Related papers: Second-order Price Dynamics: Approach to Equilibri…
Electricity is typically traded in day-ahead auctions because many power system decisions, such as unit commitment, must be made in advance. However, when wind and solar generators sell power one day ahead, they face uncertainty about their…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
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…
The Fluctuation Theorems are a group of exact relations that remain valid irrespective of how far the system has been driven away from equilibrium. Other than having practical applications, like determination of equilibrium free energy…
The analogies between economics and classical mechanics can be extended from constrained optimization to constrained dynamics by formalizing economic (constraint) forces and economic power in analogy to physical (constraint) forces in…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
Growing economic inequalities are observed in several countries throughout the world. Following Pareto, the power-law structure of these inequalities has been the subject of much theoretical and empirical work. But their nonequilibrium…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…
Extremal principles are fundamental in our interpretation of phenomena in nature. One of the best known examples is the second law of thermodynamics, governing most physical and chemical systems and stating the continuous increase of…
Many economic interventions are designed as marginal changes in incentives. Yet in environments shaped by coordination, institutional persistence, and path dependence, such reforms often leave behavior largely unchanged. This paper studies…
Persistent economic competition is often justified as a mechanism of innovation, efficiency, and welfare maximization. Yet empirical evidence across disciplines reveals that competition systematically generates fragility, inequality, and…
We propose an axiomatic approach to constructing the dynamics of systems, in which one the main elements is the consciousness of a subject. The main axiom is the statements that the state of consciousness is completely determined by the…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
The Generalized Second Price (GSP) auction used typically to model sponsored search auctions does not include the notion of budget constraints, which is present in practice. Motivated by this, we introduce the different variants of GSP…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…