Market Selection in Complete and Incomplete Markets

市场将信仰和动机大相径庭的交易员聚集在一起，以进行交易。经济学传统主张市场选择假说，即市场对交易员进行分类。那些最直接关心利润和对未来最准确预测的交易员将主导市场。这一假设被用来证明关于市场的各种建模假设是合理的，包括宏观经济模型中的理性预期和金融中的信息有效市场。这个项目有两个目标：研究市场选择假说的有效性，更广泛地说，研究交易者异质性对市场行为的影响。市场选择假说的有效性取决于市场结构。如果市场结构允许从交易中实现所有潜在收益，市场选择假说将是有效的。如果不是，市场将以我们希望发现的其他方式对交易员进行分类。当交易员有不正确的信念但正在学习时，市场选择就变得更加微妙。在这种情况下，问题是市场如何对各种学习规则进行排序。尽管一般均衡分析不需要类似的交易员，但宏观经济学和金融学的建模实践避开了交易员的异质性。我们将展示具有不同交易者的市场模型如何表现出与现在流行的市场模型非常不同(且更现实)的市场行为。我们的工作为市场行为分析打开了一扇门，因为市场选择假说并不总是正确的，即使它成立，也只对长期市场行为有影响。虽然可以假设交易者的存在具有任意的行为模式，但市场在这些交易者之间进行排序，实际上，从长远来看，只有少数行为将决定市场价格。

Markets bring together traders with widely divergent beliefs and motivations for the purpose of exchange. Economic tradition asserts the market selection hypothesis, that the market sorts traders. Those traders most directly concerned with profits and with the most accurate forecasts of the future will come to dominate the market. This hypothesis is used to justify a variety of modeling assumptions about markets, including rational expectations in macroeconomic models and informationally efficient markets in finance. However, it has never been carefully examined.This project has two goals: To study the validity of the market selection hypothesis and, more generally, the implications of trader heterogeneity for market behavior. The validity of the market selection hypothesis depends upon market structure. If market structure allows all potential gains from trade to be realized, the market selection hypothesis will be valid. If not, markets will sort traders in other ways which we hope to uncover. Market selection becomes a more delicate issue when traders have incorrect beliefs but are learning. In this case the question is how the market sorts across learning rules. Although general equilibrium analysis does not require similar traders, modeling practice in macroeconomics and finance eschews trader heterogeneity. We will show how market models with diverse traders exhibit very different (and more realistic) market behavior from the market models now in vogue. Our work opens a door for behavioral analysis in markets because the market selection hypothesis is not always correct, and even when it holds it has implications only for long-run market behavior. While it is possible to postulate the existence of traders with arbitrary behavior patterns, the market sorts among these traders and only a few behaviors will in fact determine market prices in the long run.