模型行为:金融理论家的洞见如何帮助解释市场活动

教授在纪念讲座系列中与学生互动交流，分享研究心得.​

Trial by fire? Brian Waters knows all about it.

Upon finishing his economics degree from Vanderbilt University, Waters didn’t get the graduate school offers he wanted, so sought out additional experience to round out his résumé. A tip from a professor led him to the White House, 22岁时，他发现自己与一些最聪明的金融和经济学家一起，面对二战以来最严重的经济衰退. 

“我从一个学生变成了一个被扔进火里的人——以一种我可能不应该做的方式,” Waters, 博彩平台推荐利兹商学院金融学助理教授, said with a laugh.

沃特斯在经济顾问委员会(一个帮助总统理解紧迫经济问题的内部智囊团)的工作经历包括进行广泛的金融分析，以帮助指导国家应对金融危机. It also gave him focus for his academic career, 它转向了金融理论，并研究了契约和私人信息在市场中的作用. 

“I try to look for those things in the market that don’t have obvious explanations, 然后我写一个数学模型来解释市场参与者在现实世界中的行为,” he said. 

Playing game theory

His research involves some complex mathematics, but in a recent research talk with Leeds undergrads, 沃特斯邀请观众参与几个游戏，以更好地理解战略互动和决策, as well as how insider knowledge can unravel markets. 

The lecture was the latest in the annual Steven Lindstrom Pardo Memorial Finance Lecture Series, 是什么挑战了教师，使他们的研究对本科商学院学生有吸引力. It’s named for Pardo (Bus’20), 一个求知欲强的学生，学术上的佼佼者，毕业后不久死于癌症. 他的家人创造了这个研究系列，希望能尊重Pardo的好奇心，并在未来几代学生中激发他对学习的热爱.

看着一屋子的学生在策略游戏中竞争，沃特斯的工作是多么平易近人, 不过，当他向学生们展示实际的数学模型时，他确实得到了一些笑声和喘息，这些模型是为了验证他的研究成果，即私人信息如何影响二手车的销售——尤其是在这个框架下学习的价值. 

沃特斯说:“当我卖车的时候，我比买家掌握更多的信息. “But the value of that information really comes from how long I owned the car,，这既可以帮助业主确定价格，又可以作为买家的信号. 

Consider home sales. 如果两套一模一样的房子同时上市，它们的定价应该大致相同. But say one’s been lived in two decades, as opposed to two years. 沃特斯说，在那里住了20年的房主“对这栋房子有很好的了解”. If it were a bad house, they wouldn’t have stayed so many years, and so the fact that they stayed indicates the value of the house must be good.”

他的研究表明，当价格升值受到控制时，房价会呈u形，当房屋立即出售或房主在那里居住了很长一段时间后，房价会达到最高, and is lowest when it turns over quickly. 

Pricing points

“If you see a house for sale after two years, 你担心他们在那段时间里学到了什么驱使他们出售,” like flooding or bad neighbors, Waters said. That will drive down the price, “especially if you see the home comes on the market every couple of years, in which case you can probably make a lowball offer for it.” 

能够对这些代理行为进行建模让沃特斯有了一些有趣的发现, 发表在《博彩app推荐》(Journal of Finance and Management Science)等知名期刊上的文章. He has also done notable work in what he calls optimal contracting—for instance, 确定社会投资者能够促进企业投资于更环保实践的条件, even at a loss of profit.

Just because that work is theoretical doesn’t mean it isn’t applicable. 当沃特斯分享自己在博尔德住了两年后卖掉第一套房子的经历时，他的笑声被引得开怀大笑. 

“The best part about being a theorist is writing something down and saying, ‘Yes, that obviously applies to my behavior,’” he said.

Why Leeds  Faculty and research  Burridge Center

Steal Away

To better explain backward induction and unraveling, Brian Waters took a page out of Major League Baseball’s opening day. A rule change now limits pitchers to two attempts to pick off a batter attempting to steal a base; a third unsuccessful attempt by the pitcher results in a balk, which means all baserunners advance to the next base. 

So runners now know pitchers are unlikely to attempt a third pickoff, 这意味着在两次抢断失败后，他们可能会更积极地尝试抢断. Knowing this, though, a pitcher is unlikely to attempt a second pickoff, because it will trigger more aggressive stealing from a runner. But: That signals to runners to be aggressive after a first pickoff attempt, since the pitcher is unlikely to throw a second pickoff. 

这样反复练习，直到你意识到跑步者从一开始就更具攻击性, knowing the pitcher’s attempts to pick them off are limited. 沃特斯说，你可以预期，企图和成功窃取基地的可能性要高得多. 在今年的揭幕战中，跑垒者23次盗垒中有21次成功. Last year, five bases were stole on on nine attempts.