Evolution in Pecunia

Rabah Amir (), Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova and Klaus Schenk-Hoppé
Additional contact information
Igor V. Evstigneev: University of Manchester - Economics, School of Social Sciences
Thorsten Hens: University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute
Valeriya Potapova: University of Manchester

No 20-44, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The paper models evolution in pecunia in the realm of finance. Financial markets are explored as evolving biological systems. Investors pursuing diverse investment strategies compete for the market capital. Some `survive' and some `become extinct.' A central goal is to identify evolutionary stable, i.e. guaranteeing survival, investment strategies. The problem is studied in a framework combining stochastic dynamics and evolutionary game theory. The model proposed employs only objectively observable market data, in contrast with traditional settings relying upon unobservable investors characteristics (utilities and beliefs). The main result is a construction of an evolutionary stable strategy in the model at hand.

Keywords: Evolutionary finance; financial markets; evolutionarily stable investment strategies; survival; stochastic dynamics; local stability (search for similar items in EconPapers)
JEL-codes: C73 G11 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2020-05
New Economics Papers: this item is included in nep-evo, nep-gth and nep-ore
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Evolution in pecunia (2021)
Working Paper: Evolution in pecunia (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2044

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