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 Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().