Ambiguity and informativeness of (non-)trading

IF 1 3区 经济学 Q3 ECONOMICS Games and Economic Behavior Pub Date : 2024-10-09 DOI:10.1016/j.geb.2024.10.001
Yinxiao Chu
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Abstract

We study a sequential trading mechanism with ambiguity-averse agents modeled by multiple prior preferences. Informed traders generally mix between trading and non-trading, and their trading probability decreases with ambiguity. If agents are sufficiently ambiguous, informed traders do not trade, and only noise traders place orders; trading becomes uninformative. When signal accuracy is ambiguous, trading can make public beliefs more ambiguous over time, which leads to social learning failures in the long run. Moreover, since informed traders may not trade, no-trade can also be informative when signal accuracy is asymmetric. Even with continuous action spaces, sufficiently high ambiguity stops social learning.
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非)贸易的模糊性和信息性
我们研究的是一种以多重先验偏好为模型的模糊规避代理的顺序交易机制。知情交易者通常在交易和不交易之间进行混合,他们的交易概率随着模糊性的降低而降低。如果代理足够模糊,知情交易者就不会交易,只有噪音交易者才会下单;交易变得不具信息性。当信号准确性模糊时,交易会使公众信念随着时间的推移变得更加模糊,从而导致长期的社会学习失败。此外,由于知情交易者可能不会进行交易,因此当信号准确性不对称时,不交易也会提供信息。即使是连续的行动空间,足够高的模糊性也会阻止社会学习。
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来源期刊
CiteScore
1.90
自引率
9.10%
发文量
148
期刊介绍: Games and Economic Behavior facilitates cross-fertilization between theories and applications of game theoretic reasoning. It consistently attracts the best quality and most creative papers in interdisciplinary studies within the social, biological, and mathematical sciences. Most readers recognize it as the leading journal in game theory. Research Areas Include: • Game theory • Economics • Political science • Biology • Computer science • Mathematics • Psychology
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