Doctoral Dissertation Research in DRMS: Financial Circuit Breakers: Theory and Experiments
DRMS 博士论文研究:金融熔断机制:理论与实验
基本信息
- 批准号:1260813
- 负责人:
- 金额:$ 2.59万
- 依托单位:
- 依托单位国家:美国
- 项目类别:Standard Grant
- 财政年份:2013
- 资助国家:美国
- 起止时间:2013-03-01 至 2015-02-28
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
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.
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。
项目成果
期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
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Daniel Friedman其他文献
Clinical Phenotypes And Outcomes Associated With Improved Left Ventricular Ejection Fraction After Biventricular Pacing
双心室起搏后左心室射血分数改善相关的临床表型和结果
- DOI:
10.1016/j.cardfail.2024.10.231 - 发表时间:
2025-01-01 - 期刊:
- 影响因子:8.200
- 作者:
Sameer A Kunte;Lurdes Inoue;William Abraham;John Cleland;Anne Curtis;Daniel Friedman;Michael Gold;Valentina Kutyifa;Cecilia Linde;Anthony S Tang;Gillian Sanders;Sana Al-Khatib - 通讯作者:
Sana Al-Khatib
AN IRRITATING POST-WATCHMAN COMPLICATION: DELAYED HEMORRHAGIC EFFUSIVE-CONSTRICTIVE PERICARDITIS
- DOI:
10.1016/s0735-1097(21)03836-5 - 发表时间:
2021-05-11 - 期刊:
- 影响因子:
- 作者:
Zeryab Khan;Rayan El Zein;Jordan Luli;Ishmail Saccoh;Andrew Pollard;Jasyn Blankenship;Daniel Friedman;Robert Palma - 通讯作者:
Robert Palma
48 - Direct Experimental Validation of Computational Current Flow Models with Intra-Cranial Recordings in Human and Non-Human Primates
- DOI:
10.1016/j.brs.2016.11.066 - 发表时间:
2017-01-01 - 期刊:
- 影响因子:
- 作者:
Belen Lafon;Anli Liu;Yu Huang;Preet Minas;Kohitij Kar;Marom Bikson;Daniel Friedman;Bart Krekelberg;Lucas C. Parra - 通讯作者:
Lucas C. Parra
NORMALIZATION OF QRS DURATION TO LEFT VENTRICULAR DIMENSION IMPROVES PATIENT SELECTION FOR CARDIAC RESYNCHRONIZATION THERAPY
- DOI:
10.1016/s0735-1097(18)31481-5 - 发表时间:
2018-03-10 - 期刊:
- 影响因子:
- 作者:
Alwin Zweerink;Daniel Friedman;Igor Klem;Caitlin Vink;Paul Biesbroek;Steen M. Hansen;Raymond Kim;Albert van Rossum;Brett Atwater;Robin Nijveldt;Cornelis Allaart - 通讯作者:
Cornelis Allaart
Gradient dynamics in population games: Some basic results
- DOI:
10.1016/j.jmateco.2010.08.006 - 发表时间:
2010-09-20 - 期刊:
- 影响因子:
- 作者:
Daniel Friedman;Daniel N. Ostrov - 通讯作者:
Daniel N. Ostrov
Daniel Friedman的其他文献
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{{ truncateString('Daniel Friedman', 18)}}的其他基金
NSF Postdoctoral Fellowship in Biology FY 2020
2020 财年 NSF 生物学博士后奖学金
- 批准号:
2010290 - 财政年份:2020
- 资助金额:
$ 2.59万 - 项目类别:
Fellowship Award
Collaborative Research: Preferences and Equilibrium in Laboratory Financial Markets
合作研究:实验室金融市场的偏好与均衡
- 批准号:
1357867 - 财政年份:2014
- 资助金额:
$ 2.59万 - 项目类别:
Standard Grant
ICES: Small: Economic Analysis of Recommender Systems
ICES:小型:推荐系统的经济分析
- 批准号:
1101741 - 财政年份:2011
- 资助金额:
$ 2.59万 - 项目类别:
Standard Grant
Continuous Games in the Laboratory--Programming Support
实验室连续游戏——编程支持
- 批准号:
1058130 - 财政年份:2010
- 资助金额:
$ 2.59万 - 项目类别:
Standard Grant
Science and Technology Scholarship Program Supporting Enrollments in Computer Science, Engineering, Biological and Physcial Sciences and Mathematics
支持计算机科学、工程、生物和物理科学以及数学专业入学的科学技术奖学金计划
- 批准号:
0728047 - 财政年份:2007
- 资助金额:
$ 2.59万 - 项目类别:
Standard Grant
Collaborative Research: IT-Enhanced Market Design and Experiments
协作研究:IT 增强的市场设计和实验
- 批准号:
0527770 - 财政年份:2006
- 资助金额:
$ 2.59万 - 项目类别:
Standard Grant
Landscape Dynamics: Models for the Social Sciences
景观动力学:社会科学模型
- 批准号:
0436509 - 财政年份:2005
- 资助金额:
$ 2.59万 - 项目类别:
Standard Grant
A Laboratory Exploration of Networked Markets
网络市场的实验室探索
- 批准号:
0351801 - 财政年份:2004
- 资助金额:
$ 2.59万 - 项目类别:
Continuing Grant
Computer Science, Engineering, and Mathematics Scholarships
计算机科学、工程和数学奖学金
- 批准号:
0123041 - 财政年份:2002
- 资助金额:
$ 2.59万 - 项目类别:
Standard Grant
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