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Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes
http://hdl.handle.net/2261/52147
http://hdl.handle.net/2261/52147eb75a0e3-f88a-4c53-a0dc-915c3d3917e3
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Bubbles and Crashes | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Timing Games | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Behavioral Arbitrageurs | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Reputation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Characterization | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Uniqueness | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification Numbers: C720, C730, D820, G140 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Matsushima, Hitoshi
× Matsushima, Hitoshi |
|||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | a further revision was accepted in the Journal of Economic Theory. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-857, 発行日 2012-08 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf857ab.html | |||||
置換する | ||||||
関連タイプ | replaces | |||||
識別子タイプ | URI | |||||
関連識別子 | http://hdl.handle.net/2261/25760 |