Emergence of information aggregation to rational expectations equilibria in markets populated by biased heuristic traders
用简单算法交易者模拟行为经济学中的锚定调整和代表性启发式，发现市场结果在特定条件下能涌现出理性预期均衡，但收敛比人类交易者更慢且噪声更大。
Information aggregation is a key economic function of markets. We report results of a computational experiment with markets populated by simple algorithmic traders who follow two heuristics usually thought of as leading to biased information processing in behavioral economics literature (anchor-and-adjust, and representativeness). Outcomes of these markets either tend to cluster around (or fail to do so) rational expectations equilibria under specific conditions, consistent with markets populated by profit-motivated human traders. Algorithmic trader convergence is slower and noisier than that of human traders. Our results illustrate the emergence of rational expectations equilibria through complex interactions among actions of biased heuristic traders with limited information processing capabilities.