1.
Introduction
279
5.2.
Heterogeneity and Market-Clearing Mechanisms
283
5.2.1.
Portfolio Optimization
283
5.2.2.
Utility Functions
284
5.2.3.
Market-Clearing Mechanisms
285
5.2.4.
Noise
287
5.2.5.
Expectations Feedback
287
5.3.
Price Dynamics Implied by the
CARA
Utility Function
288
5.3.1.
Fundamental Price and the Optimal Demand
288
5.3.2.
Formation of Heterogeneous Beliefs
289
5.3.3.
Performance Measure and Switching
290
5.3.4.
Price Behavior under the Walrasian Auctioneer Mechanism
291
5.3.5.
Price Behavior under the Market-Maker Mechanism
298
5.4.
Price Behavior and Wealth Dynamics Implied by the CRRA Utility
302
5.4.1.
Optimal Portfolio and Wealth Dynamics
302
5.4.2.
Price and Wealth Behavior with a Walrasian Auctioneer
303
5.4.3.
Price and Wealth Behavior with a Market Maker
306
5.5.
Empirical Behavior
314
5.5.1.
Stylized Facts in the S&P
500 314
5.5.2.
A Market Fraction Model and Its Stylized Behavior
316
5.5.3.
Econometric Characterization of the Power-Law Behavior
319
5.6.
Heterogeneity in a Dynamic Multiasset Framework
321
5.6.1.
Optimization of a Many Risky Asset Portfolio with
Heterogeneous Beliefs
322
5.6.2.
An Example of Two Risky Assets and Two Beliefs
326
5.7.
The Continuous Stochastic Dynamics of Speculative Behavior
330
5.7.1.
Stochastic Models with Heterogeneous Beliefs
330
5.7.2.
A Continuous Stochastic Model with Fundamentalists
and Chartists
331
5.7.3.
A Random Dynamical System and Stochastic Bifurcations
332
5.8.
Conclusion
338
References
340
6
Perfect Forecasting, Behavioral Heterogeneities, and Asset Prices
345
Jan Wenzelburger
6.1.
Introduction
346
6.2.
The CAPM as a Two-Period Equilibrium Model
349
6.2.1.
Portfolio Selection with One Risk-Free Asset
349
6.2.2.
Two-Fund Separation
351
Contents
6.2.3.
Existence
and Uniqueness of Equilibrium
355
6.2.4.
Equilibria with Heterogeneous Beliefs
358
6.3.
Heterogeneous Beliefs and Social Interaction
359
6.3.1.
Temporary Equilibria
359
6.3.2.
Perfect Forecasting Rules
362
6.3.3.
Systematic and Nonsystematic Risk
366
6.3.4.
Selecting Mediators
369
6.3.5.
Dynamic Stability with Rational Expectations
371
6.4.
Multiperiod Planning Horizons
374
6.4.1.
Overlapping Cohorts of Investors
375
6.4.2.
Temporary Equilibria
378
6.4.3.
Perfect Forecasting Rules
Ъ19
6.4.4.
Portfolio Holdings
385
6.5.
Nonergodic Asset Prices
387
6.5.1.
Characterization of Long-Run Equilibria
389
6.5.2.
Convergence to Long-Run Equilibria
390
6.5.3.
Performance of Efficient Portfolios
391
6.5.4.
A Boom-and-Bust Scenario
394
6.6.
Conclusion
397
References
398
7
Market Selection and Asset Pricing
403
Lawrence Blume
and David Easley
7.1.
Introduction
405
7.7.7.
Evolution in Biology and Economics
405
7.7.2.
A Short History of the Market Selection Hypothesis
407
7.1.3.
Scope of This Chapter
409
7.2.
The Economy
411
7.2.7.
Traders
411
7.2.2.
Beliefs
412
7.3.
Equilibrium Allocations and Prices
413
7.3.1.
Pareto Optimality
413
7.3.2.
Competitive Equilibrium A A
7.4.
Selection
416
7.4.7.
Literature
416
7.4.2.
A Leading Example
416
7.4.3.
Selection in Complete
HD
Markets
419
7.4.4.
The Basic Equations
420
7.4.5.
Who Survives? Necessity
421
7.4.6.
Selection and Market Equilibrium
421
7.4.7.
More General Stochastic Processes
422
7.5.
Multiple Survivors
423
7.5.7.
Who Survives? Sufficiency
423
Contents xi
7.6.
