基于演化博弈的期货市场监管制度研究

【作者】 罗剑；

【导师】 罗孝玲；

【作者基本信息】 中南大学 ， 金融学， 2008， 硕士

【摘要】 本文以期货市场监管的微观主体到宏观主体为基本逻辑,围绕“基于演化博弈期货市场监管制度研究”这一主线,分别考察了期货交易者之间的演化博弈分析、监管威慑下的机构之间合作的演化博弈分析以及期货监管行政主管部门监管主导和期货法治秩序演化机制。我们通过建立期货投机者与套期保值者之间的单群体对称收益正性复制动态模型,可知演化系统的路径选择和均衡点不是唯一的,具有存在多重均衡的特征;并将期货操纵者作为随机项引入复制动态模型,当期货投机者与套期保值者形成演化稳定策略时,能很好地抵制操纵策略的入侵。在实践中,虽然我国法律对期货操纵行为的规定日趋严格,但是由于期货操纵行为本身的隐蔽性、高技术性,导致在法律实施领域面临刑事规制形同虚设、行政规制严重滞后、民事规制于法无据的困境。我们应当转变思路,在实践中注重对期货投机者尤其是套期保值者的培植,充分发挥期货投机者与套期保值者相互之间的博弈关系,从而通过市场的力量来弥补国家强制成本过高的不足。同时,我们以期货公司与证券为例,建立的监管威慑下的机构之间合作的多群体非对称连续时间复制动态模型,证明了如果不考虑监管的威慑,期货公司与证券公司合作或不合作都是演化稳定状态,其演化过程是由初始条件决定。为维护严格的分业经营制度的权威性,严厉的监管规则可以改变金融系统中的合作竞争博弈的收益结构,但会导致两者合作处于不稳定状态;而目前监管机构对证券和期货公司的合作采取松动或鼓励的态度,从而两者在合作中的收益较大,可促使合作成为主导战略,形成混业经营演化趋势。最后,我们通过一个基于“复制动态”的期货监管者与被监管者之间的演化博弈模型,显示“社会契约”的法律作用下政府权力的制衡机制,并证明在期货市场秩序演化过程中法律的内在效力以及法治的外部环境两个因素对期货市场秩序的形成起了决定性作用。因此我们建议要形成期货法治秩序,期货监管当局就不能完全取缔“准期货市场”的存在,应当保证经济人或者民众有一定规避期货监管的渠道或者有渠道进行期货制度的创新,从而使得政府的强制性制度供给与民众的自动自发性制度供给很好的结合;其次,应当从宪政体系上做到期货监管对象对期货监管部门有一定的监督权,如从人大监督或者行政诉讼的相关制度上,保证民众对监管者滥用监管权力具有一定的联合抵制的权利。更多还原

【Abstract】 In this paper, the basic logic is that the regulation in futures markets which from the micro subject to the macro subject, to investigate separately the analysis of evolutionary game between the future traders, the analysis of co-evolutionary game between the agencies which submit the power of supervise, as well as analysis of the futures regulation department in charge of monitoring the executive power to balance and the evolution mechanism of legal order on futures.Whereby penal stipulations are virtually non-existent, administrative rules and regulations are lagging and civil regulatory framework lack legislative founding. Through the establishment of replicator dynamics model, which is Monomorphic population between the speculators and the hedgers. Futures speculators and hedges between the single-income groups are symmetrical copy of the dynamic model shows the evolution of the system and choose the path of the balance point is not the only, with the balance of the existence of multiple features; and futures operator As a random copy of the introduction of dynamic model, with the futures speculators are hedging strategy formation and evolution of a stable, well able to resist the manipulation of the invasion strategy. In practice, though China’s law on the futures manipulation of the increasingly strict requirements, but because of their own futures manipulation of hidden, high-tech, leading to the implementation of the law in the field of regulation exists in name only facing criminal, administrative regulations lagged, civil regulation no legal the plight. We should be thinking changes, in practice focus on the futures speculators in particular, to cultivate the hedge, and give full play to futures speculators and hedge those mutual relations between the game and thus, through market forces to make up for the national compulsory costs high enough.At the same time, the futures and securities companies, for example, the establishment of deterrence under the regulation of the agency co-operation between the more groups of non symmetrical continuous-time dynamic model to copy, proves that if we do not consider the regulation of deterrence, futures companies and securities companies are uncooperative or evolution is a steady state, and its evolution from the initial conditions. To maintain a strict separation of the operating system for the authority, stringent regulation of the financial system can change the rules of the competition in cooperation with the proceeds of the structure of the game, but would result in the securities and futures companies in an unstable state; the current regulator of the securities and futures company co-operation to take or encourage the loose attitude, so as to the securities and futures companies to cooperate more in revenue, it will promote the securities and futures companies to become co-led strategy to form a trend in the evolution of mixed operation.Finally, we passed on a "dynamic copy the" mechanism of evolution of the game model to show the "social contract" under the legal authority of government checks and balances, and to prove in the futures market order in the process of the evolution of the internal legal effect of the rule of law, as well as the external environment of the two factor for the formation of the futures market played a decisive role. Therefore, we recommend that the rule of law in order to form a futures and futures regulatory authorities will not be able to phase out completely the "quasi-futures market," and the existence of the economy should ensure that a certain person or people to avoid futures regulation of channels or channels futures innovation system, so that the government Mandatory system of supply and the people of automatic supply system of spontaneous good combination; Second, the constitutional system should be done on futures regulation of the futures regulatory target a certain degree of regulation, such as from the regulation of the National People’s Congress or administrative proceedings related to the system to ensure that the people of regulators to monitor the abuse of power has a right to boycott.更多还原