1,721,003 research outputs found
The Limits of Arbitrage in Stock Market: An Experimental Investigation
Full text link本研究通过严格控制的经济学实验对股票市场套利行为的局限性的存在和影响因素进行了探索，而我们涉及到的因素包括借贷限制、卖空限制、竞争强度。我们共设计了五个实验组，包括一个基准组和四个对比组。在基准组中，交易者面临着借贷限制和卖空限制。基准组的实验数据证明了套利行为局限性的存在。当我们在对比组分别允许借贷、允许卖空、允许借贷和卖空时，套利机会依然持续存在于市场上即套利行为依然有局限性。但是，如果通过大幅度增加交易者数量来提高竞争强度时，我们发现套利机会明显减弱且市场更有效率。We provide a controlled laboratory test of the commonly cited reasons for limits of arbitrage in asset markets: liquidity, short-sale and competition. In our baseline treatment, where traders face liquidity and short sale constraints, we do observe persistent existence of arbitrage opportunities. Persistent arbitrage does not diminish when in treatments without liquidity constraints, and short sal...学位：经济学硕士院系专业：王亚南经济研究院_金融学(含保险学)学号：2772010115266
Sure or Not？--- Mixed Strategies Can Be the Best Response
No full text在本研究中，我们探究了重复正则博弈中的信念学习问题。我们将经典模型中限定“信念是策略空间中的一个点”这一假设去除，允许参与者的信念集合是策略空间的连通闭子集，并且相应地把期望效用函数也拓展到非期望效用函数，推广了原有描述正则博弈中的参与者行为的模型。在我们的模型下，极小极大策略在存在模糊性的条件下可以成为严格最优反应。随后我们将模型应用到重复60回合的常和博弈中，在实验室邀请120名参与者进行了8场实验，我们通过设计激励相容的奖励规则使得参与者在每回合报告自己的信念。实验共分两组：基本组实验中，参与者只能选择纯策略，每个回合结束只会被告知对手所选择的行动；混合策略组中，参与者可以选择混合策略，...In this paper we investigate belief learning in repeated normal form games. We generalize the traditional expected utility function to allow subjects to hold a prior interval of beliefs rather than only a single prior belief point. We show that in this setting minimax strategies can be the strict best response in an ambiguous environment. We then apply our model to a zero-sum game experiment of...学位：经济学硕士院系专业：王亚南经济研究院_数量经济学学号：2772011115271
Replication Materials for: “Speed traps: Algorithmic trader performance under alternative market balances and structures”
No full textReplication Materials for the paper —Speed traps: Algorithmic trader performance under alternative market balances and structures—by Yan Peng, Jason Shachat, Lijia Wei, S. Sarah Zhang
* Yan Peng: Paula and Gregory Chow Institute for Studies in Economics, Xiamen University, China 361005; email: [email protected], and Wuhan University, ORCID: 0000-0001-8826-5027.
* Jason Shachat: Durham University Business School, Mill House Lane, Durham DH1 3LB, UK; email: [email protected], Chapman University, and Wuhan University, ORCID: 0000-0002-9719-4555.
* Lijia Wei: School of Economics and Management, Wuhan University, China 430072; email: [email protected], ORCID: 0000-0002-5032-0788.
* S. Sarah Zhang: Corresponding author. Alliance Manchester Business School, University of Manchester, Booth Street West, Manchester M15 6PB, UK; email: [email protected], ORCID: 0000-0002-1612-453X.
Financial support from the Economic and Social Research Council (Grant No.ES/P011829/1) and the National Natural Science Foundation of China (Grant No. 72173093) is gratefully acknowledged. Those who wish to replicate the experimental findings may contact the co-author and director of the Center for Behavioral and Experimental Research (CBER) at Wuhan University, Lijia Wei, who will coordinate access to the custom software used for the experiment. The authors are listed in alphabetical order
The sequence auction-bargaining mechanism——An experimental study
Full text link采购是我们社会经济生活中很重要的经济行为，政府需要通过采购来提供公共物品，企业需要通过采购来满足自身生产和发展的需要。在采购行为中，往往也面临着一个买家从多个卖家中遴选供应商的问题。其中拍卖方式作为一种常用的筛选优秀供货商和定价的机制得到了广泛的运用，然而现在将拍卖和议价结合的采购方式也受到采购方的青睐，并且在一定程度上显现了相对于纯拍卖方式的优越性。本文就是运用实验经济学的方法对拍卖和议价相结合的采购方式进行研究，我们在文中运用的是拍卖和“一口价”议价结合的机制，即在拍卖之后买家可以选择发送一个还价给卖家，卖家可以选择成交或不成交的机制。为此，我们也提出了几点假说，假说一，序贯英式拍卖—“一...Procurement is the main way to obtain goods or service for an agency. In order to get a nice price, the agency used to set up an auction or a bargaining to choose the best supplier in the potential sellers. At present, they begin to try a complex form to do the procurement. That is action-bargaining mechanism which is an auction followed by bargaining. It seems to bring more profit than the previo...学位：经济学硕士院系专业：王亚南经济研究院_金融学(含保险学)学号：2772008115288