The Life and Death of Noise Traders
426
7.6.1.
The Importance of Market Structure
426
7.6.2.
Laws of Large Numbers
428
7.7.
Robustness
431
7.7.1.
Unbounded Economies
431
7.7.2.
Incomplete Markets
432
7.7.3.
Differential Information
432
7.7.4.
Selection over Non-EU Traders
432
7.7.5.
Selection over Rules
434
7.8.
Conclusion
435
References
436
8
Rational Diverse Beliefs and Market Volatility
439
Mordecai
Kurz
8.1.
Introduction
440
8.2.
Can Market Dynamics Be Explained by Asymmetric Private
Information?
445
8.2.1.
A General Model of Asset Pricing under Asymmetric
Information
445
8.2.2.
Dynamic Infinite Horizon Models
450
8.2.3.
Is Asymmetric Information a Satisfactory Theory
of Market Dynamics?
453
8.3.
Diverse Beliefs with Common Information: The General Theory
454
8.3.1.
A Basic Principle: Rational Diversity Implies Volatility
455
8.3.2.
Stability and Rationality in a General Nonstationary Economy
457
8.3.3.
Belief Rationality and the Conditional Stability Theorem
461
8.3.4.
Describing Individual and Market Beliefs with Markov
State Variables
464
8.3.5.
Asset Pricing with Heterogeneous Beliefs: An Illustrative
Model and Implications
474
8.4.
Explaining Market Dynamics with Simulation Models of Diverse Beliefs
485
8.4.1.
Introduction: On Simulation Methods and the Main Results
485
8.4.2.
Anatomy of Market Volatility
486
8.4.3.
Volatility of Foreign Exchange Rates and the Forward
Discount Bias
498
8.4.4.
Macroeconomic Applications
499
8.5.
Conclusion and Open Problems
501
References
502
9
Evolutionary Finance
507
Igor V. Evstigneev,
Thorsten
Hens, and Klaus Reiner
Schenk-Hoppé
9.1.
Introduction
509
9.1.1.
Motivation and Background
509
xii Contents
9.1.2. Applications
and Real-World Implications
511
9.1.3.
Structure of Chapter
511
9.1.4.
Dynamics and Evolution
512
9.1.5.
Horse Races and the Kelly Rule
515
9.2.
Evolutionary Models of Financial Markets
518
9.2.1.
Components of the Models
519
9.2.2.
Discussion of the Assumptions
521
9.2.3.
Outline of the Dynamics
523
9.3.
An Evolutionary Model with Short-Lived Assets
524
9.3.1.
The Model
524
9.3.2.
Analysis of Local Dynamics
528
9.3.3.
An Example
530
9.3.4.
The Generalized Kelly Rule
532
9.3.5.
Global Dynamics with Adaptive Strategies
534
9.4.
An Evolutionary Stock Market Model
537
9.4.1.
Local Dynamics
540
9.4.2.
Global Dynamics with Constant Strategies
543
9.4.3.
Kelly Rule in General Equilibrium
546
9.5.
Applications
547
9.5.7.
Simulation Studies
548
9.5.2.
Dynamics of Strategies: Genetic Programming
552
9.5.3.
Empirical Tests of Evolutionary Asset Pricing
557
9.6.
Continuous-Time Evolutionary Finance
560
9.7.
Conclusion
563
References
564
Author Index
567
Subject Index
575
|
| adam_txt |
Contents
List of Contributors
xiii
Preface
xv
Introduction to the Series
xxi
1
Thought and Behavior Contagion in Capital Markets
1
David Hirshleifer and
Siew
Hong Teoh
1.1.
Introduction
2
1.2.
Sources of Behavioral Convergence
5
1.3.
Rational Learning and Information Cascades: Basic Implications
7
1.4.
What Is Communicated or Observed?
9
1.4.1.
Observation of Past Actions Only
10
1.4.2.
Observation of Consequences of Past Actions
15
1.4.3.
Conversation, Media, and Advertising
16
1.5.
Psychological Bias
17
1.6.
Reputation, Contracts, and Herding
18
1.7.
Security Analysis
20
1.7.1.
Investigative Herding
20
1.7.2.
Herd Behavior by Stock Analysts and Other Forecasters
21
1.8.
Herd Behavior and Cascades in Security Trading
24
1.8.1.
Evidence on Herding in Securities Trades
24
1.8.2.
