En matière financière, la clé de lecture du système juridique et du droit que constitue la théorie générale des sources n’apparaît pas totalement opérante. Les institutions classiquement identifiées par la présentation traditionnelle des sources du droit au sein des ordres juridiques national et de l’Union européenne – les institutions législatives, exécutives et le juge – ne constituent pas les seules entités participant à la conception de la norme financière. Dans cette configuration, la confrontation de la présentation classique du droit aux circuits de production de la norme financière se révèle nécessaire. La comparaison du schéma traditionnel des sources aux modes de production du droit financier révèle une singularité de la matière financière. Les auteurs de la norme financière semblent dans une certaine mesure se distancier des sources classiques du droit. Des auteurs originaux oeuvrent, aux côtés des sources classiques, à la conception du droit financier. Il en va ainsi des régulateurs national et européen, des gestionnaires d’infrastructures de marché ou des associations professionnelles. Le recours à ces entités se justifie par leur aptitude à répondre plus efficacement aux caractéristiques attachées aux marchés financiers, institutions se trouvant au cœur du droit financier. Ces auteurs interagissent avec les sources classiques du droit, ce qui confère aux circuits de production de la norme financière une singularité par rapport à la présentation classique des sources. Le droit financier révèle ainsi un processus d’adaptation de la création du droit aux caractéristiques de l’objet qu’il réglemente. Mise en perspective avec la théorie des sources, cette singularité démontre un besoin d’aménagement de la présentation classique et ouvre des champs de réflexion quant à la refonte de la théorie générale des sources. / In financial matters, the general theory of the sources, which is the key understanding of the law and the legal system, does not appear to be fully operative. The institutions usually identified by the classical presentation of the sources of the law within the national legal systems and the European Union - legislative, executive and judicial institutions - are not the only entities involved in the establishment of the financial legislation. In this configuration, it is necessary to confront the classical presentation of the law with the production circuits of the financial legislation. The comparison between the traditional scheme of the sources with the modes of production of the financial legislation reveals the singularity of the financial legislation. The authors of financial legislation seem to distant themselves to some extent from classical sources of law. Original authors work along with classical sources on the conception of the financial law. This includes national and European regulators, market infrastructure managers and professional associations. The intervention of such entities is justified by their ability to respond more effectively to the characteristics of the financial markets. The interaction between these original authors and the classical sources of law makes the production circuits of the financial legislation quite singular compared to the classical presentation of the sources. Thus, financial law reveals an adaptation process of the creation of the law in order to take account of the characteristics of the object it regulates. This singularity demonstrates the need for arranging the classical presentation of the theory of the sources and brings new considerations on the recasting of the general theory of the sources.

京都大学 / 0048 / 新制・課程博士 / 博士(情報学) / 甲第19108号 / 情博第554号 / 新制||情||98(附属図書館) / 32059 / 京都大学大学院情報学研究科知能情報学専攻 / (主査)教授 阿久津 達也, 教授 西田 豊明, 教授 山本 章博 / 学位規則第4条第1項該当 / Doctor of Informatics / Kyoto University / DFAM

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This thesis describes a method of modeling financial markets by utilizing concepts from mechanical vibration. The models developed represent multi-degree of freedom, mass-spring systems. The economic principles that drive the design are supply and demand, which act as springs, and shareholders, which act as masses. The primary assumption of this research is that events cannot be predicted but the responses to those events can be. In other words, economic stimuli create responses to a stock’s price that is predictable, repeatable and scientific. The approach to determining the behavior of various financial markets encompassed techniques such as Fast Fourier Transform and discretized wavelet analysis. The researched developed in three stages; first an appropriate model of causation in the stock market was established. Second, a model of steady state properties was determined. Third, experiments were conducted to determine the most effective model and to test its predictive capabilities on ten stocks. The experiments were evaluated based on the model’s hypothetical return on investment. The results showed a positive gain on capital for nine out of the ten stocks and supported the claim that stocks behave in accordance to the natural laws of vibration. As scientific approaches to modeling the stock market are beginning to develop, engineering principles are proving to be the most relevant and reliable means of financial market prediction.

