Toward a Strategic Foundation for Rational Expectations Equilibrium

本研究旨在了解大型市场（即由许多买方和许多卖方组成的市场）是否可以有效地汇总市场中每个个体拥有的不同信息。人们常说价格“传递”信息。这究竟是如何实现的呢？在什么条件下实现？股票市场是一个典型的例子，其中信息起着至关重要的作用。当所有人都能免费获得信息时，市场就能有效运作。但实际上，每个投资者都拥有少量信息，这些信息本身可能无法传达有关股票的价值。然而，如果所有交易者拥有的信息能够以某种方式汇集在一起，它就能更好地预测股票的价值。我们试图了解市场价格本身是否能够传达个体交易者所拥有的信息。当这种情况发生时，市场达到了高水平的效率。当这种情况没有发生时，人们可以开始探索市场设计可能对失败负责的方式。然后可能需要采取纠正措施。

This research seeks to understand whether large markets (i.e., markets consisting of many buyers and many sellers) can effectively aggregate the disparate pieces of information that each individual acting in the market possesses. It is often said that prices "convey" information. How, exactly, is this achieved? Under what conditions is it achieved? Stock markets are a prime example of markets in which information plays a crucial role. When information is freely available to all, it is well understood that markets operate efficiently. But in reality each investor possesses a small amount of information, which, on its own, might convey little about the value of the stock in question. However, if the information possessed by all traders could somehow be pooled, it would serve as a much better forecaster of the value of the stock. We seek to understand whether market prices alone are capable of conveying the information possessed by individual traders. When this occurs, the market achieves a high level of efficiency. When this fails to occur, one can begin to explore ways in which the market's design might be responsible for the failure. Corrective measures might then be called for.