Behavioral Equilibrium and Evolutionary Dynamics

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
Additional contact information
Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich

Chapter 20 in Mathematical Financial Economics, 2015, pp 197-204 from Springer

Abstract: Abstract This chapter presents a new approach to the modelling of financial markets combining behavioural and evolutionary principles. It describes a dynamic equilibrium model with long-lived dividend-paying assets in which the notion of a short-run equilibrium is defined directly in terms of the strategy profile of investors, rather than their (typically unobservable) individual utilities and beliefs. This approach makes it possible to reflect a whole variety of patterns of market behaviour, not necessarily describable in terms of utility maximization. The highlight of the chapter is a result describing an (asymptotically unique) evolutionary stable strategy, guaranteeing ”survival” in the market selection process.

Keywords: Market Participant; Strategy Profile; Evolutionary Stable Strategy; Investment Rate; Individual Utility (search for similar items in EconPapers)
Date: 2015
References: Add references at 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:spr:sptchp:978-3-319-16571-4_20

Ordering information: This item can be ordered from
http://www.springer.com/9783319165714

DOI: 10.1007/978-3-319-16571-4_20

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().