论文标题
金融市场控制模型
A Model of Financial Market Control
论文作者
论文摘要
这项研究使用价格影响的金融市场交易模型作为线性系统调查了市场操纵。首先，我定义了投机者之间的交易游戏，以便他们实施利用动量交易者的操纵交易策略。其次，我确定了由控制系统控制的控制器（例如中央银行）的市场干预。主要结果表明，有一种控制策略可以防止市场操纵作为交易游戏的子游戏中的完美均衡结果。在平衡路径上，未实现干预措施。这项研究还表征了系统的一套防操作线性定价规则。如果没有控制，则该集合非常限制，而控制的存在会大大扩展该集合。
This study investigates the prevention of market manipulation using a price-impact model of financial market trading as a linear system. First, I define a trading game between speculators such that they implement a manipulation trading strategy that exploits momentum traders. Second, I identify market intervention by a controller (e.g., a central bank) with a control of the system. The main result shows that there is a control strategy that prevents market manipulation as a subgame perfect equilibrium outcome of the trading game. On the equilibrium path, no intervention is realized. This study also characterizes the set of manipulation-proof linear pricing rules of the system. The set is very restrictive if there is no control, while the presence of control drastically expands the set.
