{"title":"噪声交易者与相关投机的决策理论基础","authors":"Mark Schneider, M. Nunez","doi":"10.1287/deca.2023.0473","DOIUrl":null,"url":null,"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.","PeriodicalId":46460,"journal":{"name":"Decision Analysis","volume":"84 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Decision Theoretic Foundation for Noise Traders and Correlated Speculation\",\"authors\":\"Mark Schneider, M. Nunez\",\"doi\":\"10.1287/deca.2023.0473\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":46460,\"journal\":{\"name\":\"Decision Analysis\",\"volume\":\"84 1\",\"pages\":\"\"},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2023-05-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Decision Analysis\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1287/deca.2023.0473\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MANAGEMENT\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Decision Analysis","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1287/deca.2023.0473","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MANAGEMENT","Score":null,"Total":0}
A Decision Theoretic Foundation for Noise Traders and Correlated Speculation
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.