Economic Natural Selection

本项目研究一类金融资产市场中优化行为的演化。进化的来源是市场中的“经济自然选择”和个人投资者的适应。选择动态是投资者之间财富流动的结果，而适应性则来自个人投资者的学习和搜索。与许多关于市场演化的文献不同，这个项目研究的是金融资产市场中的个人行为，而不是企业行为。除了关于理性进化的发现（即，市场并不总是选择最接近最优者或拥有最正确信息的交易者）之外，初步调查还发现了市场过程中的大量规律性。研究人员利用这一规律来描述金融市场中资产价格的长期行为特征，并探索学习、进入和退出、搜索和其他经济创新来源的影响。这是一个非常重要的研究方向。假设个人的行为就像他们是理性的（接近最优的）或公司利润最大化是基于以下自然选择的论点。市场力量惩罚非优化的交易者和信息不灵通的交易者，将其重新分配给更接近优化的、信息更灵通的和更善于猜测的交易者。从长远来看，这些交易员会主宰市场。市场理性模型在金融经济学中有着广泛的应用。这些研究人员的初步工作表明，自然选择过程可能不会收敛于理性预期均衡，即使在市场长期无效的情况下，市场也存在显著的规律，这些规律可以为研究金融市场的动态提供更丰富、更准确的概念框架。

This project investigates the evolution of optimizing behavior in a class of financial asset markets. The sources of evolution are "economic natural selection" in the marketplace and adaptation by individual investors. Selection dynamics are a consequence of wealth flows between investors, while adaptation arises from learning and search by individual investors. Unlike much of the literature on evolution in markets, this project studies individuals' behavior in financial asset markets rather than the behavior of firms. In addition to findings on the evolution of rationality (i.e., markets do not always select the traders who are most nearly optimizers or who have the most correct information), the preliminary investigations have discovered a great deal of regularity in the market process. The investigators exploit this regularity to characterize the long run behavior of asset prices in financial markets and to explore the effects of learning, entry and exit, search, and other sources of economic innovation. This is a very important line of research. The assumption that individuals behave as if they were rational (near optimizing) or that firms maximize profits is based on the following natural selection argument. Market forces punish non-optimizing traders and poorly informed traders by redistributing to the more nearly optimizing, better informed and better guessing traders. In the long run, these traders come to dominate the market. Models of market rationality are widely used in financial economics. Preliminary work by these investigators suggests that the natural selection process might not converge on a rational expectations equilibrium, that there are significant regularities in markets even when the market is not efficient in the long run, and these regularities can provide a richer and more accurate conceptual framework for studying the dynamics of financial markets.