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

熔断机制是指在价格迅速下跌时强制停止交易，尽管现在在金融市场上广泛存在，但在研究人员中仍存在很大争议。本研究采用了最近发展起来的金融市场运行理论和连续时间随机过程的技术，以建立一个理论模型，阐明断路器的潜在好处。人们关注的焦点是对流动性冲击的担忧引发的金融市场挤兑。从理论上讲，在基本面良好的情况下，暂时停牌可能会消除早期平仓造成的低效率。当等待更好信息的私人动机不足时，熔断机制的作用是为代理人提供学习基本知识的时间。另一个可能更重要的贡献是经验性的。将要进行的实验室实验将以新的理论模型为指导。更具体地说，实验将在两种不同的参数设置下比较有熔断机制和没有熔断机制的实验室金融市场：一种情况下，熔断机制理论上应该能成功恢复金融稳定，另一种情况下，熔断机制预计会失败。这些预测是从基于理性主体的模型中得出的。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有关金融市场监管的政策辩论。熔断机制现在很普遍，但尚未得到科学共识的支持。使用博弈论和实验经济学的工具来重新设计熔断机制可以带来重要的福利收益，尤其是在这个金融不稳定的时期。该研究将强调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.