Prices and Trading Patterns in Markets with Asymmetrically Informed Traders

该奖项支持对代理人信息不对称的分散市场中价格形成和交易模式的初步研究。在有许多代理人和可以忽略的交易成本的市场中，经济学家倾向于忽略管理交易者互动的制度框架，而是应用瓦尔拉斯（竞争）均衡的概念来预测交易价格、交易和最终分配。这种方法已被证明在应用中是有用的，并在集中市场的实验室实验中产生准确的预测。尽管如此，虽然有许多市场的贸易是集中的（例如，股票和商品市场），但许多其他重要市场（例如，住房和劳动力市场）的特点是分散的贸易。在这个项目中，我们引入了一个模型，它是自然发生的分散市场的风格化表示。我们的模型以及此类市场的定义特征是：(i)寻找一个与之交易的合作伙伴是耗时的，因此成本高昂；（ii）价格由双边谈判决定；（iii）讨价还价的交易者会考虑他们返回市场并寻找新合作伙伴的机会；（iv）买家（卖家）的稀缺或丰富会影响卖家（买家）在寻找合作伙伴之前经历的延迟。我们还假设偏好是私有的，这增强了我们模型的描述现实性。与现有研究信息不对称条件下价格形成的文献不同，本文没有对交易者可能的议价立场施加限制。此外，我们还进行了去中心化交易的市场实验。这些实验构成了供需理论的“压力测试”，也就是说，在理论可能不会表现良好的情况下对理论进行测试，并提供数据，允许对我们的博弈论分析产生的价格和交易模式的丰富预测集进行测试。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（允许在一个会话中多次重复，从而使受试者有机会获得共同的期望）。这个实验设计非常灵活，可以方便地修改，引入不同的进入条件和信息条件，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），从而激发进一步的理论研究。

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.