Related papers: Over-the-counter market models with several assets
We revisit the problem of existence of stable systems of contracts with arbitrary sets of contracts. We show that stable sets of contracts exists if choices of agents satisfy path-independence. We call such choice functions Plott functions.…
We consider an occupation market in which preferences of members are treated as non linear general increasing functions. The arrangement of members is separated into two non over-lapping sets, set of workers and set of firms. We consider…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
Recent biological evidence suggests the presence of a two-phase ageing process in several species. We introduce a system of two age-structured partial differential equations (PDE) representing two phases of ageing of a wild population. The…
We study the well-posedness and asymptotic behaviour of selected PDE-PDE and PDE-ODE systems on one-dimensional spatial domains, namely a boundary coupled wave-heat system and a wave equation with a dynamic boundary condition. We prove…
We study a generalized system of ODE's modeling a finite number of biological populations in a competitive interaction. We adapt the techniques in two previous articles to prove the convergence to a unique stable equilibrium.
Wholesale electricity markets in many jurisdictions use a two-settlement structure: a day-ahead market for bulk power transactions and a real-time market for fine-grain supply-demand balancing. This paper explores trading demand response…
We study stability notions for networked many-to-many matching markets with individually insignificant agents in distributional form. Outcomes are formulated as joint distributions over characteristics of agents and contract choices.…
In a paper published in The Economic Journal in 2000, Weisbuch et al.\ introduce a model for buyers' preferences to the various sellers in over-the-counter (OTC) fish markets. While this model has become an archetype of economic…
We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in…
The sustainability conditions for the market participants with a different ownership model were also determined. It was revealed, that the nonlinear form of the equations describing the market behavior with the prevailing private capital,…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
The extended Wild sums considered in this article generalize the classi- cal Wild sums of statistical physics. We first show how to obtain explicit solutions for the evolution equation of a large system where the interactions are given by a…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By…
We analyze the linear response of a market network to shocks based on the bipartite market model we introduced in an earlier paper, which we claimed to be able to identify the time-line of the 2009-2011 Eurozone crisis correctly. We show…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…
We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We…