Toward a Strategic Foundation for Rational Expectations Equilibrium

走向理性预期均衡的战略基础

• 批准号: 0214421
• 负责人: Philip Reny
• 金额: $ 10.48万
• 依托单位: University of Chicago
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2003
• 资助国家: 美国
• 起止时间: 2003-02-01 至 2007-01-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0214421&HistoricalAwards=false
• 关键词: Toward; Strategic; Foundation; Rational; Expectations

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.

这项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）可以有效地聚集在市场中行动的每个人所拥有的不同信息。人们常说价格“传递”信息。这究竟是如何实现的？它是在什么条件下实现的？股票市场是信息发挥关键作用的市场的一个典型例子。当所有人都能自由获得信息时，人们都很清楚市场的运作效率。但实际上，每个投资者掌握的信息量很小，这些信息本身可能无法传达有关股票价值的信息。然而，如果所有交易者拥有的信息可以以某种方式汇集起来，它将成为股票价值的更好预测者。我们试图了解市场价格是否能够单独传达个人交易者所拥有的信息。当这种情况发生时，市场实现了高水平的效率。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。