Market Selection in Complete and Incomplete Markets

为了交易的目的，市场将有着广泛不同信仰和动机的交易者聚集在一起。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和最准确预测未来的交易员将主宰市场。这一假设被用来证明各种关于市场的建模假设，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，它从未被仔细研究过。本项目有两个目标：研究市场选择假设的有效性，更一般地说，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。如果市场结构允许交易的所有潜在收益得以实现，则市场选择假说成立。否则，市场将以我们希望发现的其他方式对交易者进行分类。当交易者有错误的信念但正在学习时，市场选择就变成了一个更微妙的问题。在这种情况下，问题是市场如何对学习规则进行排序。虽然一般均衡分析不需要相似的交易者，但宏观经济学和金融学的建模实践避免了交易者的异质性。我们将展示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（也更现实）的市场行为。我们的工作为市场行为分析打开了一扇门，因为市场选择假设并不总是正确的，即使它成立，它也只对长期市场行为有影响。虽然可以假设存在具有任意行为模式的交易者，但市场会对这些交易者进行分类，并且只有少数行为会在长期内决定市场价格。

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.