Adaptive traders and the design of financial markets

• 成果类型: Article
• 署名作者: Pouget, Sebastien
• 署名单位: Universite de Toulouse
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01294.x
• 发表日期: 2007
• 页码: 2835-2863
• 关键词: rational-expectations; INFORMATION; auctions; implementation; TRANSPARENCY; equilibrium; mechanisms; EXISTENCE; DYNAMICS; games

摘要

This paper studies a financial market populated by adaptive traders. Learning is modeled following Camerer and Ho (1999). A call market and a Walrasian tatonnement are compared in an environment in which both institutions have the same Nash and competitive equilibrium outcomes. When traders learn via a belief-based model, equilibrium is discovered in both types of markets. In contrast, when traders learn via a reinforcement-based model, convergence to equilibrium is achieved in the Walrasian tatonnement but not in the call market. This paper suggests that market mechanisms can be designed to foster traders' learning of equilibrium strategies.