An evolutionary finance model with short selling and endogenous asset supply

Rabah Amir (), Sergei Belkov, Igor Evstigneev and Thorsten Hens
Additional contact information
Sergei Belkov: University of Manchester [Manchester]
Igor Evstigneev: University of Manchester [Manchester]
Thorsten Hens: UZH - Universität Zürich [Zürich] = University of Zurich, NHH - Norwegian School of Economics and Business Administration, Department of Economics - Norwegian School of Economics and Business Administration, UNILU - Université de Lucerne = Universität Luzern

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Abstract: Evolutionary finance focuses on questions of "survival and extinction" of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and demand. Equilibrium is formed in each time period in the course of interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has been developed for models in which short selling is not allowed and asset supply is exogenous. The present paper extends the theory to a class of models with short selling and endogenous asset supply.

Date: 2022-04
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Published in Economic Theory, 2022, 73 (2), pp.655-677. ⟨10.1007/s00199-020-01269-x⟩

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Journal Article: An evolutionary finance model with short selling and endogenous asset supply (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02617447

DOI: 10.1007/s00199-020-01269-x

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