Modeling of boom and burst of shadow - A game theory approach

Hwa Dong Liang; Kin Keung Lai; Jerome Yen; Ming Wang

doi:10.1109/BIFE.2010.67

Modeling of boom and burst of shadow - A game theory approach

Hwa Dong Liang, Kin Keung Lai, Jerome Yen, Ming Wang

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

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. © 2010 IEEE.

Original language	English
Title of host publication	Proceedings - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010
Pages	256-260
DOIs	https://doi.org/10.1109/BIFE.2010.67
Publication status	Published - 2010
Event	3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010 - Hong Kong, China Duration: 13 Aug 2010 → 15 Aug 2010

Conference

Conference	3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010
Place	China
City	Hong Kong
Period	13/08/10 → 15/08/10

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10.1109/BIFE.2010.67

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@inproceedings{603570cd3e7049929d9b1e115b6a9828,

title = "Modeling of boom and burst of shadow - A game theory approach",

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. {\textcopyright} 2010 IEEE.",

author = "Liang, {Hwa Dong} and Lai, {Kin Keung} and Jerome Yen and Ming Wang",

year = "2010",

doi = "10.1109/BIFE.2010.67",

language = "English",

isbn = "9780769541167",

pages = "256--260",

booktitle = "Proceedings - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010",

note = "3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010 ; Conference date: 13-08-2010 Through 15-08-2010",

}

Liang, HD, Lai, KK, Yen, J & Wang, M 2010, Modeling of boom and burst of shadow - A game theory approach. in Proceedings - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010., 5621711, pp. 256-260, 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010, Hong Kong, China, 13/08/10. https://doi.org/10.1109/BIFE.2010.67

Modeling of boom and burst of shadow - A game theory approach. / Liang, Hwa Dong; Lai, Kin Keung; Yen, Jerome et al.
Proceedings - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010. 2010. p. 256-260 5621711.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

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N2 - 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. © 2010 IEEE.

AB - 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. © 2010 IEEE.

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DO - 10.1109/BIFE.2010.67

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9780769541167

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EP - 260

BT - Proceedings - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010

T2 - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010

Y2 - 13 August 2010 through 15 August 2010

ER -

Modeling of boom and burst of shadow - A game theory approach

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