Modeling of Boom and Burst of Shadow - A Game Theory Approach
This paper formulates a game theory model to discuss equilibrium among four main participants who need to choose between acting sunshine and shadow activities in financial market. Their activities will determine the market’s transparency level and indirectly decide utility of each player. We observe that the perfect situation,when all players act sunshine activities,is Nash equilibrium. But when financial institutions,regulators and intermediaries choose to coalesce together and deviate from the rules,a Pareto improvement will take place in the allied group,and the equilibrium will move. But when market transparency decreases to too low a level and goes below the bottom line,investors will leave the market and the bubble will burst.
financial market game theory coalition
Hwa Dong Liang Jerome Yen Kin Keung Lai Ming Wang
Department of Management Sciences,City University of Hong Kong,Hong Kong School of Business and Management,Hong Kong University of Science and Technology,Hong Kong
国际会议
香港
英文
256-260
2010-08-17（万方平台首次上网日期，不代表论文的发表时间）