The purpose of this study is to investigate how scenario analysis can be used to strategically prepare for the future during uncertain times. The purpose is also to identify uncertainties and trends that could shape the future European financial markets and to develop projections of alternative futures on which a stock exchange could base their strategic decisions. A literature review was conducted which provides insights and tools in order to perform a scenario analysis. This study then investigates how scenario analysis can be applied to European financial markets with a time horizon of 10 years, from the perspective of the case company Nasdaq. The investigation is conducted as an instrumental case study where 12 respondents within Europe’s financial markets have been interviewed. Five of the respondents are case company employees and seven of the respondents are external that cover a wide range of specialties within financial markets. The results show that there are eight key drivers that were considered important and uncertain for the development of European financial markets by year 2030. Four interpretations of these drivers that the case company considered the most interesting were combined into six scenario matrices which resulted in 24 unique scenarios. Three of these were described in detail where future business environments were evaluated through the use of the theoretical framework Porter’s five forces. The scenarios presented in this study are: • Scenario 1: Further globalization and increased competition from alternative marketplaces. • Scenario 2: There has been a further consolidation of stock exchanges and exchanges have remained the dominant marketplace for financial products. • Scenario 3: Brexit will have a major impact on financial markets and more regional economies. The scenarios show how some of the identified drivers could shape the future business environment. These projections of alternative futures can be used by a stock exchange in their strategic decision making and enables the multi-level strategic conversation within the organization to develop and continue. Such a conversation helps establish a shared mental model of the external environment and the organization itself. Since the business environment is ever changing, the aim is to continuously use scenario analysis to evaluate and improve strategic discussions. It also allows organizations to learn and change from its own experiences to identify new opportunities. And since there can be no learning without action, the ultimate aim of scenario analysis is to make an impact on strategic decisions by taking reflection-based action. / Syftet med denna studie är att undersöka hur scenarioanalys kan tillämpas för att på ett strategiskt sätt förbereda sig på en möjligen osäker framtid. Syftet är också att identifiera osäkerheter och trender som skulle kunna forma finansiella marknader i Europa och utifrån dessa, utveckla projektioner av alternativa framtider som en börs kan använda sig av för att basera strategiska beslut på. En litteraturstudie genomfördes vilket gav insikter och verktyg för utförandet av en scenario analys. Denna studie undersökte sedan hur scenario analys kan appliceras på de europeiska finansiella marknaderna från ett börs-perspektiv med en tidshorisont på 10 år. Undersökningen genomfördes genom en instrumental fallstudie där 12 respondenter inom Europas finansiella marknader intervjuades. Fem av respondenterna var från fallföretaget och sju respondenter var externa som tillsammans täcker ett brett spektrum av specialistkunskaper inom finansiella marknader. Resultatet av studien visar att det finns åtta nyckelfaktorer som ansågs vara både viktiga och osäkra för utvecklingen av Europas finansiella marknader till år 2030. Fyra tolkningar av dessa faktorer som fallföretaget ansåg vara de mest intressanta kombinerades och bildade sex scenariomatriser som resulterade i 24 unika scenarion. Tre av dessa är beskrivna i detalj där det framtida affärsmiljöerna är utvärderade utifrån det teoretiska ramverket Porter’s five forces. De scenarion som presenteras i studien är: • Scenario 1: Ökad konkurrens från alternativa marknadsplatser och fortsatt globalisering. • Scenario 2: Börser är fortsatt den dominanta marknadsplatsen för finansiella produkter och det har varit en fortsatt konsolidering av börser. • Scenario 3: Mer regionala ekonomier och Brexit har haft en stor påverkan på finansiella marknader. Scenariona visar hur några av de identifierade nyckelfaktorerna kan komma att forma den framtida affärsmiljön. Dessa projektioner av alternativa framtider kan fungera som underlag för börser i strategiskt beslutsfattande och de möjliggör den strategiska konversationen inom organisationen att utvecklas och fortsätta. Sådan typ av konversation hjälper till att skapa en delad mental modell av den externa miljön och organisationen i sig. Eftersom affärsmiljön är i ständig förändring är målet att kontinuerligt använda scenarioanalys för att utvärdera och förbättra strategiska beslut. Det tillåter också organisationer att lära sig och genomföra förändringar baserat på egna erfarenheter för att identifiera nya möjligheter. Eftersom det inte kan finnas något lärande utan åtgärder, är det ultimata målet med scenarioanalys att påverka strategiska beslut genom att vidta reflektionsbaserade åtgärder.

