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

项目ID: 0317715项目负责人：Plott， Charles R.组织机构：加州理工学院标题：合作研究：市场中价格与分配的演变：理论与实验合作负责人：Peter Bossaerts/加州理工学院；拟议研究的目标是了解多安全/多商品市场中价格和选择的动态。市场会达到均衡吗？如何达到均衡？本研究集中在一个简单的环境中：交易发生在一段时间内，但信息被披露，消费只发生在这段时间的最后。在此背景下，研究人员通过实验研究了价格和分配动态，并发现了数据中的一些规律：(i)价格最终接近理论均衡；（ii）某一特定商品的价格变动与所有商品的超额需求相关；（三）交易规模小。在这些实证发现的激励下，研究者提出了一个局部调整模型，以Smale提出的局部模型的精神来解释这些现象。这个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。因为模型中的主体只会做出局部最优的调整，所以这个模型的精神是对有限理性的大量研究。然而，调整过程的最终过程是相当合理的，并且调整过程比大多数文献中的模型更稳健。因此，该模型说明，即使市场由能力有限的人组成，市场也可以是聪明的。提出的研究旨在为我们在竞争市场中几种商品/证券的价格演变和选择的理论理解提供更坚实的实证基础。这项研究的核心是理论与数据之间的对话，计量经济学提供了这种联系。更广泛的影响：这里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）同时进行交易，其中每种商品的供应、需求和价格以复杂的方式依赖于其他商品的供应、需求和价格。拟议的工作应有助于更好地了解这种相互依赖关系，从而更好地了解此类市场的风险管理。这里提出的实验依赖于基于网络的实验技术（使用研究团队可以访问的独特设施），允许许多参与者实时互动。虽然技术上的挑战将继续出现，但毫无疑问，这项实验性技术可以适应这些挑战。除了作为一种研究工具之外，这种实验技术还可以作为一种教学工具，并为科学提供广泛的基础演示。

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.