Financial Market Runs and Contagion
27
1.8.3.
Exploiting Herding and Cascades
28
1.9.
Markets, Equilibrium Prices, and Bubbles
29
1.10.
Cascades and Herding in Firm Behavior
36
1.10.1.
Investment and Financing Decisions
36
1.10.2.
Disclosure and Reporting Decisions
38
1.11.
Contagion of Financial
Mêmes
39
1.12.
Conclusion
· 44
References
46
vi
Contents
2
How Markets Slowly Digest Changes in Supply and Demand
57
Jean-Philippe Bouchaud, J. Doyne Farmer, and
Fabrizio
Lilio
2.1.
Introduction
59
2.1.1.
Overview
59
2.1.2.
Organization
60
2.1.3.
Motivation and Scope
61
2.1.4.
Approach to Model Building
63
2.2.
Market Structure
64
2.3.
Information, Liquidity, and Efficiency
65
2.3.1.
Information and Fundamental Values
66
2.3.2.
Market Efficiency
67
2.3.3.
Trading and Information
68
2.3.4.
Different Explanations for Market Impact
69
2.3.5.
Noise Trader Models and Informed vs. Uninformed Trading
70
2.3.6.
A Critique of the Noise Trader Explanation
of Market Impact
71
2.3.7.
The Liquidity Paradox: Prices Are Not in Equilibrium
72
2.3.8.
Time Scales and Market Ecology
73
2.3.9.
The Volatility Puzzle
75
2.3.10.
The Kyle Model
76
2.4.
Large Fluctuations and Long Memory of Order Flow
77
2.4.1.
Empirical Evidence for Long Memory of Order Flow
11
2.4.2.
On the Origin of Long Memory of Order Flow
79
2.4.3.
Theory for Long Memory in Order Flow Based on Strategic
Order Splitting
80
2.4.4.
Evidence Based on Exchange Membership Codes
82
2.4.5.
Evidence for Heavy Tails in Volume
83
2.5.
Summary of Empirical Results for Diverse Types of Market Impact
84
2.5.1.
Impact of Individual Transactions
86
2.5.2.
Impact of Aggregate Transactions
86
2.5.3.
Hidden Order Impact
88
2.5.4.
Upstairs Market Impact
90
2.6.
Theory of Market Impact
90
2.6.1.
Why Is Individual Transaction Impact Concave?
91
2.6.2.
A Fixed Permanent Impact Model
93
2.6.3.
The MRR Model
94
2.6.4.
A Transient Impact Framework
95
2.6.5.
History Dependent, Permanent Impact
99
2.6.6.
Empirical Results
103
2.6.7.
Impact of a Large Hidden Order
106
2.6.8.
Aggregated Impact
108
2.7.
The Determinants of the Bid-Ask Spread
111
2.7.1.
The Basic Economics of Spread and Impact 111
Contents
vii
2.7.2. Models
for the Bid-Ask Spread
114
2.7.3.
Limit vs. Market Orders: The Microstructure Phase
Diagram
117
2.7.4.
Spread Dynamics After a Temporary Liquidity Crisis
123
2.8.
Liquidity and Volatility
125
2.8.1.
Liquidity and Large Price Changes
125
2.8.2.
Volume vs. Liquidity Fluctuations as Proximate Causes
of Volatility
127
2.8.3.
Spread vs. Volatility
129
2.8.4.
Market Cap Effects
132
2.9.
Order Book Dynamics
133
2.9.1.
Heavy Tails in Order Placement and the Shape
of the Order Book
133
2.9.2.
Volume at Best Prices: The Glosten-Sandas Model
135
2.9.3.
Statistical Models of Order Flow and Order Books
137
2.10.
Impact and Optimized Execution Strategies
142
2.11.
Toward an Empirical Characterization of a Market Ecology
144
2.11.1.
Identifying Hidden Orders
145
2.11.2.
Specialization of Strategies
146
2.12
Conclusion
148
Appendix
2.1:
Mechanical vs. Nonmechanical Impact
150
A2.1.1. Definition of Mechanical Impact for Order Books
150
A2.1.2. Empirical Results
152
Appendix
2.2:
Volume Fluctuations
153
Appendix
2.3:
The Bid-Ask Spread in the MRR Model
155
References
156
3
Stochastic Behavioral Asset-Pricing Models and the Stylized Facts
161
Thomas Lux
3.1.
