透明度与市场效率——基于信息不对称的适应性学习研究

Transparency and market efficiency:A study of adaptive learning with asymmetric information

通过拓展Pouget模型,考察了当所有投资者采用适应性学习(有限理性)规则更新信念时,订单信息的透明度增加如何影响市场的价格发现效率和福利配置效率.结果表明,透明度增加后,市场效率大幅降低,价格发现和福利配置都难以收敛到理性预期均衡.进一步剖析投资者的策略选择可以发现,透明度增加后,拥有信息优势的知情者倾向于提交对自己更加有利的订单,而放弃均衡的交易策略;非知情者为了规避由此带来的逆向选择风险,也会放弃均衡策略而倾向于提交更加保守的订单,最终导致市场效率大幅下降.

The model of Pouget is extended to investigate the impact of order transparency on the efficiency of order-driven markets where there are full of adaptive learning（ limited rational） investors. The results show that both the efficiency of information revealing and welfare allocation will deviate from rational equilibrium when investors can observe the order details of the others in the regime of transparency. The reason is that the informed traders take advantage of their private information and submit non-equilibrium orders which are more beneficial to him. The uninformed traders also abandon the equilibrium strategy and submit more conservative orders to avoid adverse selection risk. Both of the traders’ choice substantially reduce the market efficiency.