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We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
We propose a notion of concavity in two-sided many-to-one matching, which is an analogue to the balancedness condition in cooperative games. A stable matching exists when the market is concave. We provide a class of concave markets. In the…
We model a system of n asymmetric firms selling a homogeneous good in a common market through a pay-as-bid auction. Every producer chooses as its strategy a supply function returning the quantity S(p) that it is willing to sell at a minimum…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…
In the presence of non-convexities, the power market may not have an equilibrium price for power that provides economic stability of the centralized dispatch outcome. In this case, to achieve an economically stable outcome, the uplift…
Goods can exhibit positive externalities impacting decisions of customers in socials networks. Suppliers can integrate these externalities in their pricing strategies to increase their revenue. Besides optimizing the prize, suppliers also…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
We study the efficiency of allocations in large markets with a network structure where every seller owns an edge in a graph and every buyer desires a path connecting some nodes. While it is known that stable allocations in such settings can…
We study optimal monopoly pricing over consumer networks governed by general nonlinear utilities. In our framework, a consumer's utility is jointly determined by an individualized price and the consumption choices of their peers, propagated…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
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…
Although production is an integral part of the Arrow-Debreu market model, most of the work in theoretical computer science has so far concentrated on markets without production, i.e., the exchange economy. This paper takes a significant…
We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…
We study a networked economic system composed of $n$ producers supplying a single homogeneous good to a number of geographically separated markets and of a centralized authority, called the market maker. Producers compete \`a la Cournot, by…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
This paper proposes a mathematical model for the design of a two-echelon supply chain where a set of suppliers serve a set of terminal facilities that receive uncertain customer demands. This model integrates a number of system decisions in…