Post by Sapphire Capital on Nov 26, 2008 4:29:45 GMT 4
Asset Market Games of Survival
Rabah Amir
Center for Operations Research and Econometrics (CORE)
Igor V. Evstigneev
Economics, School of Social Sciences, University of Manchester
Klaus Reiner Schenk-Hoppé
Leeds University Business School (LUBS); University of Leeds - School of Mathematics
Swiss Finance Institute Research Paper No. 08-31
Abstract:
The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of short-run equilibrium. Investors use general, adaptive strategies depending on the exogenous states of the world and the observed history of the game. The main goal is to identify strategies, allowing an investor to "survive," i.e. to possess a positive, bounded away from zero, share of market wealth over the infinite time horizon. This work links recent studies on evolutionary finance to the classical topic of games of survival pioneered by Milnor and Shapley in the 1950s.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1288572_code623849.pdf?abstractid=1288572&mirid=3
Rabah Amir
Center for Operations Research and Econometrics (CORE)
Igor V. Evstigneev
Economics, School of Social Sciences, University of Manchester
Klaus Reiner Schenk-Hoppé
Leeds University Business School (LUBS); University of Leeds - School of Mathematics
Swiss Finance Institute Research Paper No. 08-31
Abstract:
The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of short-run equilibrium. Investors use general, adaptive strategies depending on the exogenous states of the world and the observed history of the game. The main goal is to identify strategies, allowing an investor to "survive," i.e. to possess a positive, bounded away from zero, share of market wealth over the infinite time horizon. This work links recent studies on evolutionary finance to the classical topic of games of survival pioneered by Milnor and Shapley in the 1950s.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1288572_code623849.pdf?abstractid=1288572&mirid=3