Adaptive Traders and the Design of Financial Markets
研究由适应性交易者组成的金融市场，比较了集合竞价和瓦尔拉斯试探两种机制，发现基于信念的学习在两种市场中都能发现均衡，而基于强化的学习仅在瓦尔拉斯试探中收敛，表明市场机制可设计以促进交易者学习均衡策略。
ABSTRACT This paper studies a financial market populated by adaptive traders. Learning is modeled following Camerer and Ho (1999) . A call market and a Walrasian tatonnement are compared in an environment in which both institutions have the same Nash and competitive equilibrium outcomes. When traders learn via a belief‐based model, equilibrium is discovered in both types of markets. In contrast, when traders learn via a reinforcement‐based model, convergence to equilibrium is achieved in the Walrasian tatonnement but not in the call market. This paper suggests that market mechanisms can be designed to foster traders' learning of equilibrium strategies.