A Decision Theoretic Foundation for Noise Traders and Correlated Speculation

IF 2.5 4区 管理学 Q3 MANAGEMENT Decision Analysis Pub Date : 2023-05-03 DOI:10.1287/deca.2023.0473
Mark Schneider, M. Nunez
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Abstract

Noise traders are a central idea in the modern theory of asset markets, yet there is not a standard model of such agents in contrast to the well-established representation of rational agents as expected utility maximizers. We propose the Hurwicz criterion, a classical criterion in decision analysis for choice under uncertainty, as a foundation for noise traders in asset markets. Hurwicz agents trade on optimism and pessimism and do not trade on information. A binary asset market is introduced with asymmetric information and heterogeneity both in rationality and in ambiguity attitudes. In this environment, noise trader behavior is endogenously positively correlated, the market is more efficient in low sentiment periods, and the favorite-longshot bias holds in equilibrium. The analysis demonstrates that aggregate market properties such as positive trading volume and the favorite longshot bias can be derived from the micro behavior of individual agents that have an axiomatic foundation.
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噪声交易者与相关投机的决策理论基础
噪音交易者是现代资产市场理论的核心思想,然而,与理性行为者作为预期效用最大化者的既定表现相比,并没有一个标准模型来描述这些行为者。本文提出了不确定性决策分析中的经典准则——赫维奇准则,作为资产市场噪声交易者的基础。赫维奇经纪人根据乐观和悲观进行交易,不根据信息进行交易。引入了具有信息不对称和异质性的二元资产市场。在这种环境下,噪音交易者的行为是内生性正相关的,市场在情绪低迷时期效率更高,偏好长线偏好在均衡状态下保持不变。分析表明,总体市场属性,如正交易量和最喜欢的长线偏好,可以从具有公理基础的个体代理的微观行为中得出。
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来源期刊
Decision Analysis
Decision Analysis MANAGEMENT-
CiteScore
3.10
自引率
21.10%
发文量
19
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