Introduction
162
3.2.
The Stylized Facts of Financial Data
164
3.2.1.
Martingales, Lack of Predictability, and Informational
Efficiency
164
3.2.2.
Fat Tails of Asset Returns
167
3.2.3.
Volatility Clustering and Dependency in Higher Moments
173
3.2.4.
Other Stylized Facts
174
3.3.
The Stylized Facts as "Scaling Laws"
175
3.4.
Behavioral Asset-Pricing Models with Interacting Agents
178
3.4.1.
Interaction of Chartists and Fundamentalists and Nonlinear
Dynamics of Asset Prices
179
3.4.2.
Kirman 's Model of Opinion Formation and Speculation
185
Vlil
Contents
3.4.3.
Beyond Local Interactions: Socioeconomic Group Dynamics
in Financial Markets \
91
3.4.4.
Lattice Topologies of Agents' Connections
207
3.5.
Conclusion
210
References
211
4
Complex Evolutionary Systems in Behavioral Finance
Cars
Hommes
and
Florian Wagener
217
4.1.
Introduction
4.2.
An Asset-Pricing Model with Heterogeneous Beliefs
4.2.1.
The Fundamental Benchmark with Rational Agents
4.2.2.
Heterogeneous Beliefs
4.2.3.
Evolutionary Dynamics
4.2.4.
Forecasting Rules
4.3.
Simple Examples
4.3.1.
Costly Fundamentalists vs. Trend Followers
4.3.2.
Fundamentalists vs. Opposite Biases
4.3.3.
Fundamentalists vs. Trend and Bias
4.3.4.
Efficiency
4.3.5.
Wealth Accumulation
4.3.6.
Extensions
4.4.
Many Trader Types
4.5.
Empirical Validation
4.5.1.
The Model in Price-to-Cash Flows
4.5.2.
Estimation of a Simple Two-Type Example
4.5.3.
Empirical Implications
4.6.
Laboratory Experiments
4.6.1.
Learning to Forecast Experiments
4.6.2.
The Price-Generating Mechanism
4.6.3.
Benchmark Expectations Rules
4.6.4.
Aggregate Behavior
4.6.5.
Individual Prediction Strategies
4.6.6.
Profitability
4.7.
Conclusion
Appendix
4.1 :
Bifurcation Theory
A4.1.1.
Basic Concepts from Dynamical Systems
Appendix
4.2:
Bifurcation Scenarios
A4.2.1. The Saddle-Node Bifurcation
A4.2.2.
The Period-Doubling Bifurcation
A4.2.3. The
Hopf
Bifurcation
A4.2.4.
The Pitchfork Bifurcation
References
218
221
222
223
224
225
226
227
229
230
230
232
236
236
241
242
246
251
253
255
256
257
259
259
262
264
266
266
268
268
268
269
270
271
Contents
ЇХ
5
Heterogeneity, Market Mechanisms, and Asset Price Dynamics
277
Carl Chiarella, Roberto
Dieci,
and Xue-Zhong He
5.1.
Introduction
279
5.2.
Heterogeneity and Market-Clearing Mechanisms
283
5.2.1.
Portfolio Optimization
283
5.2.2.
Utility Functions
284
5.2.3.
Market-Clearing Mechanisms
285
5.2.4.
Noise
287
5.2.5.
Expectations Feedback
287
5.3.
Price Dynamics Implied by the
CARA
Utility Function
288
5.3.1.
Fundamental Price and the Optimal Demand
288
5.3.2.
Formation of Heterogeneous Beliefs
289
5.3.3.
Performance Measure and Switching
290
5.3.4.
Price Behavior under the Walrasian Auctioneer Mechanism
291
5.3.5.
Price Behavior under the Market-Maker Mechanism
298
5.4.
Price Behavior and Wealth Dynamics Implied by the CRRA Utility
302
5.4.1.
Optimal Portfolio and Wealth Dynamics
302
5.4.2.
Price and Wealth Behavior with a Walrasian Auctioneer
303
5.4.3.
Price and Wealth Behavior with a Market Maker
306
5.5.
Empirical Behavior
314
5.5.1.
Stylized Facts in the S&P
500 314
5.5.2.
A Market Fraction Model and Its Stylized Behavior
316
5.5.3.
Econometric Characterization of the Power-Law Behavior
319
5.6.
