噪声交易者与相关投机的决策理论基础

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
{"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}
引用次数: 0

摘要

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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Decision Analysis
Decision Analysis MANAGEMENT-
CiteScore
3.10
自引率
21.10%
发文量
19
期刊最新文献
Measuring and Mitigating the Risk of Advanced Cyberattackers On the Value of Information Across Decision Problems From the Editor: 2023 Clemen–Kleinmuntz Decision Analysis Best Paper Award Reply to “Comment on ‘Whose Judgement? Reflections on Elicitation in Bayesian Analysis’ ” Whose Judgement? Reflections on Elicitation in Bayesian Analysis
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1