More hedging instruments may destabilize markets

被引：86

作者：

Brock, W. A. ^{[2
]}

Hommes, C. H. ^{[1
]}

Wagener, F. O. O. ^{[1
]}

机构：

[1] Univ Amsterdam, Sch Econ, CeNDEF, NL-1018 WB Amsterdam, Netherlands

[2] Univ Wisconsin, Madison, WI 53706 USA

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2009年 / 33卷 / 11期

基金：

美国国家科学基金会;

关键词：

Financial innovation; Asset pricing; Hedging; Reinforcement learning; Bifurcations; FINANCIAL INNOVATION; EXPECTATIONS; HETEROGENEITY; RISK;

D O I：

10.1016/j.jedc.2009.05.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper formalizes the idea that more hedging instruments may destabilize markets when traders have heterogeneous expectations and adapt their behavior according to performance-based reinforcement learning. In a simple asset pricing model with heterogeneous beliefs the introduction of additional Arrow securities may destabilize markets, and thus increase price volatility, and at the same time decrease average welfare. We also investigate whether a fully rational agent can employ additional hedging instruments to stabilize markets. It turns out that the answer depends on the composition of the population of non-rational traders and the information gathering costs for rationality. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1912 / 1928

页数：17

共 49 条

[11] Heterogeneous beliefs and routes to chaos in a simple asset pricing model [J].