Heterogeneity in a Dynamic Multiasset Framework
321
5.6.1.
Optimization of a Many Risky Asset Portfolio with
Heterogeneous Beliefs
322
5.6.2.
An Example of Two Risky Assets and Two Beliefs
326
5.7.
The Continuous Stochastic Dynamics of Speculative Behavior
330
5.7.1.
Stochastic Models with Heterogeneous Beliefs
330
5.7.2.
A Continuous Stochastic Model with Fundamentalists
and Chartists
331
5.7.3.
A Random Dynamical System and Stochastic Bifurcations
332
5.8.
Conclusion
338
References
340
6
Perfect Forecasting, Behavioral Heterogeneities, and Asset Prices
345
Jan Wenzelburger
6.1.
Introduction
346
6.2.
The CAPM as a Two-Period Equilibrium Model
349
6.2.1.
Portfolio Selection with One Risk-Free Asset
349
6.2.2.
Two-Fund Separation
351
Contents
6.2.3.
Existence
and Uniqueness of Equilibrium
355
6.2.4.
Equilibria with Heterogeneous Beliefs
358
6.3.
Heterogeneous Beliefs and Social Interaction
359
6.3.1.
Temporary Equilibria
359
6.3.2.
Perfect Forecasting Rules
362
6.3.3.
Systematic and Nonsystematic Risk
366
6.3.4.
Selecting Mediators
369
6.3.5.
Dynamic Stability with Rational Expectations
371
6.4.
Multiperiod Planning Horizons
374
6.4.1.
Overlapping Cohorts of Investors
375
6.4.2.
Temporary Equilibria
378
6.4.3.
Perfect Forecasting Rules
Ъ19
6.4.4.
Portfolio Holdings
385
6.5.
Nonergodic Asset Prices
387
6.5.1.
Characterization of Long-Run Equilibria
389
6.5.2.
Convergence to Long-Run Equilibria
390
6.5.3.
Performance of Efficient Portfolios
391
6.5.4.
A Boom-and-Bust Scenario
394
6.6.
Conclusion
397
References
398
7
Market Selection and Asset Pricing
403
Lawrence Blume
and David Easley
7.1.
Introduction
405
7.7.7.
Evolution in Biology and Economics
405
7.7.2.
A Short History of the Market Selection Hypothesis
407
7.1.3.
Scope of This Chapter
409
7.2.
The Economy
411
7.2.7.
Traders
411
7.2.2.
Beliefs
412
7.3.
Equilibrium Allocations and Prices
413
7.3.1.
Pareto Optimality
413
7.3.2.
Competitive Equilibrium A\A
7.4.
Selection
416
7.4.7.
Literature
416
7.4.2.
A Leading Example
416
7.4.3.
Selection in Complete
HD
Markets
419
7.4.4.
The Basic Equations
420
7.4.5.
Who Survives? Necessity
421
7.4.6.
Selection and Market Equilibrium
421
7.4.7.
More General Stochastic Processes
422
7.5.
Multiple Survivors
423
7.5.7.
Who Survives? Sufficiency
423
Contents xi
7.6.
The Life and Death of Noise Traders
426
7.6.1.
The Importance of Market Structure
426
7.6.2.
Laws of Large Numbers
428
7.7.
Robustness
431
7.7.1.
Unbounded Economies
431
7.7.2.
Incomplete Markets
432
7.7.3.
Differential Information
432
7.7.4.
Selection over Non-EU Traders
432
7.7.5.
Selection over Rules
434
7.8.
Conclusion
435
References
436
8
Rational Diverse Beliefs and Market Volatility
439
Mordecai
Kurz
8.1.
Introduction
440
8.2.
Can Market Dynamics Be Explained by Asymmetric Private
Information?
445
8.2.1.
A General Model of Asset Pricing under Asymmetric
Information
445
8.2.2.
Dynamic Infinite Horizon Models
450
8.2.3.
Is Asymmetric Information a Satisfactory Theory
of Market Dynamics?
453
8.3.
Diverse Beliefs with Common Information: The General Theory
454
8.3.1.
A Basic Principle: Rational Diversity Implies Volatility
455
8.3.2.
Stability and Rationality in a General Nonstationary Economy
457
8.3.3.
Belief Rationality and the Conditional Stability Theorem
461
8.3.4.
Describing Individual and Market Beliefs with Markov
State Variables
464
8.3.5.
