Collaborative Research: The Evolution of Prices and Allocations in Markets: Theory and Experiment

合作研究：市场价格和配置的演变：理论与实验

• 批准号: 0317715
• 负责人: Charles Plott
• 金额: --
• 依托单位: California Institute of Technology
• 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: 2003-08-01 至 2007-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0317715&HistoricalAwards=false
• 关键词: Collaborative; Research; Evolution; Prices; Allocations

Prop ID: 0317715 P I: Plott, Charles R. Organization: California Institute of Technology Title: Collaborative Research: The Evolution of Prices and Allocations in Markets: Theory and Experiment CO-PI: Peter Bossaerts/Cal Tech; William Zame/UCLA (Collaborative) The goal of the proposed research is to understand the dynamics of prices and choices in multi-security/multi-good markets. Do markets get to equilibrium, and how? This research concentrates on a simple environment: trade takes place during some period of time, but information is revealed and consumption takes place only at the end of the period. Within this context, the investigators study price and allocation dynamics experimentally and discover a number of regularities in the data: (i) prices eventually settle close to the theoretical equilibrium; (ii) price changes for a particular good are correlated with excess demand of all goods; (iii) trades are small. Motivated by these empirical findings, the investigators propose a local adjustment model, in the spirit of local models suggested by Smale, to explain these phenomena. The purpose of this project is to study the theoretical properties of the model and to link it to data through a series of experiments.Because agents in the model make adjustments that are only locally optimal, the model isin the spirit of much work on limited rationality. However, the end process of the adjustment process is quite rational, and the adjustment process is more robust than most models in the literature. Thus the model illustrates how markets can be smart even though they are populated by human beings of limited capacity. The proposed research is meant to provide a more solid empirical foundation for our theoretical understanding of the evolution of prices and choices in competitive markets for several goods/securities. At the core of the research is a dialogue between theory and data, with econometrics providing the link. Broader Impacts: The issues studied here are critical for the many important existing markets in which several goods (including services and risky assets) are traded at the same time and in which the supply, demand and price of each of these goods depends in a complicated way on the supply, demand and price of other goods. The proposed work should lead to a better understanding of such interdependencies and therefore to a better understanding of the management of risks in such markets. The experiments proposed here depend on a web-based experimental technology (using unique facilities to which the research team has access) that permits the interaction of many participants in real time. Although technical challenges will continue to arise, there is no doubt that this experimental technology can be adapted to meet them. In addition to its usefulness as a research tool, this experimental technology will be useful as a teaching tool, and for providing broad based demonstrations of the science.

Prop ID：0317715 P I：Plott，Charles R.组织机构：加州理工学院标题：合作研究：市场中价格和分配的演变：理论与实验CO-PI：Peter Bossaerts/加州理工学院; William Zame/加州大学洛杉矶分校（合作）拟议研究的目标是了解价格的动态和多证券/多商品市场中的选择。市场是否达到均衡，以及如何达到均衡？ 这项研究集中在一个简单的环境：贸易发生在一段时间内，但信息披露和消费只发生在期末。在这种背景下，研究人员通过实验研究价格和分配动态，并在数据中发现了一些问题：（i）价格最终接近理论均衡;（ii）特定商品的价格变化与所有商品的过度需求相关;（iii）交易量很小。受这些实证研究结果的启发，研究人员提出了一个局部调整模型，在Smale建议的局部模型的精神，来解释这些现象。 本项目的目的是研究模型的理论性质，并通过一系列实验将其与数据联系起来。由于模型中的代理人只会做出局部最优的调整，因此该模型的精神是在有限理性方面做了大量工作。但是，调整过程的结束过程是相当合理的，调整过程比文献中的大多数模型更稳健。因此，这个模型说明了市场是如何聪明的，即使市场中居住的是能力有限的人。 拟议的研究是为了提供一个更坚实的实证基础，我们的理论理解的价格和选择在竞争市场中的几种商品/证券的演变。研究的核心是理论与数据之间的对话，计量经济学提供了联系。 更广泛的影响：这里所研究的问题对于许多重要的现有市场至关重要，在这些市场中，几种商品（包括服务和风险资产）同时交易，其中每种商品的供应、需求和价格都以复杂的方式取决于其他商品的供应、需求和价格。拟议的工作应有助于更好地理解这种相互依存关系，从而更好地理解对这种市场的风险管理。 这里提出的实验依赖于一个基于网络的实验技术（使用独特的设施，研究小组可以访问），允许许多参与者在真实的时间的互动。虽然技术挑战将继续出现，但毫无疑问，这项实验性技术可以适应这些挑战。除了作为研究工具的有用性之外，这种实验技术还可以作为教学工具，并提供广泛的科学演示。