Chaderina, Maria, Green, Richard. 2014. Predators and Prey on Wall Street. Review of Asset Pricing Studies 4 (1): 1-38.

RIS

@ARTICLE{Chaderina2014,
title = {Predators and Prey on Wall Street},
author = {Maria Chaderina and Richard Green},
year = {2014},
url = {http://raps.oxfordjournals.org/content/4/1/1.abstract},
volume = {4},
number = {1},
language = {EN},
pages = {1-38},
journal = {Review of Asset Pricing Studies},
abstract = {Much financial activity is zero-sum. While providing transactional and diversification services to others, participants also prey upon each other. High-ability predators trade opportunistically with less-able prey. In our dynamic model these features amplify real shocks. The presence of more low-ability traders reduces expected losses to high-ability traders, leading to equilibria with high levels of financial activity and employment. Shocks to profits can motivate exit by low-ability traders, rendering those of intermediate skill more vulnerable. Thus, our relatively simple model generates boom-bust dynamics suggestive of Wall Street.},
}