Asset Pricing with Heterogeneous Beliefs: An Illustrative
Model and Implications
474
8.4.
Explaining Market Dynamics with Simulation Models of Diverse Beliefs
485
8.4.1.
Introduction: On Simulation Methods and the Main Results
485
8.4.2.
Anatomy of Market Volatility
486
8.4.3.
Volatility of Foreign Exchange Rates and the Forward
Discount Bias
498
8.4.4.
Macroeconomic Applications
499
8.5.
Conclusion and Open Problems
501
References
502
9
Evolutionary Finance
507
Igor V. Evstigneev,
Thorsten
Hens, and Klaus Reiner
Schenk-Hoppé
9.1.
Introduction
509
9.1.1.
Motivation and Background
509
xii Contents
9.1.2. Applications
and Real-World Implications
511
9.1.3.
Structure of Chapter
511
9.1.4.
Dynamics and Evolution
512
9.1.5.
Horse Races and the Kelly Rule
515
9.2.
Evolutionary Models of Financial Markets
518
9.2.1.
Components of the Models
519
9.2.2.
Discussion of the Assumptions
521
9.2.3.
Outline of the Dynamics
523
9.3.
An Evolutionary Model with Short-Lived Assets
524
9.3.1.
The Model
524
9.3.2.
Analysis of Local Dynamics
528
9.3.3.
An Example
530
9.3.4.
The Generalized Kelly Rule
532
9.3.5.
Global Dynamics with Adaptive Strategies
534
9.4.
An Evolutionary Stock Market Model
537
9.4.1.
Local Dynamics
540
9.4.2.
Global Dynamics with Constant Strategies
543
9.4.3.
Kelly Rule in General Equilibrium
546
9.5.
Applications
547
9.5.7.
Simulation Studies
548
9.5.2.
Dynamics of Strategies: Genetic Programming
552
9.5.3.
Empirical Tests of Evolutionary Asset Pricing
557
9.6.
Continuous-Time Evolutionary Finance
560
9.7.
Conclusion
563
References
564
Author Index
567
Subject Index
575 |
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| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
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| index_date | 2024-07-02T22:53:26Z |
| indexdate | 2024-07-09T21:26:33Z |
| institution | BVB |
| isbn | 9780123742582 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016975669 |
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| record_format | marc |
| series2 | Handbooks in finance |
| spelling | Handbook of financial markets dynamics and evolution ed. by Thorsten Hens ... Amsterdam [u.a.] Elsevier 2009 XXI, 584 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Handbooks in finance "The models of portfolio selection and asset-price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners."--BOOK JACKET. Capital assets pricing model Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditmarkt (DE-588)4073788-3 s Anlageverhalten (DE-588)4214003-1 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-188 Kapitalmarkt (DE-588)4029578-3 s Modell (DE-588)4039798-1 s 1\p DE-604 Hens, Thorsten 1961- (DE-588)138727082 edt Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016975669&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Handbook of financial markets dynamics and evolution Capital assets pricing model Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkt (DE-588)4029578-3 gnd Anlageverhalten (DE-588)4214003-1 gnd Modell (DE-588)4039798-1 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4073788-3 (DE-588)4029578-3 (DE-588)4214003-1 (DE-588)4039798-1 (DE-588)4143413-4 |
| title | Handbook of financial markets dynamics and evolution |
| title_auth | Handbook of financial markets dynamics and evolution |
| title_exact_search | Handbook of financial markets dynamics and evolution |
| title_exact_search_txtP | Handbook of financial markets dynamics and evolution |
| title_full | Handbook of financial markets dynamics and evolution ed. by Thorsten Hens ... |
| title_fullStr | Handbook of financial markets dynamics and evolution ed. by Thorsten Hens ... |
| title_full_unstemmed | Handbook of financial markets dynamics and evolution ed. by Thorsten Hens ... |
| title_short | Handbook of financial markets |
| title_sort | handbook of financial markets dynamics and evolution |
| title_sub | dynamics and evolution |
| topic | Capital assets pricing model Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkt (DE-588)4029578-3 gnd Anlageverhalten (DE-588)4214003-1 gnd Modell (DE-588)4039798-1 gnd |
| topic_facet | Capital assets pricing model Capital-Asset-Pricing-Modell Kreditmarkt Kapitalmarkt Anlageverhalten Modell Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016975669&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hensthorsten handbookoffinancialmarketsdynamicsandevolution |