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首页> 外文期刊>Journal of Economic Dynamics and Control >Excess covariance and dynamic instability in a multi-asset model
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Excess covariance and dynamic instability in a multi-asset model

机译：多资产模型中的过度协方差和动态不稳定性

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摘要

The presence of excess covariance in financial price returns is an accepted empirical fact: the price dynamics of financial assets tend to be more correlated than their fundamentals would justify. We advance an explanation of this fact based on an inter-temporal equilibrium multi-assets model of financial markets with an explicit and endogenous price dynamics. The market is driven by an exogenous stochastic process of dividend yields paid by the assets that we identify as market fundamentals. The model is rather flexible and allows for the coexistence of different trading strategies. The evolution of assets price and traders' wealth is described by a high-dimensional stochastic dynamical system. We identify the equilibria of the model consistent with a baseline assumption of procedural rationality. We show that these equilibria are characterized by excess covariance in prices with respect to the dividend process. Moreover, we show that in equilibrium there is a positive expected marginal profit in choosing more risky portfolios. As a consequence, the evolutionary pressure generates a trend towards more remunerative strategies, which, in turn, increase the variance of prices and the dynamic instability of the system.
机译：金融价格收益中存在过度协方差是一个公认的经验事实：金融资产的价格动态往往比其基本面所证明的更为相关。我们基于具有明确和内生价格动态的金融市场的跨时间均衡多资产模型对这一事实进行解释。市场是由我们确定为市场基本要素的资产支付的股息收益率的外生随机过程驱动的。该模型相当灵活，并且允许不同交易策略共存。资产价格和交易者财富的演变由高维随机动力学系统描述。我们确定了与程序合理性的基线假设一致的模型均衡。我们证明，这些均衡的特征是，相对于股息过程，价格存在过度协方差。此外，我们表明，在均衡状态下，选择更具风险的投资组合会有正的预期边际利润。结果，进化压力产生了一种趋向于更高的报酬策略的趋势，这反过来又增加了价格的差异和系统的动态不稳定。

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