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

通过金融中心之间的全球竞争实现市场流动性和自组织

• 批准号: 10630005
• 负责人: AOKI Tatsuhiko
• 金额: $ 0.96万
• 依托单位: Shinshu University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1998
• 资助国家: 日本
• 起止时间: 1998 至 1999
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-10630005/
• 关键词: cross-market linkage; market liquidity; expectation formation; portfolio manager; noise-trader model; financial contagion; reflexivity; positive feedback; 市場関リンケージ; システミック・リスク; 自己組織化; 金融不安定性; ブーム・バストモデル; 流動性プレミアム; 慣行的評価

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

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，关注价格波动性的增加，通过关注经济中的市场流动性，每个金融中心通过提高效率和振兴证券市场来竞争其他金融中心。它调查的困难，在纽约证券交易所的专家一直在经历，以确保价格的连续性和市场深度，因为在机构投资者中引入布洛克交易。特别是，我们关注他们在“楼上”交易的衍生品（期货，期权），以降低交易成本，这会对现金（现货）市场产生价格效应，从而创造套利机会。然而，这样的套利机会会给专业人士做市带来困难，对此，我们以黑色星期一的投资组合保险作为“市场流动性幻觉”的例子进行了详细的分析。上述情况导致采用 ...更多信息 噪声交易者（NT）模型作为分析金融市场稳定性问题的相关框架。与此同时，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点（如正反馈交易和羊群行为）的元素，并超越模型，该模型声称，价值交易者和非价值交易者之间的比例是至关重要的市场挤压的诞生。此外，我们还考虑了G。Solos，关于系统的行为。我们认为这种反身性可以从新兴市场危机时期封闭式国家基金的折价运动中得到体现。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的机制，以及由利率上升带来的资产价值“逆转”引发的金融传染。此外，我们将“自组织经济”作为一种长期均衡来取代传统的均衡。然而，我们无法执行它。减

项目成果

青木達彦: "金融不安定性仮説と期待形成"商学論纂. 40巻3・4号. 457-493 (1999)

青木达彦：“金融不稳定假设和预期形成”商业研究评论第 40 卷，第 3 期和第 4 期。457-493 (1999)

青木達彦: "金融市場の不安定性とフィードバック・メカニズム"進化経済学論集. 第3集. 263-277 (1999)

青木达彦：“金融市场的不稳定和反馈机制”《进化经济学杂志》第 3 卷。263-277 (1999)。

青木達彦: "金融不安定性仮説と期待形成" 商学論叢. 第40巻3・4号. (1999)

青木达彦：“金融不稳定假说和预期形成”，《商业杂志》第 40 卷，第 3 期和第 4 期（1999 年）。

T. Aoki: "Financial Instability Hypothesis and Expectation Formation (in Japanese)"Shogaku-ronsan. Vol. 40, 3/4. 457-493 (1999)

T. Aoki：“金融不稳定假说和预期形成（日语）”小学论桑。

T. Aoki: "The Instability in Financial Market and Feedback Mechanism (in Japanese)"Evolutional Enonomics. Vol. 3. 263-277 (1999)

T. Aoki：“金融市场的不稳定与反馈机制（日语）”演化经济学。