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

尽管熔断机制现在在金融市场中很普遍，但在研究人员中，熔断机制仍然存在相当大的争议。熔断机制是指在价格迅速下跌时强制暂停交易。这项研究采用了金融市场运行理论和连续时间随机过程的最新发展技术，以建立一个理论模型，阐明熔断机制的潜在好处。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，临时停牌可能会消除在基本面良好时提前清算所造成的低效。熔断机制的运作方式是，在等待更好信息的私人激励不足时，为代理人提供时间来了解基本面。另一个提议的贡献，或许更重要的是，是经验性的。即将进行的实验室实验将由新的理论模型提供信息。更具体地说，这些实验将在两种不同的参数设置下比较使用和不使用熔断机制的实验室金融市场：一种是熔断机制理论上应该能够成功恢复金融稳定，另一种是熔断机制预计会失效。这些预测是从一个基于理性代理人的模型得出的。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健壮性。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。熔断机制现在很普遍，但还没有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，特别是在这个金融不稳定的时期。这项研究将强调熔断机制有效性的关键决定因素，例如市场参与者可获得的信息的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.