Редакция 117418, Москва, ул. Профсоюзная, д. 33, корп. 4, НИУ ВШЭ, каб. 404. Тел.: (495) 772-95-90 доб. 11874. e-mail: redact@hse.ru
Издатель и распространитель 117418, Москва, ул. Профсоюзная, д. 33, корп. 4, Издательский дом Высшей школы экономики. Тел: (495) 772-95-90 доб. 15298; e-mail: id.hse@mail.ru
A classical paper by [Grossman, Stiglitz, 1980] showed that asset prices in equilibrium necessarily contain some degree of inefficiency when information is costly. Moreover, the inefficiency should decrease with decreasing information costs. However, a number of recent empirical studies cast some doubt on the postulate that real financial markets are becoming more efficient, despite the ostensible advances in technology and radical increases in the availability of information. The pricing of financial assets strongly depends on the relative wealth shares of heterogeneous groups of investors interacting in the market and the recent field of evolutionary finance has produced a number of studies showing how asset price dynamics develop under the influence of endogenously changing populations of heterogeneous traders. However, very few studies exist examining how the cost of information affects prices of assets in an evolutionary context. We therefore construct an evolutionary agent-based model of a financial market with boundedly rational traders who learn from experience. We conduct a number of computational experiments with varying information costs and show that even under zero information costs uninformed traders can survive and even dominate the market in finite time. Thus, for an initially low level of information costs, a marginal decrease in them does not necessarily lead to increased price efficiency. For higher initial levels of information costs our results however agree with those of [Grossman, Stiglitz, 1980] in that an increasing information cost generally leads to informed traders being driven out of the market and asset prices becoming less efficient. Implications of our findings for financial market regulation are discussed.