Toward a Strategic Foundation for Rational Expectations Equilibrium

这项研究试图了解大型市场(即由许多买家和许多卖家组成的市场)是否能够有效地聚合每个在市场上行动的个人拥有的不同的信息片段。人们常说，价格“传达”了信息。具体来说，这是如何实现的？它是在什么条件下实现的？股市是信息发挥关键作用的市场的一个典型例子。当所有人都可以免费获得信息时，市场就会有效运作，这是众所周知的。但在现实中，每个投资者都有少量的信息，这些信息本身可能传达不了有关股票价值的信息。然而，如果所有交易者拥有的信息能够以某种方式汇集在一起，它将成为股票价值的更好的预测者。我们试图了解，是否只有市场价格才能传达个人交易者拥有的信息。当这种情况发生时，市场实现了高水平的效率。当这种情况没有发生时，人们就可以开始探索市场设计可能对失败负责的方式。然后可能需要采取纠正措施。

This research seeks to understand whether large markets (i.e., markets consisting of many buyers and many sellers) can effectively aggregate the disparate pieces of information that each individual acting in the market possesses. It is often said that prices "convey" information. How, exactly, is this achieved? Under what conditions is it achieved? Stock markets are a prime example of markets in which information plays a crucial role. When information is freely available to all, it is well understood that markets operate efficiently. But in reality each investor possesses a small amount of information, which, on its own, might convey little about the value of the stock in question. However, if the information possessed by all traders could somehow be pooled, it would serve as a much better forecaster of the value of the stock. We seek to understand whether market prices alone are capable of conveying the information possessed by individual traders. When this occurs, the market achieves a high level of efficiency. When this fails to occur, one can begin to explore ways in which the market's design might be responsible for the failure. Corrective measures might then be called for.