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Modeling of Boom and Burst of Shadow – A Game Theory Approach
Hwa Dong Liang1; Kin Keung Lai1; Jerome Yen2; Ming Wang1
2010
Conference Name2010 Third International Conference on Business Intelligence and Financial Engineering
Source PublicationProceedings of 2010 Third International Conference on Business Intelligence and Financial Engineering
Pages256-260
Conference Date13th to 15th August 2010
Conference PlaceHong Kong
Abstract

 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.

KeywordFinancial Market Coalition Game Theory
DOI10.1109/BIFE.2010.67
Indexed By其他
Language英语
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Document TypeConference paper
CollectionFaculty of Business Administration
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Affiliation1.Department of Management Sciences, City University of Hong Kong, Hong Kong
2.School of Business and Management, Hong Kong University of Science and Technology, Hong Kong
Recommended Citation
GB/T 7714
Hwa Dong Liang,Kin Keung Lai,Jerome Yen,et al. Modeling of Boom and Burst of Shadow – A Game Theory Approach[C],2010:256-260.
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