A Coopetitive Approach to Financial Markets Stabilization and Risk Management

Abstract

The aim of this paper is to propose a methodology to stabilize the financial markets by adopting Game Theory, and in particular the Complete Study of a Differentiable Game and the new mathematical model of Coopetitive Game, proposed recently in the literature by D. Carfì. Specifically, we will focus on two economic operators: a real economic subject and a financial institute (a bank, for example) with a big economic availability. At this purpose, we examine an interaction between the above economic subjects: the Enterprise, our first player, and the Financial Institute, our second player. The unique solution which allows both players to win something, and therefore the only one collectively desirable, is represented by an agreement between the two subjects. So the Enterprise artificially causes an inconsistency between spot and future markets, and the Financial Institute takes the opportunity to win the maximum possible collective (social) sum, which later will be divided with the Enterprise by contract. In fact, the Financial Institute is unable to make arbitrages alone because of the introduction, by the normative authority, of an economic transactions tax (that we propose to stabilize the financial market, in order to protect it from speculations). We propose hereunder two kinds of agreement: a fair transferable utility agreement on the initial interaction and a same type of compromise in a coopetitive context.