Search Results - subject:"Random dynamical systems"

Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le - In: Mathematics and financial economics 14 (2020) 2, pp. 249-262

Persistent link: https://www.econbiz.de/10012240204

Von Neumann-Gale dynamics and capital growth in financial markets with frictions

Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, … - In: Mathematics and financial economics 14 (2020) 2, pp. 283-305

Persistent link: https://www.econbiz.de/10012240281

An evolutionary finance model with a risk-free asset

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - In: Annals of finance 16 (2020) 4, pp. 593-607

Persistent link: https://www.econbiz.de/10012496451

When panic makes you blind : a chaotic route to systemic risk

Mazzarisi, Piero; Lillo, Fabrizio; Marmi, Stefano - In: Journal of economic dynamics & control 100 (2019), pp. 176-199

Persistent link: https://www.econbiz.de/10012130963

Asset prices and wealth dynamics in a financial market with random demand shocks

Dindo, Pietro; Staccioli, Jacopo - In: Journal of economic dynamics & control 95 (2018), pp. 187-210

Persistent link: https://www.econbiz.de/10012004924

Market Selection of Constant Proportions Investment Strategies in Continuous Time

PALCZEWSKI, Jan; SCHENK-HOPPE, Klaus Reiner - 2008

This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for...

Persistent link: https://www.econbiz.de/10005162992

The Stochastic Dynamics of Speculative Prices

Chiarella, Carl; He, Xue-Zhong; Zheng, Min - Finance Discipline Group, Business School - 2007

Words: Heterogeneous agents, speculative behaviour, random dynamical systems, stochastic bifurcations, invariant measures … the stochastic nature of random dynamical systems. In particular, the study of the limiting distribution of various … in ˆ and ` can 5The Stratonovich rather than the It^o SDE formalism is usually used in the theory of random dynamical …

Persistent link: https://www.econbiz.de/10005041741

Random dynamical systems in finance

Sviščuk, Anatolij; Islam, Shafiqul - 2013

Persistent link: https://www.econbiz.de/10009738473

Performance of investment strategies in the absence of correct beliefs

Bektur, Çisem - In: Decisions in Economics and Finance 36 (2013) 1, pp. 23-37

dominate or at least survive. Our techniques are borrowed from the theory of random dynamical systems. Copyright Springer …

Persistent link: https://www.econbiz.de/10010993502

Heterogeneity as a Natural Source of Randomness

Diks, Cees; Weide, Roy van der - Tinbergen Institute - 2003

We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...

Persistent link: https://www.econbiz.de/10005136904