Market Selection of Financial Trading Strategies: Global Stability

Zurich IEER Working Paper No. 83

Finrisk Working Paper No. 11

17 Pages Posted: 8 Aug 2001

See all articles by Igor V. Evstigneev

Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences

Klaus Reiner Schenk-Hoppé

University of Manchester - Department of Economics; Norwegian School of Economics (NHH) - Department of Finance

Thorsten Hens

University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute

Multiple version iconThere are 2 versions of this paper

Date Written: January 2002

Abstract

In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easley (1992) to any complete or incomplete asset market.

Keywords: Evolutionary finance, market selection, incomplete markets, Kelly rule

JEL Classification: D52, D81, D83, G11

Suggested Citation

Evstigneev, Igor V. and Schenk-Hoppé, Klaus Reiner and Hens, Thorsten, Market Selection of Financial Trading Strategies: Global Stability (January 2002). Zurich IEER Working Paper No. 83; Finrisk Working Paper No. 11. Available at SSRN: https://ssrn.com/abstract=279316 or http://dx.doi.org/10.2139/ssrn.279316

Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom
+44 161 2754275 (Phone)
+44 161 2754812 (Fax)

HOME PAGE: http://www.evstigneev.net

Klaus Reiner Schenk-Hoppé

University of Manchester - Department of Economics ( email )

Arthur Lewis Building
Oxford Road
Manchester, M13 9PL
United Kingdom

Norwegian School of Economics (NHH) - Department of Finance ( email )

Helleveien 30
N-5045 Bergen
Norway

Thorsten Hens (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 32
Zurich, 8032
Switzerland
+41-44 634 37 06 (Phone)

Norwegian School of Economics and Business Administration (NHH)

Helleveien 30
Bergen, 5045
Norway

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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