Market Selection in Complete and Incomplete Markets

完全市场和不完全市场的市场选择

• 批准号: 0136307
• 负责人: David Easley
• 金额: --
• 依托单位: Cornell University
• 依托单位国家: 美国
• 项目类别: Continuing grant
• 财政年份: 2002
• 资助国家: 美国
• 起止时间: 2002-07-01 至 2006-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0136307&HistoricalAwards=false
• 关键词: Market; Selection; Complete; Incomplete; Markets

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.

市场将具有广泛不同信念和动机的交易者聚集在一起，以进行交换。 经济传统主张市场选择假说，即市场对交易者进行分类。 那些最直接关心利润并对未来做出最准确预测的交易者将主导市场。 该假设用于证明有关市场的各种建模假设的合理性，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。然而，它从未被仔细检查过。该项目有两个目标：研究市场选择假设的有效性，以及更广泛的研究交易者异质性对市场行为的影响。 市场选择假设的有效性取决于市场结构。 如果市场结构允许实现贸易的所有潜在收益，那么市场选择假设将是有效的。 如果没有，市场将以我们希望发现的其他方式对交易者进行分类。 当交易者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，问题是市场如何根据学习规则进行排序。 尽管一般均衡分析不需要相似的交易者，但宏观经济学和金融领域的建模实践却避开了交易者的异质性。 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截然不同（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大门，因为市场选择假设并不总是正确的，即使它成立，它也只对长期市场行为产生影响。虽然可以假设存在具有任意行为模式的交易者，但市场对这些交易者进行分类，并且从长远来看，实际上只有少数行为会决定市场价格。