Abstract

http://ssrn.com/abstract=1436963
 
 

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Regulation Simulation


Philip Maymin


NYU Poly - Department of Finance and Risk Engineering

July 15, 2009

European Journal of Finance and Banking Research, Vol. 2, No. 2, pp.1-12, 2009

Abstract:     
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate the effects of financial regulation that either pricks bubbles, props up crashes, or both. The results suggest that regulation makes the market process appear more Gaussian and less complex, with the difference more pronounced for more frequent intervention, though particular periods can be worse than the non-regulated version, and that pricking bubbles and propping up crashes are not symmetrical.

Number of Pages in PDF File: 10

Keywords: determinism, complexity, regulation, bubbles, crashes

JEL Classification: G18, G01, G19

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Date posted: July 21, 2009  

Suggested Citation

Maymin, Philip, Regulation Simulation (July 15, 2009). European Journal of Finance and Banking Research, Vol. 2, No. 2, pp.1-12, 2009. Available at SSRN: http://ssrn.com/abstract=1436963

Contact Information

Philip Maymin (Contact Author)
NYU Poly - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States

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