Collaborative Research: Experiments on Information and Information Processing in Financial Markets

竞争性金融市场在经济中发挥着绝对的核心作用。它们提供了社会分担风险和分配资本的手段。现有的此类市场的理论模型是优雅而美丽的，但在面对实际数据时表现糟糕。这项工作建议使用实验室实验来探索理论与事实之间脱节的几种可能的解释：（a）一些代理人比其他人更好地了解情况，（B）一些代理人不使用现有的信息以及其他人，（c）一些代理人患有认知偏见。这项工作表明，实验可以在金融中发挥作用，完全类似于它们在物理科学中发挥的作用，使得在受控环境中创建和研究复杂系统成为可能，消除“摩擦”和噪音，研究改变一些变量而保持其他变量不变的影响，并探索反事实。从这项研究中获得的见解对投资以及政府政策和监管，包括社会保障都有影响。

Competitive financial markets play an absolutely central role in the economy. They provide the means by which society shares risk and allocates capital. Existing theoretical models of such markets are elegant and beautiful, but fare badly when confronted with actual data. The work proposed uses laboratory experiments to explore several possible explanations for the disconnection between theory and fact: (a) that some agents are better informed than others, (b) that some agents do not use available information as well as others, and (c) that some agents suffer from cognitive biases. This work shows that experiments can play a role in finance entirely analogous to the role they play in the physical sciences, making it possible to create and study complicated systems in a controlled setting, eliminating "frictions" and noise, studying the effect of changing a few variables while holding others constant, and exploring counterfactuals. The insights to be gained from this research have implications for investment and for government policy and regulation, including social security.