Collaborative Research: Applications of Stochastic Analysis to Models of Multi-Agent Interactions

协作研究：随机分析在多智能体交互模型中的应用

• 批准号: 1008873
• 负责人: Jianfeng Zhang
• 金额: $ 16.7万
• 依托单位: University of Southern California
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2010
• 资助国家: 美国
• 起止时间: 2010-09-15 至 2013-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1008873&HistoricalAwards=false
• 关键词: Collaborative; Research; Applications; Stochastic; Analysis

Recent advances in continuous-time contract theory, some of which have come out from the prior work of the investigators, as well as advances in equilibrium theory and in modeling liquidity, are applied in order to develop more realistic models of interactions of multiple economic agents. In particular, optimal design of joint ventures between two firms is addressed, that is, the optimal time to enter/exit a project, the optimal effort each should invest in it, and how they should share the profits/losses, thus extending the classical real options theory to the case of two agents. New models for finding optimal compensation to managers are developed, in which the manager may have better information than the investors, and in which the investors may acquire better information at a cost. Global properties of prices formed in equilibrium of financial markets with many agents are analyzed, in order to study what factors influence the volatility and the risk premium of the stock market. In addition, the investigators model how prices locally evolve due to changes in liquidity, for example in the presence of fast high-frequency traders. Finally, in a model of a market with many interacting agents, the project explores how the average number of defaults and average loss evolve in the limit when the number of agents grows.This project is particularly timely given that one of the reasons for the recent crisis in financial markets is the way traders and managers have been compensated. It will help provide insight into what types of compensation schemes are optimal for the parties involved and for the society in general. Another issue that needs better understanding if a similar crisis is to be prevented in the future, is how the markets evolve due to the interaction of many agents, and how lack of liquidity influences the behavior of the market participants and the prices. In particular, this research sheds light on the formation of asset prices, on portfolio strategies, and on the frequency of defaults that can be expected in markets with many agents, as well as how prices are formed in markets with varying degrees of liquidity. Thus, the results of the project will shed light on which issues to focus on when regulating compensation in financial markets and regulating the financial industry in general.

连续时间合同理论的最新进展，其中一些已经从以前的工作的调查，以及在均衡理论和流动性建模的进展，应用，以开发更现实的多个经济主体的相互作用模型。 特别地，研究了两个企业合资企业的最优设计问题，即最优的进入/退出时间、最优的投资努力以及如何分担利润/损失，从而将经典的真实的期权理论推广到两个代理人的情况。 本文提出了新的管理者最优报酬模型，在该模型中，管理者可能比投资者拥有更好的信息，而投资者可能以一定的代价获得更好的信息。 分析了多主体金融市场均衡时价格的全局性质，研究了影响股票市场波动性和风险溢价的因素。 此外，研究人员还模拟了由于流动性变化而导致的本地价格演变，例如在快速高频交易员存在的情况下。 最后，在一个由多个相互作用的代理人组成的市场模型中，探讨了代理人数量增加时，平均违约数和平均损失在极限范围内的变化。鉴于最近金融市场危机的原因之一是交易员和经理人的报酬方式，本项目显得尤为及时。 这将有助于深入了解什么类型的补偿计划对所涉各方和整个社会是最佳的。 另一个需要更好地理解的问题是，如果将来要防止类似的危机，市场如何由于许多代理人的相互作用而演变，以及缺乏流动性如何影响市场参与者的行为和价格。特别是，这项研究揭示了资产价格的形成，投资组合策略，并在违约的频率，可以预期在市场上有许多代理人，以及如何在市场上形成不同程度的流动性的价格。 因此，该项目的结果将揭示在监管金融市场薪酬和监管整个金融业时应重点关注哪些问题。