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Spatial partial equilibrium models incorporating conjectural variations are widely used to analyze the development of oligopolistic multi-agent markets, such as international energy and raw material markets. Although this model type can…
Why is the U.S. industry-level productivity dispersion countercyclical? Theoretically, we build a duopoly model in which heterogeneous R&D costs determine firms' optimal behaviors and the equilibrium technology gap after a negative profit…
We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed in online advertising and retail marketplaces, where agents…
We explore the effects of social influence in a simple market model in which a large number of agents face a binary choice: 'to buy/not to buy' a single unit of a product at a price posted by a single seller (the monopoly case). We consider…
We study a novel multi-armed bandit problem that models the challenge faced by a company wishing to explore new strategies to maximize revenue whilst simultaneously maintaining their revenue above a fixed baseline, uniformly over time.…
We theoretically prove why statistically rejecting the null hypothesis of perfect competition is challenging, known as a common problem in the literature. We also assess the finite sample performance of the conduct parameter test in…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
We consider an economy made of competing firms which are heterogeneous in their capital and use several inputs for producing goods. Their consumption policy is fixed rationally by maximizing a utility and their capital cannot fall below a…
We develop a theory of monotone comparative statics for models with adjustment costs. We show that comparative-statics conclusions may be drawn under the usual ordinal complementarity assumptions on the objective function, assuming very…
We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…
Networked control strategies based on limited information about the plant model usually results in worse closed-loop performance than optimal centralized control with full plant model information. Recently, this fact has been established by…
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…
This paper explores the dynamics of learning in a multi-sector general equilibrium model where firms operate under incomplete information about their production returns to scale. Firms iteratively update their beliefs using maximum…
Assortment optimization is a critical tool for online retailers aiming to maximize revenue. However, optimizing purely for revenue can lead to unbalanced sales across products, potentially causing a long tail of low-selling products and…
We examine the dynamics of nearest-neighbor bipartite concurrence and total correlations in the spin-1/2 $XXZ$ model with random fields. We show, starting from factorized random initial states, that the concurrence can suffer entanglement…