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Learning in crowded markets

机译：在拥挤的市场中学习

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摘要

We present a novel entry-game with endogenous information acquisition to study the welfare effects of opacity and competition. Potential entrants to an opaque market are uncertain about their competitive advantage relative to other investors, i.e. their type. They construct optimal costly signals to learn about their types, where the marginal cost of learning captures the opacity of the market. In general, the individually optimal entry and learning decisions are socially suboptimal. Players over-invest in learning and more opaque markets are associated with more crowding. Nevertheless, more opaque markets might still lead to higher welfare by implying a better trade-off between the degree of crowding and the total cost of learning. Similarly, decreasing the share of smart investors in the market might also improve welfare. However, fierce competition is always detrimental to welfare as it leads to more wasteful learning without changing the level of crowding. (C) 2019 Elsevier Inc. All rights reserved.
机译：我们提出了一种具有内生信息获取的新型进入游戏，以研究不透明性和竞争的福利效应。不透明市场的潜在进入者不确定其相对于其他投资者的竞争优势，即类型。他们构建最昂贵的信号来了解其类型，其中边际学习成本抓住了市场的不透明性。通常，个人最优的入学和学习决定在社会上不是最佳的。玩家在学习上投入过多，而市场越不透明，拥挤程度越大。然而，更不透明的市场可能暗示拥挤程度与总学习成本之间的更好权衡，仍可能带来更高的福利。同样，减少精明投资者在市场中的份额也可能会改善福利。但是，激烈的竞争总是有害于福利，因为它会导致浪费更多的学习而不改变拥挤的程度。 （C）2019 Elsevier Inc.保留所有权利。

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