Market Liquidity and Self-Organization by way of global Competition among financial Centers

我们的研究关注全球金融市场的稳定性或系统性风险问题，关注价格波动的增加，通过关注经济中的市场流动性，每个金融中心通过提高证券市场的效率和活力来繁荣竞争。它调查了自机构投资者引入股票交易以来，纽交所的专家们在确保价格连续性和市场深度方面所遇到的困难。我们特别关注他们在“楼上”交易的衍生品（期货、期权），以降低交易成本，从而对现金（现货）市场产生价格效应，从而创造套利机会。然而，这种套利机会可能会给专业人士的做市行为带来困难，我们将黑色星期一的投资组合保险作为“市场流动性幻觉”的一个例子，仔细研究一下做市行为。因此，本文采用“噪声交易者模型”作为分析金融市场稳定性问题的相关框架。同时，我们建议“扩展”NT模型，以考虑缩短投资组合经理的范围和行为特性（如正反馈交易和羊群行为）的因素，并超越认为价值交易者和非价值交易者之间的比例对市场崩溃的诞生至关重要的模型。此外，我们正在考虑G. Solos所倡导的市场估值和基本面之间的“反射性”对系统行为的含义和影响。我们认为，这种反身性可以从新兴市场危机时代“封闭式”国家基金的折扣率运动中体现出来。我们计划进行模拟分析，分析建立在自反性基础上的经济市场崩溃机制，以及利率上升带来的资产估值“反转”引发的金融传染。此外，我们将“自组织经济”作为一种取代传统均衡的长期均衡。然而，我们无法执行它。少

Our research concerns the problem of stability or systemic risk of global financial market, paying attention to the increase of price volatility ,by way of focusing on market liquidity in the economy where each financial center thrives to compete the others by enhancing efficiency and vitalization in security markets. It surveys the difficulties which specialists in the NYSE have been experiancing to secure price continuities and market depth since the introduction of brock trading among institutional investors. In particular, we focused on derivatives (futures, options) traded by them on "upstairs" to reduce transaction costs, which give rise to price effects to cash (spot) markets, through which create chances of arbitrage. However, such a chance of arbitrage can bring difficulties to specialists to perform market-making, about which we scrutinise taking portfolio insurance in Black Monday as an example of the case of "the illusion of market liquidity". The above leads to the adoptio … More n of 'Noise Trader (NT) model' as a relevant framework to analise the stability problem in financial market. At the same time we propose to 'extend' the NT model to take into consideration the elements of shortening of portfolio managers' scope and behavioral peculialities (such as positive feedback trade and herd behavior) and to surpass the model which asserts that the proportion between value traders and non-value traders is crucial to the birth of market crush. In addition, we are considering the implication and impact of 'reflexivity' between market valuation and fundamentals advacated by G. Solos, on the behavior of the system. We think this reflexivity can be demonstrated in the movement of discount of 'closed-end' country fund in the era of emerging markets' crises. We had planned to perform simulation analysis to analyze the mechanism of market crash of the economy which builds in the reflexivity, and financial contagion initiated by the 'reverse' of asset valuation brought by interest increases. In addition, we were to present 'self-organising economy' as a long-term equilibrium replacing the traditional one. However we couldn't execute it. Less