Collaborative Research: Perfect Rational Markets, Imperfectly Rational Traders: Theory and Experiment

一般均衡理论是我们理解复杂经济体如何管理风险的基础。它是用于作出投资决定和指导政策的工具的基础，适用于各种受管制的行业（公用事业、电信等）。和养老基金。尽管这种应用广泛，但对这种应用的科学支持却参差不齐。这里提出的研究旨在建立和测试一个更强大的一般均衡理论的实施。我们的工作以一种基本的方式将理论、实验和计量经济学结合起来：实验表明理论应该具有的形式，理论表明应该进行哪些进一步的实验，实验提供对最终理论的检验;计量经济学以正式的方式将理论和实验联系起来。我们已经开发并成功地进行了实验室实验，在市场背景下测试一般均衡理论的原理，风险指导我们推断的模型是资本资产定价模型（CAPM）。实验证实了理论预测的复杂的定价关系。由于我们使用的测量工具与分析该领域的历史数据时相同，我们的研究结果表明，围绕历史证据的争议不一定要归因于理论基本原则的失败，而是要归因于添加到模型中的辅助假设，以使它们可以在实地数据上进行检验。尽管如此，我们拒绝接受同一理论的投资组合（分配）含义。后一个发现特别令人困惑，因为解释和支持价格的传统理论明确地依赖于配置预测，而我们的理论解释了这个难题。它扰乱了传统的一般均衡模型，使其更好地适应在远离市场的情况下孤立观察的个人行为类型。我们提供了一个统一的方法来研究这种扰动的影响。例如，我们表明，随机扰动在大型经济体中并不总是会被淘汰;在信息聚合的情况下，它们会导致明显的偏差。初步实验证实了我们的预测。我们计划在这些初步成功的基础上，进一步了解竞争市场中的定价和风险分配。此外，该理论还提出了一些实验，这些实验将揭示扰动的起源，而这些扰动是使一般均衡模型解释数据所必需的。其中之一将决定风险是否像任何其他商品一样，并且为了理解市场行为，不需要引用任何特殊的原则，这是现存理论的基本前提。对风险的实际态度和信念可能与这一观点不一致。除了其科学和政策含义外，这一建议还具有重要的教育成分。我们的实验是基于网络的，涉及来自全国十几所本科生，研究生和专业学校的许多科目。这些实验为受试者提供了独特的教育体验。我们的实验表明，要取得成果，必须接触到如此大量的不同背景的受试者，理论解释了原因。与此同时，由于各种地理和社会经济原因，它为那些没有机会接触复杂金融市场的学生提供了机会。这是一项合作提案，参与者包括彼得·博萨金特（Peter Bossainte）和查尔斯·普洛特（Charles Plott）（均来自加州理工学院）以及威廉·扎姆（William Zame）（来自加州大学洛杉矶分校）。

General equilibrium theory underlies our understanding of how complex economies manage risk. It is the basis of the tools used to make investment decisions and to guide policy in applications as diverse as regulated industries (utilities, telecommunications, etc.) and pension funds. In spite of this widespread use, scientific support for such applications has been mixed. The research proposed here seeks to build and test a more robust implementation of general equilibrium theory. Our work integrates theory, experiment, and econometrics in an essential way: experiments suggest the shape the theory should have, the theory suggests which further experiments should be carried out, experiments provide tests of the final theory; econometrics links theory and experiment in a formal way.We have developed and succesfully conducted laboratory experiments that test the principles of general equilibrium theory in the context of markets with risk. The model that guided our inference is the Capital Asset Pricing Model (CAPM). The experiments confirm the complex pricing relationships predicted by the theory. Since we used the same measurement tools as in the analysis of historical data in the field, our findings suggest that the controversy surrounding historical evidence need not be attributed to a failure of the basic principles of the theory, but to the auxiliary assumptions added to the models to make them testable on field data. Still, we reject the portfolio (allocation) implications of the same theory. The latter finding is particularly perplexing because the traditional theory that explains and supports the prices rests explicitly on the allocational predictions.Our theory explains the puzzle. It perturbs traditional general equilibrium models in ways that better accomodate the types of behavior of individuals when observed in isolation, away from markets. We provide a unified approach to study the effects of such perturbations. We show, for instance, that random perturbations need not always wash out in large economies; in the case of information aggregation, they cause clearcut biases. Preliminary experiments confirm our predictions. We plan to build on these initial successes, to further our understanding of pricing and allocation of risk in competitive markets. In addition, the theory suggests experiments that will uncover the origin of the perturbations that are needed to make general equilibrium models explain the data. One of these will determine whether risk is like any other commodity and that no special principles must be invoked in order to understand market behavior, a fundamental premise of extant theory. Actual attitudes towards and beliefs about risk may be at odds with this view.In addition to its scientific and policy implications, this proposal also has an important educational component. Our experiments are web-based and have involved many subjects from more than a dozen undergraduate, graduate, and professional schools across the country. These experiments provide the subjects with a unique educational experience. Our experiments have shown that access to such a large pool of subjects with diverse backgrounds is necessary to achieve results, and the theory explains why. At the same time, it provides exposure to complex financial markets to students who would otherwise not be given the opportunity, for various geographical and socio-economic reasons.This is a collaborative proposal involving Peter Bossaerts and Charles Plott (both of Caltech) and William Zame (of UCLA).