Computational complexity and information asymmetry in financial products
Computational complexity and information asymmetry in financial products
复制标题
金融产品的计算复杂性和信息不对称
DOI：
10.1145/1941487.1941511
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发表时间：
2011
影响因子：
22.7
通讯作者：
Rong Ge
中科院分区：
文献类型：
--
作者：
Sanjeev Arora;B. Barak;Markus K. Brunnermeier;Rong Ge
本文将计算复杂性的概念引入到金融衍生工具的研究中。传统经济学认为，衍生品，如CDO和CDS，改善了由于买方和卖方之间的信息不对称而产生的负成本。这是因为通过这些衍生品进行证券化，可以让知情方为资产现金流中信息不敏感的部分找到买家（例如，抵押贷款），并保留剩余部分。在本文中，我们表明，这种观点可能需要修改，一旦计算复杂性带来的图片。假设合理的复杂性理论的结构，我们表明，衍生品实际上可以放大不对称信息的成本，而不是减少它们。我们证明了我们的结果在最坏的情况下设置，以及更现实的平均情况下设置。在后一种情况下，为了论证我们的构造导致的导数“看起来像”现实生活中的导数，我们使用了密码学中的计算不可变性的概念。
This paper introduces notions from computational complexity into the study of financial derivatives. Traditional economics argues that derivatives, like CDOs and CDSs, ameliorate the negative costs imposed due to asymmetric information between buyers and sellers. This is because securitization via these derivatives allows the informed party to find buyers for the information-insensitive part of the cash flow stream of an asset (e.g., a mortgage) and retain the remainder. In this paper we show that this viewpoint may need to be revised once computational complexity is brought into the picture. Assuming reasonable complexity-theoretic conjectures, we show that derivatives can actually amplify the costs of asymmetric information instead of reducing them. We prove our results both in the worst-case setting, as well as the more realistic average case setting. In the latter case, to argue that our constructions result in derivatives that “look like” real-life derivatives, we use the notion of computational indistinguishability a la cryptography.