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Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes
http://hdl.handle.net/2261/25760
http://hdl.handle.net/2261/25760ef2df5f6-03f5-42a4-accc-fa6c21abe08f
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 | Positive Feedback Traders | |||||
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 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We model a timing game of bubbles and crashes a la Abreu and Brunnermeier (2003), in which arbitrageurs compete with each other to beat the gun in a stock market. However, unlike Abreu and Brunnermeier, instead of assuming sequential awareness, the present paper assumes that with a small probability, each arbitrageur is behavioral and committed to ride the bubble at all times. We show that with incomplete information, even rational arbitrageurs are willing to ride the bubble. In particular, the bubble can persist for a long period as the unique Nash equilibrium outcome. | |||||
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-606, 発行日 2009-01 |
|||||
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/2009/2009cf606ab.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/2261/52147 |