Collaborative Research: Preferences and Equilibrium in Laboratory Financial Markets

一般均衡（GE）理论是经济学家用来理解市场如何产生价格和分配社会资源的数学框架。然而，通用电气是不可能在现场直接测试的，因为一个主要的输入，即个人的偏好，是外部分析师不知道的私人信息。一些经济学家在实验室工作了几十年，转而通过诱导人工偏好来检验通用电气理论的各个方面。与此同时，另一组经济学家研究了如何衡量个人的实际偏好，他们使用了另一套名为“显性偏好”（Revealed preferences）的理论体系，通过面对不同的价格和收入水平时做出的选择来推断个人的偏好。值得注意的是，这两个极端的经济研究从来没有被结合在一起进行实证研究：经济学家没有系统地调查显示的偏好是否会导致通用电气预测的市场结果。我们的研究将开始通过一系列新的实验来填补这一空白。这项研究将使我们对通用电气理论的预测能力有新的认识，并对相互关联的市场，特别是金融市场的运作有新的、更深入的认识。我们的第一个项目开始于对投资组合选择的显着偏好方法的轻微变化。随后的项目逐步将简单的偏好诱导转变为最先进的市场交易机构。个人决策任务逐渐转变为成熟的互动市场，但做出选择的机制几乎始终保持不变，使我们能够可靠地比较不同设置的行为。一套名为Edgeworks的新软件工具将在一个统一的视觉框架中实现整个序列。这项研究将深入了解相互依赖（多商品）市场的效率和稳定性，特别是金融市场的重要方面。它还将有助于揭示在面对市场经验时，引发偏好的稳健性，包括最近备受争议的方面，如小股权风险厌恶和参考依赖。

General Equilibrium (GE) theory is the mathematical framework that economists use to understand how markets generate prices and distribute resources within a society. However, GE is impossible to directly test in the field because a primary input, the preferences of individuals, is private information not known to outside analysts. Working in the laboratory over several decades, some economists have instead tested aspects of GE theory by inducing artificial preferences. In parallel, another group of economists has studied how to measure the actual preferences of individuals, using a different body of theory called 'Revealed Preferences' that infers individual preferences from choices made in the face of varying prices and income levels. Remarkably, these two poles of economic research have never been brought together empirically and studied jointly: economists have not systematically investigated whether revealed preferences lead to the market outcomes predicted under GE. Our research will begin to fill this gap through a series of new experiments. This research will give us new insight into the predictive power of GE theory and a new, deeper insight into the functioning of interconnected markets, especially financial markets.Our first project begins with a slight variation on a prominent revealed preference approach to portfolio choice. Subsequent projects incrementally transform simple preference elicitation into state-of-the-art market trading institutions. Individual decision-making tasks are gradually transformed into full-blown interactive markets, but the mechanics of making choices remains nearly identical throughout, allowing us to reliably compare behavior across settings. A suite of new software tools, called Edgeworks, will implement the entire sequence in a unified visual framework. This research will give insight into the efficiency and stability of interdependent (multi-good) markets, especially important aspects of financial markets. It will also help reveal the robustness of elicited preferences in the face of market experience, including recently controversial aspects such as small stakes risk aversion and reference dependence.