Related papers: Over-the-counter market models with several assets
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
Theoretical results regarding two-dimensional ordinary-differential equations (ODEs) with second-degree polynomial right-hand sides are summarized, with an emphasis on limit cycles, limit cycle bifurcations and multistability. The results…
In this paper, we present formula solutions of a family of difference equations of higher order. We discuss the periodic nature of the solutions and we investigate the stability character of the equilibrium points. We utilize Lie symmetry…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study the case of a nonlinear demand function…
Motivated by recent progress on pricing in the AI literature, we study marketplaces that contain multiple vendors offering identical or similar products and unit-demand buyers with different valuations on these vendors. The objective of…
We consider a network of sellers, each selling a single product, where the graph structure represents pair-wise complementarities between products. We study how the network structure affects revenue and social welfare of equilibria of the…
This paper studies matching markets where institutions are matched with possibly more than one individual. The matching market contains some couples who view the pair of jobs as complements. First, we show by means of an example that a…
The paper considers the overdetermined system of PDE that describes a special type of two-dimensional motion of an ideal fluid. The analysis of the compatibility of the system was performed. All solutions of the system are obtained in a…
In this discussion draft, we explore heterogeneous oligopoly games of increasing players with quadratic costs, where the market is supposed to have the isoelastic demand. For each of the models considered in this draft, we analytically…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
The interplay between dissipation and correlation can lead to novel emergent phenomena in open systems. Here we investigate ``steady-state topological order'' defined by the robust topological degeneracy of steady states, which is a…
We study stable allocations in an exchange economy with indivisible goods. The problem is well-known to be challenging, and rich enough to encode fundamentally unstable economies, such as the roommate problem. Our approach stems from…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
This work aims to study off-policy evaluation (OPE) under scenarios where two key reinforcement learning (RL) assumptions -- temporal stationarity and individual homogeneity are both violated. To handle the ``double inhomogeneities", we…
In this paper, we introduce some analytical techniques to solve some classes of second order differential equations. Such classes of differential equations arise in describing some mathematical problems in Physics and Engineering.