Related papers: Computing Economic Equilibria by a Homotopy Method
We present a homotopic approach to solving challenging, optimization-based motion planning problems. The approach uses Homotopy Optimization, which, unlike standard continuation methods for solving homotopy problems, solves a sequence of…
Under the same assumptions made by Mas-Colell et al. (1995), I develop a short, simple, and complete proof of existence of equilibrium prices based on excess demand functions. The result is obtained by applying the Brouwer fixed point…
Maximum-entropy distributions are shown to appear in the probability calculus as approximations of a model by exchangeability or a model by sufficiency, the former model being preferable. The implications of this fact are discussed,…
We look at the meaning of 'relaxation' in the wealth exchange models that are recently proposed in Econophysics to interpret the wealth distributions. To quantify and characterise the process of relaxation, we define an appropriate quantity…
This paper addresses fundamental aspects of statistical mechanics such as the motivation of a classical state space with spontaneous transitions, the meaning of non-equilibrium in the context of thermalization, and the justification of…
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…
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…
In many models in economics or business a dominantly self-interested homo economicus is assumed. Unfortunately (or fortunately), humans are in general not homines economici as e.g. the ultimatum game shows. This leads to the fact that all…
The sharing of scarce resources among multiple rational agents is one of the classical problems in economics. In exchange economies, which are used to model such situations, agents begin with an initial endowment of resources and exchange…
We develop estimation and inference methods for a stylized macroeconomic model with potentially multiple behavioural equilibria, where agents form expectations using a constant-gain learning rule. We first show geometric ergodicity of the…
In this paper I discuss truthful equilibria in common agency models. Specifically, I provide general conditions under which truthful equilibria are plausible, easy to calculate and efficient. These conditions generalize similar results in…
Economic complexity measures aim to quantify the capability content or endowment of industries and territories; however, capabilities are not observable, and therefore cannot be directly used in the computations. We estimate such endowments…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
Classical approaches to experimental design assume that intervening on one unit does not affect other units. There are many important settings, however, where this non-interference assumption does not hold, as when running experiments on…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
We present functional forms allowing a broader range of analytic solutions to common economic equilibrium problems. These can increase the realism of pen-and-paper solutions or speed large-scale numerical solutions as computational…
The definition of nonequilibrium entropy is provided for the general nonequilibrium processes by connecting thermodynamics with statistical physics, and the principle of entropy increment in the nonequilibrium processes is also proved in…
The equilibrium properties of allocation algorithms for networks with a large number of nodes with finite capacity are investigated. Every node is receiving a flow of requests and when a request arrives at a saturated node, i.e. a node…