Collaborative Research: New Informationally Robust Approaches to Mechanism Design and Games of Incomplete Information

协作研究：机制设计和不完全信息博弈的新信息鲁棒方法

• 批准号: 2215475
• 负责人: Benjamin Brooks
• 金额: $ 29.44万
• 依托单位: University of Chicago
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2022
• 资助国家: 美国
• 起止时间: 2022-07-15 至 2025-06-30
• 项目状态: 未结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=2215475&HistoricalAwards=false
• 关键词: Collaborative; Research; New; Informationally; Robust

This project develops new tools for robust predictions in strategic games where the outcome depends on some unobserved state of nature (although the players do not observe the realized state, they may receive signals allowing to update the likelihood of each possible state). These games are a fundamental tool in economic theory for understanding behavior in a wide range of settings, such as oligopoly, auctions, electoral competition, and bank runs. The classical approach is to study behavior under a fixed model of player’s information. In many practical settings, however, an analyst or policy maker may be concerned about misspecification of the players' information. The tools that we develop give predictions about the players' behavior and policy recommendations about market design, without relying on a full specification of the informational environment.The project has three components. First, we develop a new solution concept that characterizes rationalizable behavior under common prior beliefs about payoff relevant states. This is a generalization of the solution concept known as Bayes’ correlated equilibrium (BCE), replacing the usual Nash equilibrium with a weaker notion of interim correlated rationalizability. This is important, because in many settings (such as spectrum auctions which occur infrequently), strategic agents may not have had sufficient time or experience to converge on a Nash equilibrium; nevertheless, we can make non-trivial predictions about behavior based on the premise that actions are rational under some (not necessarily correct) beliefs. Second, we study a distinct generalization of BCE in which there is an upper bound on players’ information. This complements the lower bounds on information found in the existing formulations of BCE; and it allows us to obtain more realistic predictions in settings where agents do not have access to all payoff-relevant information (such as bank runs or auctions of "toxic" assets). Third, we extend and apply the burgeoning theory of informationally-robust optimal mechanisms to the problem of designing efficient trading mechanisms. Existing models of bilateral trade are primarily focused on the simple and stylized case where buyer and seller each know their respective values, and those values are statistically independent. Using the informationally-robust approach, we derive new trading mechanisms that are guaranteed to produce non-trivial gains from trade even when buyer and seller values are interdependent and information is correlated. The insights we develop about robust trading platforms could be utilized to improve efficiency in a wide variety of markets with informational frictions, such as the markets for financial securities or health insurance.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

这个项目开发了新的工具，用于在战略游戏中进行稳健预测，其中结果取决于一些未观察到的自然状态(虽然玩家不观察到已实现的状态，但他们可能会收到允许更新每个可能状态的可能性的信号)。这些博弈是经济学理论中理解各种环境中行为的基本工具，例如寡头垄断、拍卖、选举竞争和银行挤兑。经典的方法是在固定的玩家信息模型下研究行为。然而，在许多实际情况下，分析师或政策制定者可能会担心对玩家信息的错误说明。我们开发的工具给出了对参与者行为的预测和关于市场设计的政策建议，而不依赖于完整的信息环境规范。该项目由三个部分组成。首先，我们发展了一个新的解的概念，它刻画了关于收益相关状态的共同先验信念下的合理化行为。这是被称为贝叶斯相关均衡(BCE)的解概念的推广，用较弱的临时相关合理化概念取代了通常的纳什均衡。这一点很重要，因为在许多情况下(例如不经常发生的频谱拍卖)，战略代理人可能没有足够的时间或经验收敛到纳什均衡；然而，我们可以基于这样的前提对行为做出非平凡的预测，即在一些(不一定正确的)信念下，行动是理性的。其次，我们研究了BCE的一个明显的推广，其中对玩家的信息有一个上界。这补充了现有BCE公式中信息的下限；它允许我们在代理人无法访问所有与收益相关的信息(例如银行挤兑或“有毒”资产拍卖)的情况下获得更现实的预测。第三，我们将新兴的信息稳健最优机制理论推广和应用于有效交易机制的设计问题。现有的双边贸易模型主要集中在简单和程式化的情况下，买方和卖方都知道各自的价值，这些价值在统计上是独立的。使用信息稳健的方法，我们得到了新的交易机制，即使在买方和卖方的价值相互依赖且信息相关的情况下，这些机制也能保证从交易中产生非平凡的收益。我们开发的关于稳健交易平台的见解可以用来提高各种存在信息摩擦的市场的效率，例如金融证券或健康保险市场。该奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。