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How To Group Market Participants? Heterogeneity In Hedging Behavior

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  • Pennings, Joost M.E.
  • Garcia, Philip
  • Irwin, Scott H.
  • Good, Darrel L.

Abstract

Using a generalized mixture model, we model individual heterogeneity by identifying groups of participants that respond in a similar manner to the determinants of economic behavior. The procedure emphasizes the role of theory as the determinants of behavior are used to simultaneously explain market activities and to discriminate among groups of market participants. We show the appealing properties of this modeling approach by comparing it with two often used grouping methods in an empirical study in which we estimate the factors affecting market participants' hedging behavior.

Suggested Citation

  • Pennings, Joost M.E. & Garcia, Philip & Irwin, Scott H. & Good, Darrel L., 2003. "How To Group Market Participants? Heterogeneity In Hedging Behavior," 2003 Annual meeting, July 27-30, Montreal, Canada 21963, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea03:21963
    DOI: 10.22004/ag.econ.21963
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