In this dissertation, I study three economic issues in the field of entrepreneurship and a fourth that looks at the network structure of financial markets. Chapter 1, titled "Patenting and Nascent Firm Performance", examines how patents interact with nascent firm outcomes. The primary motivation follows a puzzle present in the data and discussed in the literature. Patents are prized possessions for business owners but the value that they confer is dubious. In this sample, patenting firms have no better survival rates and have significantly worse profit outcomes. A Oaxaca decomposition demonstrates the reason for this lies with patents' attraction of equity financing. The burden of the equity relationship proves to be a strain on the young firms. Chapter 2, titled "Signal vs Appropriation Value in Patenting" provides insight into the causal connection between patents and equity financing. This chapter also weighs in on the source of the equity firms' attraction to patents. Controlling for unobservable influences via fixed effects regression, the value measured by the coefficient on patent, demonstrates the appropriative value of the patent, rather than the signal value. Further examination reveals that equity firms are very sensitive to the legal status of the firm, eschewing general partnerships. Chapter 3, titled "Peer Effects in Entrepreneurship", studies gender differences in firm financing as a function of response to peers. This research borrows from the social interaction modeling pioneered by Charles Manski by adopting methods to include peer variables. The main finding is that males are positively and significantly affected by peer financing levels but females are not. This result is robust to industry, experience, credit risk, and other financing sources. Chapter 4, "Network Analysis of the S\&P 500", examines the financial market as a network. The literature takes two approaches to performing this analysis but no study has compared the two approaches. This chapter is the first study to compare them and provide insight as to which provides the more descriptive model. The threshold correlation approach provides much more useful results for any kind of analysis involving market connectedness and shock transition dynamics. / Economics

I examine two potential instances of rent-seeking in financial markets in the 1980s. In the first essay I test whether managers engage in political activity designed to influence federal regulation of the market for corporate control. In the second, I examine whether firms in the financial services sector attempt to affect bank deregulation. Using Federal Election Commission data, I find campaign contributions by corporate political action committees (PACs) are negatively related to levels of inside ownership, my main proxy for managerial vulnerability to hostile tender offers. Contribution patterns for firms with less than 20% insider ownership are relatively highly correlated, and differ from those of firms with greater than 20% inside ownership. Low inside ownership firms have slightly higher levels of contributions to legislators on particular House and Senate committees proposing relevant legislation. However, when I analyze the impact of contributions on legislator support for regulation I find no statistical support for a theory of vote-buying. I conclude that corporate political behavior is tied to levels of inside ownership, and comprises an alternate index of manager-shareholder conflict. Using a similar approach to analyse the financial services industry, I also find significant patterns in political action committee (PAC) campaign contributions for depository (commercial bank and thrift) and non-depository (brokerage and insurance) sectors of the financial services industry during the 98th Congress (1983-84). Contributions by depository firm PACs appear not only to purchase access to legislators serving on important banking committees crucial to their interests, but are also a significant determinant of votes for repealing sections of the Glass-Steagall Act. Nondepository contributions do not appear to influence votes directly, even though the brokerage and insurance sectors effectively lobbied House Banking Committee chairman Fernand St Germain to enforce the regulatory status quo. When I measure the rents at stake in the legislation using a two-factor market model event study approach, I find that the passage of legislation in the Senate had a positive affect on depository firm returns, implying the sector's lobbying effort was justified. However non-depository PACs lobbied just as extensively, and did not experience significant abnormal returns over the same event period, even though this round of deregulation should have been a zero-sum game between the affected sectors of the industry. I then measure the correlation between the market value impacts of new legislation and contribution amounts for individual firms within the sectors. I find rents are correlated with political activity, even for firms in the non-depository sectors. / Ph. D.

Yes / This paper undertakes a comparison between five multifactor variants of the capital asset pricing model. These include additional factors based on size, book to market value, momentum, liquidity and a new investor protection metric based on the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 909 blue chip firms from 18 Middle East & North African equity markets for 16 years, we show that a two factor CAPM augmented with a factor mimicking portfolio based on the investor protection metric yields the highest explanatory power. Analysis of Kalman filter time varying investor protection betas reveals investor protection premiums in Egypt, Iraq, Lebanon and Tunisia and corresponding discounts in Israel, Saudi Arabia, Kuwait, Oman, Dubai and Abu Dhabi.

