NECSI Research on Market Stability
The financial crisis raises questions about the role science can play in the analysis of policy. The rapid decline in market value of individual corporations and the stock market as a whole in 2008 has been variously blamed on mortgage policies, or selling of borrowed securities (short selling) that amplified the impact of mortgage-backed securities. Here we analyze the "uptick rule" repeal — a rule that was implemented in 1938 and repealed in July 2007 — and find its impact is significant, consistent with a direct causal role in the crash of 2008.
Uptick rule:
Press Release on the Uptick Rule, November 18, 2008.
Op-Ed in The Wall Street Journal:
R. C. Pozen and Y. Bar-Yam, "There's a Better Way to Prevent 'Bear Raids,'" The Wall Street Journal, November 18, 2008.
CNBC Interview:
Interview with Robert C. Pozen, CNBC News, November 19, 2008.
Technical Reports:
Y. Bar-Yam, D. Harmon, V. Misra, and J. Orenstein, Regulation of Short Selling: The Uptick Rule and Market Stability. Report presented at the Securities and Exchange Commission, February 22, 2010
D. Harmon and Y. Bar-Yam, Technical Report on SEC Uptick Rule Proposals, April 2009.
D. Harmon and Y. Bar-Yam, Technical Report on the SEC Uptick Repeal Pilot, November 18, 2008.
Economic Roundtable
Y. Bar-Yam, A Regulatory System for the Financial Sector of Complex Systems Science, Remarks Prepared for Congressman Capuano's Roundable, March 16, 2009. Congressman Capuano's Response.
Washington Post Article:
S. Vedantam, "The Computer as a Road Map to Unknowable Territory," February 16, 2009. News Item and full article.
Framing Notes:
Y. Bar-Yam, Market Failure: Interdependence in Action, October 3, 2008. Press Release
Y. Bar-Yam, Market Instability and the Uptick Rule, October 17, 2008. Press Release
Press Release: SEC Targets DOW at 500, February 24, 2010.
Y. Bar-Yam and D. Harmon Flash Crash: NECSI responds to the SEC market circuit breaker rules May 18, 2010.
Other topics:
D. Braha, B. Stacey, Y. Bar-Yam. Corporate Competition: A Self-Organizing Network. NECSI Technical Report 10-3-01.