کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
956947 | 928500 | 2013 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Behavioral aspects of arbitrageurs in timing games of bubbles and crashes
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Behavioral aspects of arbitrageurs in timing games of bubbles and crashes Behavioral aspects of arbitrageurs in timing games of bubbles and crashes](/preview/png/956947.png)
چکیده انگلیسی
This paper demonstrates the theoretical foundation that underlies the willingness of rational arbitrageurs to delay and reinforce the speculative attack. The key assumptions are that there is a small probability that arbitrageurs are behavioral and never time the market of their own accord and it is uncertain whether arbitrageurs are behavioral or rational. We model a stock market as a timing game, in which arbitrageurs compete to react quickest. We show that rational arbitrageurs are willing to ride the bubble for a long period. We also characterize symmetric Nash equilibria and show the sufficient condition for uniqueness.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 148, Issue 2, March 2013, Pages 858–870
Journal: Journal of Economic Theory - Volume 148, Issue 2, March 2013, Pages 858–870
نویسندگان
Hitoshi Matsushima,