Related papers: The Incentive Ratio in Exchange Economies
In this work we investigate the inefficiency of the electricity system with strategic agents. Specifically, we prove that without a proper control the total demand of an inefficient system is at most twice the total demand of the optimal…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
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…
For a class of stochastic dynamical models of exchange economies that we call ``fully connected Cobb-Douglas'', the paper proves convergence of the probability distribution to an equilibrium, in total variation metric as time goes to…
We study the Proportional Response dynamic in exchange economies, where each player starts with some amount of money and a good. Every day, the players bring one unit of their good and submit bids on goods they like, each good gets…
We consider a heterogeneous agent-based economic model where economic agents have strictly bounded rationality and where income allocation strategies evolve through selective imitation. Income is calculated by a Cobb-Douglas type production…
The Probabilistic Serial mechanism is well-known for its desirable fairness and efficiency properties. It is one of the most prominent protocols for the random assignment problem. However, Probabilistic Serial is not incentive-compatible,…
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal strength. We characterize Nash equilibria in cases with or…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…
In practice, most mechanisms for selling, buying, matching, voting, and so on are not incentive compatible. We present techniques for estimating how far a mechanism is from incentive compatible. Given samples from the agents' type…
Fisher markets are those where buyers with budgets compete for scarce items, a natural model for many real world markets including online advertising. A market equilibrium is a set of prices and allocations of items such that supply meets…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
Econometrics is based on the nonempiric notion of utility. Prices, dynamics, and market equilibria are supposed to be derived from utility. Utility is usually treated by economists as a price potential, other times utility rates are treated…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
New fairness notions aligned with the merit principle are proposed for designing exchange rules. We show that for an obviously strategy-proof, efficient and individually rational rule, (i) an agent receives her favorite object when others…
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded…