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摘要翻译：
我们知道卖空禁令或托宾税是否会导致更稳定的资产价格吗？或者它们实际上让事情变得更糟？就像药品一样，金融市场的监管措施旨在改善一个已经复杂的体系。就像药物一样，这些干预措施会导致副作用，当考虑到与其他措施的相互作用时，这些副作用更难评估。本文建立了一个基于agent的股票市场模型，试图找到上述问题的答案。在一个循序渐进的程序中，引入了监管措施，并审查了这些措施对市场流动性和稳定性的影响。特别是，观察和讨论了(i)禁止卖空、(ii)强制风险限额，即风险价值限额、(iii)开征托宾税，即对交易征收交易税和(iv)任意组合这些措施的影响。该模型的建立考虑了杠杆和流动性约束的非线性反馈效应，从而导致火灾、销售和逃逸动力学。在其不受监管的版本中，模型结果能够再现资产收益的风格化事实，如肥尾和集群波动性。引入监管措施表明，从各个角度来看，只有强制性的风险限额才是有益的，而卖空禁令--尽管降低了波动性--却增加了尾部风险。托宾税的情况恰恰相反：它减少了崩盘的发生，但增加了波动性。此外，措施之间的相互作用是不可忽略的：措施之间相互阻碍，选择得当的组合可以减轻不可预见的副作用。关于托宾税，调查结果表明，用药过量会造成严重伤害。
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英文标题：
《Regulatory Medicine Against Financial Market Instability: What Helps And
What Hurts?》
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作者：
Stefan Kerbl
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system. And just like medicine these interventions can cause side effects which are even harder to assess when taking the interplay with other measures into account. In this paper an agent based stock market model is built that tries to find answers to the questions above. In a stepwise procedure regulatory measures are introduced and their implications on market liquidity and stability examined. Particularly, the effects of (i) a ban of short selling (ii) a mandatory risk limit, i.e. a Value-at-Risk limit, (iii) an introduction of a Tobin Tax, i.e. transaction tax on trading, and (iv) any arbitrary combination of the measures are observed and discussed. The model is set up to incorporate non-linear feedback effects of leverage and liquidity constraints leading to fire sales and escape dynamics. In its unregulated version the model outcome is capable of reproducing stylised facts of asset returns like fat tails and clustered volatility. Introducing regulatory measures shows that only a mandatory risk limit is beneficial from every perspective, while a short selling ban - though reducing volatility - increases tail risk. The contrary holds true for a Tobin Tax: it reduces the occurrence of crashes but increases volatility. Furthermore, the interplay of measures is not negligible: measures block each other and a well chosen combination can mitigate unforeseen side effects. Concerning the Tobin Tax the findings indicate that an overdose can do severe harm.
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PDF链接：
https://arxiv.org/pdf/1011.6284
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