More hedging instruments may destabilize markets

W.A. Brock; C.H. Hommes; F.O.O. Wagener

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More hedging instruments may destabilize markets

机译：更多套期工具可能会破坏市场稳定

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This paper formalizes the idea that more hedging instruments may destabilize markets when traders have heterogeneous expectations and adapt their behavior according to performance-based reinforcement learning. In a simple asset pricing model with heterogeneous beliefs the introduction of additional Arrow securities may destabilize markets, and thus increase price volatility, and at the same time decrease average welfare. We also investigate whether a fully rational agent can employ additional hedging instruments to stabilize markets. It turns out that the answer depends on the composition of the population of non-rational traders and the information gathering costs for rationality.

机译：本文正式化了这样的思想，即当交易者具有不同的期望并根据基于绩效的强化学习来调整其行为时，更多的对冲工具可能会使市场不稳定。在具有不同信念的简单资产定价模型中，引入其他箭牌证券可能会使市场不稳定，从而增加价格波动性，同时降低平均福利。我们还研究了完全理性的代理商是否可以使用其他对冲工具来稳定市场。事实证明，答案取决于非理性交易者的数量和合理性的信息收集成本。

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来源
《Journal of Economic Dynamics and Control》 |2009年第11期|1912-1928|共17页
作者
W.A. Brock; C.H. Hommes; F.O.O. Wagener;
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作者单位

University of Wisconsin, 1180 Observatory Drive, Madison, WI 53706, USA;

CeNDEF, School of Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands;

CeNDEF, School of Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands;

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正文语种 eng
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关键词
financial innovation; asset pricing; hedging; reinforcement learning; bifurcations;

机译：金融创新;资产定价;套期保值强化学习;分叉;

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7. More hedging instruments may destabilize markets [O] . Brock, W.A., Hommes, C.H., Wagener, F.O.O. 2009

机译：更多套期工具可能会破坏市场稳定

More hedging instruments may destabilize markets

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