Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics

Fabio Dercole and Davide Radi

Chaos, Solitons & Fractals, 2020, vol. 130, issue C

Abstract: This paper investigates the effects of the “uptick rule” (a short selling regulation formally known as Exchange Act Rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where heterogeneous and adaptive beliefs on the future prices of a risky asset were first shown to be responsible for endogenous price fluctuations.

Keywords: Asset pricing model; Heterogeneous beliefs; Endogenous price fluctuations; Piecewise-smooth dynamical systems and chaos; Uptick-rule (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303625

DOI: 10.1016/j.chaos.2019.109426

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