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Dr. Leanne J. Ussher
Assistant Professor, Economics
Queens College, City University of New York
My economic interests focus on price formation, the actions of financial market participants, and the institutional and regulatory trading environment of financial and commodity markets. Academics, traders, market architects and regulators are all interested in how the institutional setting, such as the trading mechanism and the rules for trading, might affect prices and liquidity. A market's design can also determine how information is dessiminated or how markets may be manipulated. My research addresses the optimality of market design a both a micro and macro sense. Designing a market that promotes stable, orderly, efficient and accessible trading serves not only those who use it, but the economy as a whole.
The methodological approach of my research is founded both within micro and macro analysis. Agent based models allows me to create a market of heterogeneous agents, where each individual agent has rules for behavior. Through simulation, this artificial financial market can be studied and stress tested. Such a market can account for interaction among traders along with the the institutional and regulatory framework within which trade takes place. By allowing for self-organization and adaptation I can generate a dynamical system that has emergent macro properties which may provide insights into various complexities of the real world.
Research Fields
Finance
Finance, as an economic field, has the greatest formalization of descriptive trading (mathematically or otherwise) and it is also highly regulated and monitored. Hence the study of a financial market offers a rich ground for investigating market institutions and trading dynamics. Broadly, I wish to consider both micro and macro policies that contribute to a country's financial stability and economic growth. Early on in my career I worked as a securities analyst of derivatives at the Reserve Bank of Australia. This experience still directs my current research which looks at how margin requirements and transaction taxes affect price volatility and the distribution of trader wealth in a non-storable commodity futures market.
Market Micro-Structure
Typically, models of financial markets or other economic markets are quite specific in characterizing individual choice, but they will ignore market structure. My research trys to incorporate market structure into the trading process, while simplifying the trader choice: agents may have zero intelligence, bounded rationality, or super rationality. Regardless of the intelligence of individual agents, external market structures may have a universal or dominating role on the outcome of prices and distribution of the commodity in question.
Aggregation and Agent Based Modeling
There are a number of methods that economists have developed to aggregate transactions and solve for the market equilibrium. Many begin with non-interactive methods such as a Walrasian auctioneer, sum of the parts, or representative agent models. My own interest is in the use of agent based models to dynamically solve for the path to equilibrium or disequilibrium. This sort of methodological individualism is based on agents using simple rules that may create complex aggregate results. I believe that methodological individualism can be supplemented with a top down study from a macroeconomic perspective, primarily through the breakdown of society into either actions (consumption, saving, investment) or classes of income (workers and capitalist). In my agent based models of financial markets I have subdivided my agents into categories for regulators, speculators, hedgers, market makers, and arbitrageurs, which represent a single market.
Macroceconomics and Institutions
With a particular interest in the functions of the central bank, I have also looked into the impact government deficits have on the economy, the role of monetary and fiscal policy, financial stability, and international financial stability. While money is of primary interest, commodities have also played an important role in the assets of an economy. Developing countries and most prone to commodity price fluctuations, and it is interesting that various economists have linked the North South growth dynamics with the supply and demand for commodities.
History of Economic Thought
Pedagogically, economics is best taught when students are given various answers to the same question, which forces them to use critical thinking. By teaching economics from the perspective of different schools of thought and explaining the politics within the discipline the teacher invites controversy and gives students an appreciation of the complexities of economics. In general, research benefits when one attempts to contribute new knowledge and stand on the sholders of our predessors rather than repeat old mistakes.
