Doctoral Dissertation Research in DRMS: Financial Circuit Breakers: Theory and Experiments

尽管断路器（在价格快速下跌时强制停止交易）现在在金融市场上很普遍，但在研究人员中仍然存在相当大的争议。该研究采用了最近开发的技术，从金融市场运行的理论和连续时间随机过程，以建立一个理论模型，阐明断路器的潜在好处。重点是担心流动性冲击而引发的金融市场挤兑。从理论上讲，在基本面良好的情况下，暂时停止交易可能会消除早期清算造成的低效率。断路器的运作方式是，当等待更好信息的私人激励不足时，为代理人提供了解基本面的时间。另一个建议的贡献，也许更重要的，是经验。新的理论模型将为将要进行的实验室实验提供信息。更具体地说，这些实验将在两种不同的参数设置下比较有和没有断路器的实验室金融市场：一种是断路器理论上应该成功恢复金融稳定，另一种是断路器预计会失败。这些预测是从基于理性代理的模型中得出的。目前的项目将分析它们是否对人类受试者的实际行为具有鲁棒性。更广泛的影响包括正在进行的关于金融市场监管的政策辩论。断路器现在很普遍，但尚未得到科学共识的支持。利用博弈论和实验经济学的工具重新设计断路器可以带来重要的福利收益，特别是在金融不稳定的时期。这项研究将突出断路器有效性的关键决定因素，如市场参与者可获得的信息质量和投资者的心理。

Although now widespread in financial markets, circuit breakers -- mandated halts in trading when prices fall very rapidly -- remain quite controversial among researchers. The research adapts recently developed techniques from the theory of financial market runs and from continuous time random processes, in order to build a theoretical model that clarifies the potential benefits of circuit breakers. The focus is on runs on a financial market induced by fear of liquidity shocks. Theoretically, a temporary trading halt may eliminate the inefficiency caused by early liquidations when fundamentals are good. A circuit breaker operates by providing agents with time to learn about the fundamentals, when private incentives to wait for better information are insufficient. The other proposed contribution, perhaps more important, is empirical. The laboratory experiments to be conducted will be informed by the new theoretical model. More specifically, the experiments will compare laboratory financial markets with and without circuit breakers in two different parametric settings: one where circuit breakers theoretically should succeed in restoring financial stability and another where circuit breakers are expected to fail. These predictions are drawn from a model based on rational agents. The current project will analyze whether they are robust to the actual behavior of human subjects. The broader impact includes the ongoing policy debate on the regulation of financial markets. Circuit breakers are now widespread, but are not yet supported by a scientific consensus. Using the tools of game theory and experimental economics to redesign circuit breakers can lead to important welfare gains, especially in this time of financial instability. The study will highlight the key determinants of the effectiveness of circuit breakers, such as the quality of the information available to the market participants and the investors' psychology.