自我实现预言、准非遍历性与财富不平等

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英文标题：
《Self-Fulfilling Prophecies, Quasi Non-Ergodicity and Wealth Inequality》
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作者：
Jean-Philippe Bouchaud and Roger Farmer
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最新提交年份：
2021
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英文摘要：
  We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates beliefs in response to observed outcomes. We show that the distribution of the observed signal is described by a quasi-non-ergodic process and that people continue to disagree with each other forever. Interestingly, these disagreements generate large wealth inequalities that arise from the multiplicative nature of wealth dynamics which makes successful bold bets highly profitable. People who agree with the market belief have a low expected subjective gain from trading. People who disagree may either become spectacularly rich, or spectacularly poor. The flip side is that such wealth inequalities lead to persistent discrepancies between market implied probabilities and true probabilities.
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中文摘要：
我们构建了一个交换经济模型，在该模型中，代理人交易资产取决于一个可观察信号，其概率取决于公众舆论。我们模型中的代理偶尔会被替换，每个人都会根据观察到的结果更新信念。我们证明了观测信号的分布是由一个准非遍历过程描述的，并且人们永远不同意彼此的观点。有趣的是，这些分歧产生了巨大的财富不平等，这源于财富动态的乘法性质，这使得成功的大胆赌注非常有利可图。同意市场信念的人从交易中获得的预期主观收益较低。持不同意见的人要么变得非常富有，要么变得非常贫穷。另一方面，这种财富不平等导致市场隐含概率和真实概率之间的持续差异。
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分类信息：

一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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一级分类：Physics        物理学
二级分类：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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关键词：财富不平等 自我实现 遍历性 不平等 inequalities