Behavioral aspects of arbitrageurs in timing games of bubbles and crashes

• 成果类型: Article
• 署名作者: Matsushima, Hitoshi
• 署名单位: University of Tokyo
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.08.002
• 发表日期: 2013
• 页码: 858-870
• 关键词: Bubbles and crashes; timing games; Behavioral arbitrageurs; reputation; characterization; uniqueness

摘要

This paper demonstrates the theoretical foundation that underlies the willingness of rational arbitrageurs to delay and reinforce the speculative attack. The key assumptions are that there is a small probability that arbitrageurs are behavioral and never time the market of their own accord and it is uncertain whether arbitrageurs are behavioral or rational. We model a stock market as a timing game, in which arbitrageurs compete to react quickest. We show that rational arbitrageurs are willing to ride the bubble for a long period. We also characterize symmetric Nash equilibria and show the sufficient condition for uniqueness. (C) 2013 Elsevier Inc. All rights reserved.