Evolution in PecuniaCitation formats

Standard

Evolution in Pecunia. / Amir, Rabah; Evstigneev, Igor; Hens, Thorsten; Potapova, Valeriya; Schenk-Hoppé, Klaus Reiner.

In: Proceedings of the National Academy of Sciences, 05.02.2021.

Research output: Contribution to journalArticlepeer-review

Harvard

Amir, R, Evstigneev, I, Hens, T, Potapova, V & Schenk-Hoppé, KR 2021, 'Evolution in Pecunia', Proceedings of the National Academy of Sciences.

APA

Amir, R., Evstigneev, I., Hens, T., Potapova, V., & Schenk-Hoppé, K. R. (Accepted/In press). Evolution in Pecunia. Proceedings of the National Academy of Sciences.

Vancouver

Amir R, Evstigneev I, Hens T, Potapova V, Schenk-Hoppé KR. Evolution in Pecunia. Proceedings of the National Academy of Sciences. 2021 Feb 5.

Author

Amir, Rabah ; Evstigneev, Igor ; Hens, Thorsten ; Potapova, Valeriya ; Schenk-Hoppé, Klaus Reiner. / Evolution in Pecunia. In: Proceedings of the National Academy of Sciences. 2021.

Bibtex

@article{cc57346842254d59956aa97c6136b2e8,
title = "Evolution in Pecunia",
abstract = "The paper models evolution in pecunia—in the realm of finance. Financial markets are explored as evolving biological systems. Diverse investment strategies compete for the market capital invested in long-lived dividend-paying assets. Some strategies {\textquoteleft}survive{\textquoteright} and some {\textquoteleft}become extinct.{\textquoteright} The novelty of our paper is that dividends are not exogenous but increase with the wealth invested in an asset, as is the case in a production economy. This might create a positive feedback loop in which more investment in some asset leads to higher dividends which in turn leads to higher investments. Nevertheless, we are able to identify a unique evolutionary stable investment strategy. The problem is studied in a framework combining stochastic dynamics and evolutionary game theory. The model proposed employs only objectively observable market data, in contrast with traditional settings relying upon unobservable investors{\textquoteright} characteristics (utilities and beliefs). Our method is analytical and based on mathematical reasoning. A numerical illustration of the main result is provided.",
author = "Rabah Amir and Igor Evstigneev and Thorsten Hens and Valeriya Potapova and Schenk-Hopp{\'e}, {Klaus Reiner}",
year = "2021",
month = feb,
day = "5",
language = "English",
journal = "Proceedings of the National Academy of Sciences",
issn = "0027-8424",
publisher = "National Academy of Sciences",

}

RIS

TY - JOUR

T1 - Evolution in Pecunia

AU - Amir, Rabah

AU - Evstigneev, Igor

AU - Hens, Thorsten

AU - Potapova, Valeriya

AU - Schenk-Hoppé, Klaus Reiner

PY - 2021/2/5

Y1 - 2021/2/5

N2 - The paper models evolution in pecunia—in the realm of finance. Financial markets are explored as evolving biological systems. Diverse investment strategies compete for the market capital invested in long-lived dividend-paying assets. Some strategies ‘survive’ and some ‘become extinct.’ The novelty of our paper is that dividends are not exogenous but increase with the wealth invested in an asset, as is the case in a production economy. This might create a positive feedback loop in which more investment in some asset leads to higher dividends which in turn leads to higher investments. Nevertheless, we are able to identify a unique evolutionary stable investment strategy. The problem is studied in a framework combining stochastic dynamics and evolutionary game theory. The model proposed employs only objectively observable market data, in contrast with traditional settings relying upon unobservable investors’ characteristics (utilities and beliefs). Our method is analytical and based on mathematical reasoning. A numerical illustration of the main result is provided.

AB - The paper models evolution in pecunia—in the realm of finance. Financial markets are explored as evolving biological systems. Diverse investment strategies compete for the market capital invested in long-lived dividend-paying assets. Some strategies ‘survive’ and some ‘become extinct.’ The novelty of our paper is that dividends are not exogenous but increase with the wealth invested in an asset, as is the case in a production economy. This might create a positive feedback loop in which more investment in some asset leads to higher dividends which in turn leads to higher investments. Nevertheless, we are able to identify a unique evolutionary stable investment strategy. The problem is studied in a framework combining stochastic dynamics and evolutionary game theory. The model proposed employs only objectively observable market data, in contrast with traditional settings relying upon unobservable investors’ characteristics (utilities and beliefs). Our method is analytical and based on mathematical reasoning. A numerical illustration of the main result is provided.

M3 - Article

JO - Proceedings of the National Academy of Sciences

JF - Proceedings of the National Academy of Sciences

SN - 0027-8424

ER -