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We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity…
This paper frames a general prediction system as an observer traveling around a continuous space, measuring values at some locations, and predicting them at others. The observer is completely agnostic about any particular task being solved;…
It is generally believed that in a situation where individual and collective interests are in conflict, the availability of optional participation is a key mechanism to maintain cooperation. Surprisingly, this effect is sensitive to the use…
This article presents a set of tools for the modeling of a spatial allocation problem in a large geographic market and gives examples of applications. In our settings, the market is described by a network that maps the cost of travel…
We present the mathematical model of decision making (DM) of agents acting in a complex and uncertain environment (combining huge variety of economical, financial, behavioral, and geo-political factors). To describe interaction of agents…
We study a class of dynamical multi-commodity flow networks in transportation networks. These are modeled as dynamical systems describing the evolution of the densities of a number of different commodities across the cells of a…
Problem definition: In many matching markets, some agents are fully flexible, while others only accept a subset of jobs. For example, ridesharing drivers can specify on the platform the destinations they are willing to accept. Conventional…
Various formulations of counterfactual general equilibrium in economies -- systems of actors manipulating economic goods -- are logically and mathematically analyzed. Evenly-rotating economies are systems whose evolution is stable, steady,…
Dynamic pricing is commonly used to regulate congestion in shared service systems. This paper is motivated by the fact that in the presence of users with varying price sensitivity (responsiveness), conventional monotonic pricing can lead to…
Since Choo and Siow (2006), a burgeoning literature has analyzed matching markets when utility is perfectly transferable and the joint surplus is separable. We take stock of recent methodological developments in this area. Combining…
We introduce the Estimated Dynamic Equilibrium Model (EDEM), an agent-based framework that treats supply and demand as a coupled stochastic process driven by heterogeneous, noisy agent valuations. The model's primary technical contribution…
This paper develops a set of empirically tractable and flexible sieve estimators for semi-nonparametric multidimensional matching models with transferable utility, focusing on worker-job matching. We generalize the parametric…
Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among…
This paper presents a general framework for studying diverse beliefs in dynamic economies. Within this general framework, the characterization of a central-planner general equilbrium turns out to be very easy to derive, and leads to a range…
We study resource allocation in two-sided markets from a fundamental perspective and introduce a general modeling and algorithmic framework to effectively incorporate the complex and multidimensional aspects of fairness. Our main technical…
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
The desirable gambles framework provides a foundational approach to imprecise probability theory but relies heavily on linear utility assumptions. This paper introduces function-coherent gambles, a generalization that accommodates…
This paper presented insights into the implementation of transactive multi-agent systems over flow networks where local resources are decentralized. Agents have local resource demand and supply, and are interconnected through a flow network…
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,…
Beyond its obvious macro-economic relevance, fiat money has important micro-economic implications. They matter for addressing No. 8 in Smale's "Mathematical Problems for the Next Century": extend the mathematical model of general…