毓菁秀华|我院周航老师合作论文在国际权威期刊Journal of Economic Dynamics and Control发表

论文题目：Learning to bet (rationally) with logs

作       者：Andres Carvajal, Hang Zhou（周航）

发表杂志：Journal of Economic Dynamics and Control

英文摘要：

In an economy with uncertainty and asymmetric information, suppose that some agents learn the relation between fundamentals and prices by observing past market outcomes. They refine their understanding as they become more experienced, but their past ``errors'' contaminate the information they receive. Does this process converge to the ``perfect'' understanding of the market that underlies rational expectation equilibria? We address this question in a simplified setting that allows for explicit computation of the learning process: a two-state economy with logarithmic utilities and no background risk. Our first result is that as long as the wealth of the uninformed agents is less than half the aggregate wealth of the economy, the learning process indeed converges to rational expectations. This convergence, however, is non-monotonic, and the market oscillates between phases of excess price volatility and phases of excess volume of trade. The learning process, in addition, is costly for the uninformed agents. We interpret our results as underscoring the fragility of REE: markets operate orderly only when speculation is less significant than fundamental trade.

中文翻译：

在存在不确定性与信息不对称的经济体中，本文探讨了部分参与者（非知情者）通过观察过往市场结果学习基础面与价格关联、并随经验优化理解却受过往 “误差” 干扰信息接收的过程，核心研究该过程能否收敛于理性预期均衡（REE）所要求的 “完美市场理解”；为此，研究采用简化的两状态经济体模型（未来仅两种可能状态），假设参与者具有对数效用且无背景风险以实现学习过程的明确计算；研究得出，仅当非知情者财富低于经济体总财富一半时，学习过程才会收敛于 REE，但这种收敛具有非单调性，市场会在过度价格波动与过度交易量阶段间振荡，且学习过程对非知情者存在成本（财富受损），研究者将此结果解读为凸显了 REE 的脆弱性 —— 市场仅在投机性交易重要性低于基础面交易时才能有序运行。

《Journal of Economic Dynamics and Control》是一本专注于经济领域的学术期刊，由 Elsevier 出版，于 1979 年创刊，为月刊 。其致力于经济动态与控制领域的理论及实证研究，涵盖计算经济学、动态经济模型和宏观经济学等领域，还关注人工智能、数据库、遗传算法等计算方法在经济金融中的发展与应用。该期刊目前影响因子为2.9。