Evolutionary Finance Models with Short Selling and Endogenous Asset Supply

Sergei Belkov, Igor V. Evstigneev and Thorsten Hens
Additional contact information
Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich, Norwegian School of Economics and Business Administration (NHH), and Swiss Finance Institute

No 17-26, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Evolutionary Finance focuses on questions of "survival and extinction" of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and demand. Equilibrium is formed in each time period in the course of interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has been developed for models in which short selling is not allowed and asset supply is exogenous. The present paper extends the theory to a class of models with short selling and endogenous asset supply.

Keywords: Evolutionary finance; Survival portfolio rules; Random dynamical systems (search for similar items in EconPapers)
JEL-codes: C73 D52 G11 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2017-09
New Economics Papers: this item is included in nep-evo, nep-hme and nep-ore
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1726

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