路径约束条件下的金融创新机制问题研究

华中科技大学博士学位论文路径约束条件下的金融创新机制问题研究姓名：于海东申请学位级别：博士专业：系统工程指导教师：罗云峰20080605IIHotellingNashNashIIIIVAbstractWithsocialistmarketeconomicsystembeinggraduallyestablished,aswellasfinancialmarketsorederlyopen,thefinancialinnovationappearsmoreandmoreinthethepracticeoffinancialservicesindustry.Therefore,inordertopromotetheindependentinnovationabilityandcorecompetitivenessabilityoffinancialintermediaryandimprovethesustainableandhealthydevelopmentinfinancialservicesindustry,itisveryimportanttolaunchandincreaseresearchesonfinancialinnovationmechanism.Thepresentdissertationsetsouttostudythefinancialmechanism.ByusingtheimprovedHotellingpricecompetitionmodel,itdoesnotonlyanalyzethemicro-motivityoffinancialintermediaryaboutfinancialinnovation,butalsomarketevolution.Itdefinesthedomesticfinancialmarket’spatterncategoriesandprovesthestrategiessteadystateconsistentwiththeNashequilibriumoffinancialintermediarycanbeaccessedthroughgamelearningbehavior.Referingthedefaultablebondpricingdiversificationasanexample,thedissertationanalyzesinvestors'preferenceandbeliefinthefinancialinnovationpricingmechanism.Accordingtothenewdevelopmentinfinancialregulationmode,itgivesaquantitativeanalysisontheincentiveinflucenceofgovernmentregulationonfinancialinnovation.Firstly,thedissertationstudiestheinfluenceoftheinvestors’heterogeneityonmicro-motivityoffinancialintermediaryaboutfinancialinnovationandfurtheranalyzestheevolutionequilibriuminfinancialinnovation.Byintroducingthe“transportcost”tomeasureheterogeneityofinvestors,thedissertationprovesthattheprobabilitydistributionof“transportcost”willaffectthepricinggameequilibrium.Ifleadinginnovatorsbenefitfromthenewequilibriumcausedbyfinancialinnovationinthegame,theywillcontinueinnovating,sodothefollowinginnovators.Thereforethefinancialinnovationwillbekepton.Basedonevolutionarygametheory,itmakesastudyoftheconditionandruleoftheadoptionanddiffusioninfinancialinnovation,soitgetsthefinancialintermediaries’evolutionarystablestrategies,whichgivesapocalypseforgovernmentdecision-makingonfinancialinnovationprogramming.Itcomestotheconclusionthat:financialintermediaries’innovationmicro-motivitywillbestrengthenediftheredoesexistbeneficialequilibriumrouteintheevolutionarygameoffinancialinnovation.Theconclusionrevealsthatalteringtheinvestorcomposingproportionbydevelopinginstitutionalinvestorisconducivetoafinancialinnovationdevelopment.Secondly,thedissertationstudiesthefinancialintermediaries’gamelearingbehaviorandNashequilibriumingradualfinancialinnovation.Throughreviewingjumpandtime-dependentvolatilitiesininvestors’demandoninnovationsecurities,itrelaxestheVassumptionintheliteraturethatinvestors’demandsubmitstogeometricBrownmotion,whichcanfurtherapproximatestherealisticsituationofdomesticfinancialmarket.Itclassfiesthedomesticfinancialmarket’spatterncategoriesbydefininggamestructureinfinancialinnovation,includingstrategiesset,actionorderandpayoffs.Basedongamelearningtheory,itprovesthatthedominantstrategysatisfyingNashequilibriumcanbeobtainedbygamelearning.Itcomestotheconclusionthat:theestablishmentofmarketpatterninfinancialinnovationistheresultofgamestablestatesobtainedthroughgamelearningandstrategyadaptioninthegameamongfinancialintermediaries.Thirdly,takingthedefaultablebondasanexampleoffinancialinnovationproduct,thedissertationdiscussesthephenomenonoffinancialinnovationproductpricingdiversificationandstudiesthefinancialinnovationpricingmechanism.Byinspecting“hiddendifferences”indefaultablebondcontract,itlogicallyexplainesandquantitativelycharacterizestheinvestor’spreferencefordefaultablebond.Italsoproposesthedefinitionaboutimplementcostinfinancialinnovationandanalyzesitscausation.Basedonsocialchoicetheoryandgametheory,itdiscussestheinvestors’socialgoalsandimplementationinpricingmechanism.Itanalyzesthegameequilibriuminpricingmechanismwithinformationalasymmetriesbetweeninvestorsandfinancialintermediariesthroughasignallinggamemodel.Itcomestotheconclusionthat:financialintermediarycantransfertheimplementationcostasasignalofhisreputationtoinvestors,thedifferenceofreputationresultsinpricingdiversification.Finally,thedissertationstudiesthegovernmentincentivepolicyandregulationmodeaboutfinancialinnovation.Byanalyzingthestrategiesinthegamebetweenfinancialintermediaryandgovernment,itproposesadefinitionofefficientstimulationcosttodepictgovernment’sincentiveinfluenceonfinancialinnovation.Thedissertationalsoobtainstheequilibriumresultedbytheefficientincentivepolicy.Byconstructingbond-stockinterchangingcontractmodel,itcomparestheAnglo-AmericanregulationmodeandtheGermanregulationmode,sodoesthenewmode―secondorderregulation.Itcomestotheconclusionthat:thegovernmentandfinancialintermediarycanselectappropriatestrategiesinthefinancialinnovationtogainawin-winsituation,thewin-windegreeisrelevantwiththetypeoftheregulationmode.Attheendofthedissertation,itraisesissueswhichshouldbefurtherstudied.Keywords:Financialinnovation;Micro-motivity;Evolutionarygame;Gamelearning;Pricingmechanism;Regulation;EquilibriumI200865200865200865111.1(financialinnovatio