Market Selection of Financial Trading Strategies: Global Stability

Igor Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hopp�
Authors registered in the RePEc Author Service: Klaus Reiner Schenk-Hoppé

No 83, IEW - Working Papers from Institute for Empirical Research in Economics - University of Zurich

Abstract: In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easley (1992) to any complete or incomplete asset market.

Keywords: portfolio theory; evolutionary finance; incomplete markets (search for similar items in EconPapers)
JEL-codes: D52 D81 D83 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (46)

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Related works:
Journal Article: MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:zur:iewwpx:083

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