在有偏见的启发式交易者充斥的市场中，信息聚合与理性预期均衡的出现

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Behavior & Organization Pub Date : 2024-10-25 DOI:10.1016/j.jebo.2024.106700

Karim Jamal , Michael Maier , Shyam Sunder

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引用次数: 0

摘要

信息聚合是市场的一项关键经济功能。我们报告了一项计算实验的结果，实验对象是由简单算法交易者组成的市场，这些交易者遵循行为经济学文献中通常被认为会导致信息处理偏差的两种启发式方法（锚定-调整和代表性）。在特定条件下，这些市场的结果要么倾向于围绕（要么无法围绕）理性预期均衡，这与受利益驱动的人类交易者的市场是一致的。与人类交易者相比，算法交易者的收敛速度更慢，噪音也更大。我们的研究结果表明，理性预期均衡是通过信息处理能力有限的有偏见的启发式交易者的行动之间的复杂互动而产生的。

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Emergence of information aggregation to rational expectations equilibria in markets populated by biased heuristic traders

Information aggregation is a key economic function of markets. We report results of a computational experiment with markets populated by simple algorithmic traders who follow two heuristics usually thought of as leading to biased information processing in behavioral economics literature (anchor-and-adjust, and representativeness). Outcomes of these markets either tend to cluster around (or fail to do so) rational expectations equilibria under specific conditions, consistent with markets populated by profit-motivated human traders. Algorithmic trader convergence is slower and noisier than that of human traders. Our results illustrate the emergence of rational expectations equilibria through complex interactions among actions of biased heuristic traders with limited information processing capabilities.

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来源期刊

Journal of Economic Behavior & Organization ECONOMICS-

CiteScore

3.80

自引率

9.10%

发文量

392

期刊介绍： The Journal of Economic Behavior and Organization is devoted to theoretical and empirical research concerning economic decision, organization and behavior and to economic change in all its aspects. Its specific purposes are to foster an improved understanding of how human cognitive, computational and informational characteristics influence the working of economic organizations and market economies and how an economy structural features lead to various types of micro and macro behavior, to changing patterns of development and to institutional evolution. Research with these purposes that explore the interrelations of economics with other disciplines such as biology, psychology, law, anthropology, sociology and mathematics is particularly welcome.