Non-ergodic Behavior in a Financial Market with Interacting Investors

Ulrich Horst and Jan Wezelburger

No 229, 2006 Meeting Papers from Society for Economic Dynamics

Abstract: We identify possible long-run market shares and the long-run asset price dynamics of financial markets with heterogenous interacting agents. This involves stability conditions for a class of difference equation in a random environment, where the random environment is endogenously generated by agents' investment behavior. Depending on the evaluation of a performance measure of an investment, asset prices may behave in a non-ergodic manner. That is, the price processes converge in distribution, but the limiting distribution is not necessarily uniquely determined. The long-run market shares of two competing financial mediators may strongly depend on the random environment which is endogenously generated by a noise traders

Keywords: financial markets; interaction; random difference equations; stochastic approximation (search for similar items in EconPapers)
JEL-codes: C62 D85 G12 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed006:229

Access Statistics for this paper

More papers in 2006 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().