The common theme throughout the thesis is to explore the possibility of using a single framework, namely the systems theory framework, in modeling a few stylized features of a financial market. A systems theoretic model is developed, in this thesis in Chapter 3, for confidence bias of an individual. The effect of this bias on his investment decision is brought out explicitly. The phenomenon of excessive trading, arising due to overconfidence and optimism, has been explained. The concept of virtual capital, incorporating the ideas from prospect theory, is introduced. We have proposed a dynamical system framework to model limits to arbitrage and the herding behavior in financial markets in Chapter 4. The market evolves due to the participation of traders. It is instructive to look at the market as a system evolving from a set of initial conditions during every time interval. In the proposed model, herding is defined as a specific relation between the system responses. The proposed herding measure quantifies how far the individual is from clustering with others. It is also shown how this interpretation helps us to understand the effects of herding. There exists a risk when the market price variation, due to herding, is thought of as entirely due to the portfolio fundamentals. The generic dynamical system model that captures some aspects of the limits of arbitrage is also proposed wherein fundamental risk, noise trader risk, implementation risk, and model risk can be incorporated. The proposed model offers a single framework to study the Marginally Efficient Market and Synchronization Risk models. In Chapter 5, we have proposed a switching dynamical system with minority game rules incorporated within the framework. We have explored the possibility of developing a market model, in Chapter 6, in the same framework that has been used to develop models for arbitrage and herding. We have explored, in this thesis, the possibility of using a single framework to model stylized features of stock market. It will be a long way before a single model can capture all complex characteristic features of a stock market. We have attempted, in this thesis, to capture a few stylized features in a single framework, if not in a single model. Different models proposed for individual confidence bias, limits to arbitrage, herding, and switching model for incorporating minority games are all set up in system dynamics framework. This leads to a stage where one can explore incorporating other features, not addressed in this thesis, in system dynamics framework. If each feature is captured using a different framework like confidence bias as stochastic system, herding as pattern cluster, limits to arbitrage as rule-based agents, etc., it would be difficult to integrate them into a single framework. But, in the present work, we have captured the chosen stylized features using system dynamics framework though individual models differ from each other substantially. The challenges are many in creating a single framework. The vision of such framework may involve different components such as modeling decision making, considering risk profiles, devising investment strategies, etc. Stylized features would come as emergent properties of complex interactions among the components of the system. Emergence refers to the way in which multiplicity of simple interactions lead to complex behavior. Emergence of such features may include different time scales of causal relationships among components. System may have thresholds, determined by diversity of traders and nature of interactions, which is vital for features to become emergent. This can be seen in practice. Stock market regulates the relative prices of companies across the world. There is no single central agency to control the workings of the market. Traders have knowledge of only few companies within their portfolio, and to follow transaction rules. Trends and patterns are still emerging which are studied by technical analysts. Emergent properties are mostly signature of self-organizing complex system. Self-organization in complex system relies on four properties which are fundamental in system dynamics framework: positive feedback, negative feedback, multiple interactions, and balance among strategies. A complex adaptive stock market system which is self-organizing and exhibit stylized features as emergent property is a distant goal of system theorists around the world. The challenge does not end there. We have attempted to model and study the stylized features of a stock market in systems theory framework. The focus of our approach is to use the dynamical system modeling to study the features. We have not considered the investment aspects in a financial market. The investment models are very important in real life for individuals and policy-makers. Future extension of the ideas explored in this thesis could be along the lines of creating investment models for individuals and policy-makers. Creating such models using complex adaptive stock market system goes a long way in understanding a phenomenon that had started by Dutch East India Company issuing shares on Amsterdam Stock Exchange way back in 1602.

This diploma work describes the financial and economical crisis that has emerged in the USA during the year 2007. In the work the preceding recessions and the flow of the current crisis are being analyzed. Attention is also given to a detailed study of the pre-crisis period in the USA economics and the identification of the root causes of the crisis and their interrelationship. The final part of the work is dedicated to the examination of the crisis consequences and the possible ways of its progress