Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets

Charles R. Plott and Shyam Sunder (1988) “Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets." Econometrica, Vol. 56, No. 5 (Sep., 1988), pp. 1085-1118. Article Stable URL: http://www.jstor.org/stable/1911360; ust.hk 提供的 [PDF].

==original Abstract==

The idea that markets might aggregate and disseminate information and also resolve conflicts is central to the literature on decentralization (Hurwicz, 1972) and rational expectations (Lucas, 1972). We report on three series of experiments all of which were predicted to have performed identically by the theory of rational expectations. In two of the three series (one in which participants trade a complete set of Arrow-Debreu securities and a second in which all participants have identical preferences), double auction trading leads to efficient aggregation of diverse information and rational expectations equilibrium. Failure of the third series to exhibit such convergence demonstrates the importance of market institutions and trading instruments in achievement of equilibrium.

Stock market bubbles in the laboratory*

David P. Porter and Vernon L. Smith (1994) “Stock market bubbles in the laboratory." Applied mathematical Finance, Volume 1, Issue 2, pages 111-128. DOI:10.1080/13504869400000008; (國科會 A-  期刊, 100年)

Abstract

Trading at prices above the fundamental value of an asset, i.e. a bubble, has been verified and replicated in laboratory asset markets for the past seven years. To date, only common group experience provides minimal conditions for common investor sentiment and trading at fundamental value. Rational expectations models do not predict the bubble and crash phenomena found in these experimental markets; such models yield only equilibrium predictions and do not articulate a dynamic process that converges to fundamental value with experience. The dynamic models proposed by Caginalp et al. do an excellent job of predicting price patterns after calibration with a previous experimental bubble, given the initial conditions for a new bubble and its controlled fundamental value. Several extensions of this basic laboratory asset market have recently been undertaken which allow for margin buying, short selling, futures contracting, limit price change rules and a host of other changes that could effect price formation in these assets markets. This paper reviews the results of 72 laboratory asset market experiments which include experimental treatments for dampening bubbles that are suggested by rational expectations theory or popular policy prescriptions.

Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models

Charles R. Plott and Shyam Sunder “Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models."  The Journal of Political Economy, Vol. 90, No. 4 (Aug., 1982), pp. 663-698.

Stable URL: http://www.jstor.org/stable/1831348

JSTOR: The Journal of Political Economy, Vol. 90, No. 4 (Aug., 1982), pp. 663-698.

Abstract

The study reports on the ability of competing models of market information integration and dissemination to explain the behavior of simple laboratory markets for a one-period security. Returns to the security depended upon a randomly drawn state of nature. Some agents (insiders), whose identity was unknown to other agents, knew the state before the markets opened. With replication of market conditions the predictions of a fully revealing rational-expectations model are relatively accurate. Prices adjusted immediately to near rational-expectations prices; profits of insiders were virtually indistinguishable from noninsiders; and efficiency levels converged to near 100 percent.