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论文编号：	4104
作者编号：	2120102350
上传时间：	2012/5/22 19:02:30
中文题目：	预测市场中的信息汇聚与交易者行为——实验室预测市场的证据
英文题目：	Information Aggregation and Traders’ Behaviors in Prediction Markets：Evidence from Lab Experiments
指导老师：	李建标
中文关键字：	预测市场；信息汇聚；交易者行为；实验
英文关键字：	Prediction Market, Information Aggregation, Traders’ Behaviors, Experiment
中文摘要：	信息不完全是造成决策风险的重要原因。对决策者来说，信息通常表现为分散的观察、数据、猜测和观点分布在众多信息持有者手中。解决信息不完全面临两个问题，一是如何激励信息持有者揭示自己的私人信息；二是通过何种机制将分散的信息整合为有价值的数据以支持决策。预测市场是一种新兴的信息汇聚机制，通过合理的合约设计能够有效的激励交易者揭示私人信息并形成关于未来事件发生概率、均值等参数的平均预期。本文采用实验经济学的研究范式和行为分析的研究方法，检验预测市场中的信息汇聚并探讨其有效运行的微观机理，以期为我国开展预测市场的进一步研究和应用提供有价值的文献和信息参考。本文设计了三种不同设置的实验：基于调查的预测实验、存在信息断层的预测市场实验和连续信息条件下的预测市场实验，从市场表现和交易者行为两个层面进行比较制度分析，研究结果表明：（1）在相同的信息分布下，预测市场表现显著优于传统的调查预测方法，其预测误差更小，并且预测市场中的参与者信念得到了精炼。预测市场机制为参与者的信息、信念、预期提供了有效的汇聚途径；（2）预测市场中的信息总量越完全，市场越有效。连续信息条件下的预测市场能够有效的实现不对称信息的汇聚，形成准确显著的预测结果；而在信息断层的区间内，预测市场的合约价格无法产生显著的分离。因此，让尽可能多的内部人参与到市场交易，增加市场的信息总量对预测市场有效运行至关重要；（3）内部交易者先于无信息交易者进入市场，并且内部人的持续报价带动了市场价格的变化，影响了其他交易者的预期，对市场价格起着决定性作用；（4）交易者个体特征因素中，性别和风险态度显著影响市场交易量：男性交易者的交易量显著高于女性，风险偏好型交易者交易量显著高于风险规避者。本研究的主要创新在于：第一，控制了预测市场中的信息分布，设计了连续信息和断层信息两种市场设置，检验了预测市场中的信息汇聚与运行条件；第二，以市场价格和交易量为研究对象，从交易者行为角度入手探讨预测市场中不对称信息的传导机制与微观机理。
英文摘要：	The origin of decision risk is information incompletion. For the decision makers, information usually means scattered observation, data, guesses and viewpoints which are distributed in many different information holders. It is faced with two problems to solve information incompletion: first, how to encourage information holders to disclose their own private information; second, by which mechanism to integrate scattered information into valuable data to support decisions. Prediction market is a new information aggregation mechanism, which could effectively encourage traders to disclose private information and form the average prediction about the parameters of future event (e.g. probability of occurrence, mean value etc.). This study tests the information aggregation in prediction market and discusses the microcosmic mechanism to ensure its effective operation using experimental methods, which could provide valuable theoretical basis and practical reference for further researches and practices on domestic prediction market. This study sets three different treatments: prediction experiment based on surveys, prediction market experiment with incomplete information and prediction market experiment with continuous information. We make comparison system analysis from the aspects of market performance and traders’ behaviors, indicating that: （1）Under the same information distribution, the performance of prediction market is significantly better than traditional survey prediction methods, the prediction error of prediction market is little, and the beliefs of participants in prediction market are refined. Prediction market provides an effective aggregation way for participants’ information, beliefs and expectation. （2）The more complete gross information in prediction market is, the more effective the market is. The prediction market with continuous information could make asymmetric information aggregated effectively, forming accurate predicted results. While with incomplete information, the contract price of prediction market could not be separated significantly. Therefore, it is of great importance for making the prediction market operate effectively to allow the insiders taking part in market transactions as much as possible, and increase the gross information of the market. （3）Interior traders enter the market earlier than the traders with no information, and their offers bring the changes of market prices affecting other traders’ expectations and have a conclusive influence on market prices. （4）Among the individual feature factors of traders, gender and risk attitude have a significant effect on the volume of market trade: the volume of male traders is significantly larger than that of female ones, and the volume of risk-prefer traders is significantly lager than that of risk-averse ones. The innovation of this research is: first, controlling the information distribution in the prediction market, we design two market treatments: incomplete information and continuous information, and test the information aggregation and operational conditions of the prediction market; second, taking the market price and the volume of trade as our research object, we investigate and discuss the transmission mechanism and microcosmic mechanism of asymmetric information in the prediction market from the angle of traders’ behaviors.
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