IDEAS home Printed from https://ideas.repec.org/p/man/sespap/2202.html
   My bibliography  Save this paper

Evolutionary Behavioural Finance: A Model with Endogenous Asset Payoffs

Author

Listed:
  • Igor V. Evstigneev
  • Mohammad Javad Vanaei

Abstract

The paper explores financial market dynamics from evolutionary and behavioural perspectives. Most of the studies on this topic deal with models in which asset payo¤s are exogenous and depend only on the underlying stochastic process of states of the world. The present work proposes a model in which the payoffs of assets are endogenous: they depend on the share of total market wealth invested in the asset.

Suggested Citation

  • Igor V. Evstigneev & Mohammad Javad Vanaei, 2022. "Evolutionary Behavioural Finance: A Model with Endogenous Asset Payoffs," Economics Discussion Paper Series 2202, Economics, The University of Manchester.
    • Handle: RePEc:man:sespap:2202
    as

    Download full text from publisher

    File URL: https://hummedia.manchester.ac.uk/schools/soss/economics/discussionpapers/EDP-2202.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Amos Tversky & Daniel Kahneman, 1991. "Loss Aversion in Riskless Choice: A Reference-Dependent Model," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 106(4), pages 1039-1061.
    2. Robert J. Aumann, 2019. "A synthesis of behavioural and mainstream economics," Nature Human Behaviour, Nature, vol. 3(7), pages 666-670, July.
    3. Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Valeriya Potapova & Klaus R. Schenk-Hoppé, 2021. "Evolution in pecunia," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 118(26), pages 2016514118-, June.
    4. Martin Shubik & Gerald L. Thompson, 1959. "Games of economic survival," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 6(2), pages 111-123, June.
    5. Robert J. Aumann, 2019. "Publisher Correction: A synthesis of behavioural and mainstream economics," Nature Human Behaviour, Nature, vol. 3(7), pages 761-761, July.
    6. Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé, 2013. "Asset market games of survival: a synthesis of evolutionary and dynamic games," Annals of Finance, Springer, vol. 9(2), pages 121-144, May.
    7. Fuhito Kojima, 2006. "Stability and instability of the unbeatable strategy in dynamic processes," International Journal of Economic Theory, The International Society for Economic Theory, vol. 2(1), pages 41-53, March.
    8. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. I. V. Evstigneev & T. Hens & M. J. Vanaei, 2023. "Evolutionary finance: a model with endogenous asset payoffs," Journal of Bioeconomics, Springer, vol. 25(2), pages 117-143, August.
    2. Evstigneev, Igor & Hens, Thorsten & Potapova, Valeriya & Schenk-Hoppé, Klaus R., 2020. "Behavioral equilibrium and evolutionary dynamics in asset markets," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 121-135.
    3. Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
    4. Zerong Chen, 2024. "Evolutionary Finance: Models with Short-Lived Assets," Economics Discussion Paper Series 2402, Economics, The University of Manchester.
    5. Rabah Amir & Igor V. Evstigneev & Valeriya Potapova, 2021. "Unbeatable Strategies," Economics Discussion Paper Series 2101, Economics, The University of Manchester, revised Jul 2023.
    6. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
    7. Adamson, Jordan & Wilson, Bart J., 2024. "Territory in the state of nature," Journal of Economic Behavior & Organization, Elsevier, vol. 219(C), pages 490-509.
    8. Stephen Knowles & Maroš Servátka & Trudy Sullivan & Murat Genç, 2022. "Procrastination and the non‐monotonic effect of deadlines on task completion," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 706-720, April.
    9. Andersson, Lina, 2022. "Fear and Economic Behavior," Working Papers in Economics 819, University of Gothenburg, Department of Economics.
    10. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.
    11. Rabah Amir & Igor Evstigneev & Klaus Schenk-Hoppé, 2013. "Asset market games of survival: a synthesis of evolutionary and dynamic games," Annals of Finance, Springer, vol. 9(2), pages 121-144, May.
    12. Enrique Urbano Arellano & Xinyang Wang, 2023. "Social Learning of General Rules," Papers 2310.15861, arXiv.org.
    13. Daniela Di Cagno & Lorenzo Ferrari & Werner Güth & Vittorio Larocca, 2021. "Transparent Dealing instead of Insider Haggling - Experimentally Analyzing an Institutional Choice for Repeated Trade," CEIS Research Paper 523, Tor Vergata University, CEIS, revised 18 Feb 2023.
    14. Wiebke Roß & Jens Weghake, 2018. "Wa(h)re Liebe: Was Online-Dating-Plattformen über zweiseitige Märkte lehren," TUC Working Papers in Economics 0017, Abteilung für Volkswirtschaftslehre, Technische Universität Clausthal (Department of Economics, Technical University Clausthal).
    15. Jose Apesteguia & Miguel Ballester, 2009. "A theory of reference-dependent behavior," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 40(3), pages 427-455, September.
    16. Kareen Rozen, 2010. "Foundations of Intrinsic Habit Formation," Econometrica, Econometric Society, vol. 78(4), pages 1341-1373, July.
    17. Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
    18. Luigi Guiso, 2015. "A Test of Narrow Framing and its Origin," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(1), pages 61-100, March.
    19. Pingle, Mark & Mitchell, Mike, 2002. "What motivates positional concerns for income?," Journal of Economic Psychology, Elsevier, vol. 23(1), pages 127-148, February.
    20. Mich Tvede & Hervé Crès, 2001. "Voting in Assemblies of shareholders and Incomplete Markets," SciencePo Working papers hal-01064884, HAL.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:man:sespap:2202. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Patrick Macnamara (email available below). General contact details of provider: https://edirc.repec.org/data/semanuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.