Behind the Veil of Ignorance: Risk Preference and Social Preference
Full text link本文通过一个创新的经济学实验揭示了“无知之幕”决策环境下的个人风 险偏好和社会偏好的性质，并成功分离了两种偏好下的不同动机。在该实验 中，应试者形象地通过图表分别在“纯风险”和“无知之幕”两种环境下对彩 票和收入分配方案进行选择。基于实验提供的丰富的个人层面的数据，我们分 别检验了个人风险偏好和社会偏好的一致性与位似性。并利用了两个结构参数 模型估计了不同偏好下如风险厌恶、不平等厌恶、损失厌恶及嫉妒等动机。我 们发现几乎所有实验者在“纯风险”和“无知之幕”环境中的决策是基于对一 个性状良好的效用函数最大化而得到的，并且这一效用函数呈现出弱位似性。 大部分实验者在“无知之幕”下存...This paper reveals risk preference and social preference behind the veil of ignorance and successfully decomposes the various underlying motivations. Using a novel experiment wherein subjects move graphically along a slider to divide a pie of money between high and low reward in both lottery and VoI treatments, we are able to collect rich data sets at individual level. We check individual preferen...学位：经济学硕士院系专业：王亚南经济研究院_金融学(含保险学)学号：2772011115270
Speed Kills: An Experimental Study of Human and Algorithm Trader Performance
Full text link目前算法交易在各金融市场上的影响越来越重要。一些学者以普通交易员(HumanTrader)的市场表现为基准尝试研究算法交易策略的优劣。Dasetal.利用目前实验经济学中最稳健的竞争交易机制——连续双向拍卖机制（ContinuousDoubleAuction）对该问题进行了初步探索。他们的结论是简单的算法交易策略反应和决策速度越快，与拥有相同信息的普通交易员相比其市场表现更好。本文通过实验表明，该结论只是在市场中买方和卖方都有数量对等的算法交易者（AlgorithmTrader）与普通交易员时构成对称实验设计所得到的特殊情况。本文发现在完全竞争市场、垄断市场以及双寡头市场三种市场结构下，当算法...Trading algorithms are an increasing presence in many markets. Some researchers have focused on the formulating trading algorithms with the benchmark of outperforming human traders. A study by Das et al. undertook this challenge in one of the most robustly competitive scenarios possible – experimental Continuous Double Auctions(CDA). They showed that as a simple algorithm that make assessments and...学位：经济学硕士院系专业：王亚南经济研究院_西方经济学学号：2772011115268
Discrete Heterogeneity and Learning Model in Games:Theory and Experimental Evidences
Full text link对个体经济行为的建模是一个非常重要的经济学基础问题，经济学家都希望从纷繁的个体经济行为中提炼出一个最优的模型，个体之间的差异仅限于模型参数的不同。然而，这种寻找最优模型的“比赛”却忽视了个体间存在的巨大差别。个体间由于信念、思考问题的方式和行为模式等有很大差异，因此很难用一个统一的模型进行描述。本文的研究首先承认了上述基本差异，在博弈论中建立了一个既允许策略异质性存在，又关注其动态演化的新研究框架。该研究框架认为：在任何截面时间点上，个体的行为策略都可以被归纳为几个有限的策略集合；而在时间序列上，个体所采用的策略是可以在策略集合中进行调整和变动的，信息反馈、经验学习和心理因素等都可能影响这种变...Modeling the individual behavior is a very fundamental topic in Economics. E- conomists try very hard to find a ”true” model in a particular decision making environment. However, these efforts may run on the wrong side of the road that our humans behave based on independent beliefs they hold, different way they think and varied strategy they adopt. The common theme in my research is formulating m...学位：经济学博士院系专业：王亚南经济研究院_数量经济学学号：2772008015048
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Research on Long Run Competitive Equilibrium and Price Bubbles: An Experimental Approach
Full text link价格发现是市场引导资源配置和实现风险承担结构等功能发挥的基础。本文采用实验经济学方法在产品市场和金融市场上考察了双向拍卖市场机制的价格发现和资源配置的功能表现。在产品市场上，我把长期决策引入经济环境，并考虑了可以带来唯一长期竞争均衡和多重长期竞争均衡的两种生产技术，考察了双向拍卖机制在引导生产厂商长期投资决策、发现产品合理价格和促进买卖双方交易中发挥的作用。实验结果表明，经过有限次的反复交易，产品市场最终可以达到接近长期竞争均衡状态的资源配置效率。我们也对卖方的投资决策行为进行了建模分析，展示了有限理性的投资行为如何在市场规则下带来高度有效的资源配置结果。 对于金融市场，大量的文献研究都...Price discovery is perceived as the most important function of market, which is essential for generating optimal resource allocation and risk distribution structures. Making use of experimental methodology, this study investigated the performance of double auction market institution both on the consumption commodity market and the financial market in various information environment. On the consump...学位：经济学博士院系专业：王亚南经济研究院_金融学(含保险学)学号：2772009015363
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