Information aggregation in Arrow–Debreu markets: an experiment
通过一个信息结构更复杂的实验，研究了阿罗-德布鲁市场中交易者如何逐步聚合分散信息，发现早期聚合效果差，但经验积累后价格能揭示真实状态，且市场能有效聚合信息即使个体交易者不知情。
Abstract Studies of experimental and betting markets have shown that markets are able to efficiently aggregate information dispersed over many traders. We study information aggregation in Arrow–Debreu markets using a novel information structure. Compared to previous studies, the information structure is more complex, allows for heterogeneity in information among traders—which provides insights into the way in which information is gradually disseminated in the market—and generates situations in which all traders hold identical beliefs over the traded assets’ values, thus providing a harsh stress test for belief updating. We find little evidence for information aggregation and dissemination in early rounds. Nonetheless, after traders gain experience with the market mechanism and structure, prices converge to reveal the true state of the world. Elicited post-market beliefs reveal that markets are able to efficiently aggregate dispersed information even if individual traders remain uninformed, consistent with the marginal trader hypothesis.