Related papers: Second-order Price Dynamics: Approach to Equilibri…
In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
Game theoretic equilibria are mathematical expressions of rationality. Rational agents are used to model not only humans and their software representatives, but also organisms, populations, species and genes, interacting with each other and…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
We consider the use of pricing as a regulatory mechanism when an unknown number of autonomous agents compete for access to a shared resource (possibly limited in volume or capacity). In standard dynamic pricing control systems, an…
Behavior of systems that are functions of anticipated behavior of other systems, whose own behavior is also anticipatory but homeostatic and determined by hierarchical ordering, which changes over time, of sets of possible environments that…
In this paper, we introduce the third party to achieve the Stackelberg equilibrium with the time inconsistency in three different Stackelberg games, which are the discrete-time games, the dynamic games, and the mean field games. Here all…
This paper casts within a unified economic framework some key challenges for the global economic order: de-globalization; the rising impracticability of global cooperation; and the increasingly confrontational nature of Great Power…
The global dynamics is investigated for a duopoly game where the perfect foresight hypothesis is relaxed and firms are worst-case maximizers. Overlooking the degree of product substitutability as well as the sensitivity of price to…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
What is the demand elasticity of statistical arbitrageurs that invest according to the advice of modern cross-sectional asset pricing models? Thirteen models from the literature exhibit strikingly inelastic demand, in contrast to classical…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
There are clear benefits associated with a particular consumer choice for many current markets. For example, as we consider here, some products might carry environmental or `green' benefits. Some consumers might value these benefits while…
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
Virtually anything can be and is ranked; people, institutions, countries, words, genes. Rankings reduce complex systems to ordered lists, reflecting the ability of their elements to perform relevant functions, and are being used from…
The complex interactions between algorithmic trading agents can have a severe influence on the functioning of our economy, as witnessed by recent banking crises and trading anomalies. A common phenomenon in these situations are fire sales,…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
We study the problem of online dynamic pricing with two types of fairness constraints: a "procedural fairness" which requires the proposed prices to be equal in expectation among different groups, and a "substantive fairness" which requires…
In evolutionary game theory, it is customary to be partial to the dynamical models possessing fixed points so that they may be understood as the attainment of evolutionary stability, and hence, Nash equilibrium. Any show of periodic or…