HOW TO GROUP MARKET PARTICIPANTS? HETEROGENEITY IN HEDGING BEHAVIOR

Using a generalized mixture model, we model individual heterogeneity by identifying groups of participants that respond in a similar manner to the determinants of economic behavior. The procedure emphasizes the role of theory as the determinants of behavior are used to simultaneously explain market activities and to discriminate among groups of market participants. We show the appealing properties of this modeling approach by comparing it with two often used grouping methods in an empirical study in which we estimate the factors affecting market participants' hedging behavior.


Issue Date:
2003
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21963
Total Pages:
33
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-04-26

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