Evolutive Economic Dynamics

演化的经济动态

• 批准号: 9422670
• 负责人: William Brock
• 金额: $ 33.99万
• 依托单位: University of Wisconsin-Madison
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1995
• 资助国家: 美国
• 起止时间: 1995-07-01 至 2001-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9422670&HistoricalAwards=false
• 关键词: Evolutive; Economic; Dynamics

SBR-9422670 William Brock In real-world economic markets, traders base their actions on their predictions about the future. The choice of predictor, furthermore, is purposeful. That is, it is based on how ell the predictor has performed in the past. Predictors that do well relative to other predictors are gradually adopted. But their increased popularity reduces their predictive power. It follows that the distribution of predictors is determined by a complex dynamical system that can be expected to behave chaotically. In the first part of this multi-project study, the P.I. studies this dynamical system both analytically and through numerical simulation. The second project examines the equilibrium production of information in speculative markets. Information here means the ability to detect noisy signals and equilibrium means a rational expectations equilibrium. Superior information translates into higher profits but this information is costly to acquire. The P.I. applies the methods of the first project on adaptive dynamics to the study of the evolution of this market to an equilibrium. The resulting model predicts many stylized facts about actual speculative markets, such as those for stocks.

SBR-9422670 William Brock 在现实世界的经济市场中，交易者的行为基于他们对未来的预测。 此外，预测因素的选择是有目的的。 也就是说，它是基于预测器在过去的表现如何。 相对于其他预测器表现良好的预测器被逐渐采用。 但它们越来越受欢迎，降低了它们的预测能力。 由此可见，预测因子的分布是由一个复杂的动力系统决定的，这个动力系统可能会表现出混沌。 在这项多项目研究的第一部分，P.I.研究这个动力系统分析和通过数值模拟。 第二个项目研究投机市场中信息的均衡生产。 信息在这里意味着检测噪声信号的能力，均衡意味着理性预期均衡。 上级信息可以转化为更高的利润，但获取这些信息的成本很高。私家侦探将第一个项目的方法应用于自适应动力学，以研究这个市场向均衡的演变。由此产生的模型预测了许多关于实际投机市场的程式化事实，例如股票市场。