Related papers: Price and Quantity Trajectories: Second-order Dyna…

Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…

The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…

The algebra of transactions as fundamental measurements is constructed on the basis of the analysis of their properties and represents an expansion of the Boolean algebra. The notion of the generalized economic measurements of the economic…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…

For discretisations of hyperbolic conservation laws, mimicking properties of operators or solutions at the continuous (differential equation) level discretely has resulted in several successful methods. While well-posedness for nonlinear…

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…

This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…

The paper provides consistent mathematical framework for seminal Tiebout free-mobility model (1956). Our setting supports continuum of consumers with multidimensional preferences and finite number of strategic public good providers. 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…

In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator…

Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…

We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…

The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…

We look at price formation in a retail setting, that is, companies set prices, and consumers either accept prices or go someplace else. In contrast to most other models in this context, we use a two-dimensional spatial structure for…

We consider the behavior of the price of anarchy and equilibrium flows in nonatomic multi-commodity routing games as a function of the traffic demand. We analyze their smoothness with a special attention to specific values of the demand at…

T\^atonnement is a simple, intuitive market process where prices are iteratively adjusted based on the difference between demand and supply. Many variants under different market assumptions have been studied and shown to converge to a…

This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…