Prices and Trading Patterns in Markets with Asymmetrically Informed Traders

该奖项支持对代理人具有不对称信息的分散市场中的价格形成和交易模式的初步研究。在代理人众多、交易成本可以忽略不计的市场中，经济学家倾向于忽略管理交易者互动的制度框架，转而应用瓦尔拉斯(竞争性)均衡的概念来生成对交易价格、交易和最终分配的预测。这种方法在应用中被证明是有用的，并在集中式市场的实验室实验中产生了准确的预测。尽管如此，虽然有许多市场的贸易是集中的(如股票和商品市场)，但许多其他重要市场(如住房和劳动力市场)的特点是分散贸易。在这个项目中，我们介绍了一个模型，它是自然发生的去中心化市场的风格化表示。我们的模型和此类市场的定义特征是：(I)寻找与之进行交易的合作伙伴是耗时的，因此成本高昂，(Ii)价格由双边讨价还价决定，(Iii)讨价还价的交易者考虑到他们重返市场寻找新合作伙伴的机会，以及(Iv)买家(卖家)的稀缺或丰富影响到卖家(买方)在寻找合作伙伴之前所经历的拖延。我们还假设偏好是私有的，这增强了我们模型的描述性现实主义。与现有的关于非对称信息下价格形成的文献不同，本文没有对交易者可能的讨价还价头寸进行限制。此外，我们还进行了分散交易的市场试验。这些实验构成了对供需理论的“压力测试”，即在可能不被预期表现良好的情况下对该理论的测试，并提供了数据，允许对我们的博弈论分析产生的丰富的价格和交易模式预测集进行测试。在我们的基本实验市场中，有一次进入，完整的信息，和相对较短的时间范围(允许在一次会议中多次重复，从而给受试者机会来有共同的期望)。这种实验设计足够灵活，可以方便地进行修改，以引入不同的进入和信息条件，以及不同的交易机构，使我们能够探索其他问题(效率、收敛等)。这可能会推动进一步的理论研究。

This award support preliminary research into price formation and patterns of trading in decentralized markets where agents have asymmetric information. In markets with many agents and negligible transaction costs economists tend to ignore the institutional framework governing traders interactions, and instead apply the notion of Walrasian (competitive) equilibrium to generate predictions of transaction prices, trades, and final allocations. This approach has proved to be useful in application, and yields accurate predictions in laboratory experiments for centralized markets. Nonetheless, while there are many markets where trade is centralized (e.g., stock and commodities markets), many other important markets (e.g., housing and labor markets) are characterized by decentralized trade. In this project we introduce a model which is a stylized representation of naturally-occurring decentralized markets. The defining features of our model, and of such markets, are that (i) finding a partner with whom to trade is time consuming and therefore costly, (ii) prices are determined by bilateral bargaining, (iii) when bargaining traders take account of their opportunity to return to the market and search for a new partner, and (iv) the scarcity or abundance of buyers (sellers) affects the delay a seller (buyer) experiences before finding a partner. We also assume preferences are private, which augments the descriptive realism of our model. In contrast to the existing literature concerned with price formation under asymmetric information, no restriction is imposed on traders' possible bargaining positions. In addition, we conduct market experiments in which trade is decentralized. These experiments constitute a `stress test` of supply and demand theory, i.e., a test of the theory in a situation where it might not be expected to perform well, and provide data which allow for a test of the rich set of predictions for prices and trading patterns generated by our game theoretic analysis. In our basic experimental market there is one time entry, complete information, and a relatively short time horizon (to allow for many repetitions in one session, thereby giving the subjects the opportunity to come to have common expectations). This experimental design is flexible enough that it can be conveniently modified to introduce different conditions on entry and information, as well as different trading institutions, enabling us to explore other issues (efficiency, convergence, etc.) which may motivate further theoretical research.