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

竞争激烈的金融市场在经济中扮演着绝对核心的角色。它们提供了社会分担风险和配置资本的手段。现有的此类市场理论模型是优雅而美丽的，但在面对实际数据时表现不佳。拟议的工作使用实验室实验来探索理论和事实之间脱节的几种可能的解释：(A)一些代理人比其他代理人更了解情况，(B)一些代理人没有像其他人一样使用可用的信息，以及(C)一些代理人患有认知偏差。这项工作表明，实验在金融学中的作用完全类似于它们在物理学中所起的作用，使在受控环境下创建和研究复杂系统成为可能，消除“摩擦”和噪音，研究在保持其他变量不变的情况下改变几个变量的效果，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都有影响，包括社会保障。

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.