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Ulrich Horst (British Columbia). Economics Colloquia.

Event details of Non-Ergodic Behavior in a Financial Market With Interacting Investors
Date 16 February 2006
Time 11:15 -12:15
Location Roeterseilandcampus - building E

Ulrich Horst (British Columbia)

Non-Ergodic Behavior in a Financial Market With Interacting Investors


Abstract
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We identify possible long-run market shares and the long-run asset price dynamics of financial markets with heterogeneous interacting agents. This involves stability conditions for a class of difference equation in a random environment, where the random environment is endogenously generated by agents' investment behavior. Depending on the evaluation of a performance measure of an investment, asset prices may behave in a non-ergodic manner.
That is, the price processes converge in distribution, but the limiting distribution is not necessarily uniquely determined. The long-run market shares of two competing financial mediators may strongly depend on the random environment which is endogenously generated by a noise traders.

The paper is available at: http://www.math.ubc.ca/~horst

Economics Colloquia.

Information: Mikhail Anufriev: M.Anufriev@uva.nl

Roeterseilandcampus - building E

Roetersstraat 11
1018 WB Amsterdam

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