Related papers: Approximating welfare in large efficient markets
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…
A prevalent assumption in auction theory is that the auctioneer has full control over the market and that the allocation she dictates is final. In practice, however, agents might be able to resell acquired items in an aftermarket. A…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
We consider the problem of posting prices for unit-demand buyers if all $n$ buyers have identically distributed valuations drawn from a distribution with monotone hazard rate. We show that even with multiple items asymptotically optimal…
Multilateral index numbers are often used to make claims about welfare, such as treating PPPs as cross-country costs of living or real incomes as indicators of living standards. However, such interpretations may not be consistent with the…
Walrasian equilibrium is a prominent market equilibrium notion, but rarely exists in markets with indivisible items. We introduce a new market equilibrium notion, called two-price equilibrium (2PE). A 2PE is a relaxation of Walrasian…
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…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
What fraction of the potential social surplus in an environment can be extracted by a revenue-maximizing monopolist? We investigate this problem in Bayesian single-parameter environments with independent private values. The precise answer…
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
We obtain revenue guarantees for the simple pricing mechanism of a single posted price, in terms of a natural parameter of the distribution of buyers' valuations. Our revenue guarantee applies to the single item n buyers setting, with…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
We consider a broad class of continuous-time two-type population size-dependent Markov Branching Processes. The offspring distribution can depend on the current (alive) and total (dead and alive) populations. Using stochastic approximation…
A simple model of a buying-selling cycle is proposed. The model comprises two moves: a rational buying and a random selling. The notion of a profit intensity is introduced. Supply and demand curves and geometrical interpretation are…
We study fair division of indivisible goods in a single-parameter environment. In particular, we develop truthful social welfare maximizing mechanisms for fairly allocating indivisible goods. Our fairness guarantees are in terms of solution…