Related papers: Equilibrium in Production Chains with Multiple Ups…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
Predatory pricing -- where a firm strategically lowers prices to undermine competitors -- is a contentious topic in dynamic oligopoly theory, with scholars debating practical relevance and the existence of predatory equilibria. Although…
Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
In this paper we propose a geometric approach to the selection of the equi- librium price. After a perturbation of the parameters, the new price is selected thorough the composition of two maps: the projection on the linearization of the…
The paper deals with a sharing economy system with various management factors by using a bulk input G/M/1 type queuing model. The effective management of operating costs is vital for controlling the sharing economy platform and this…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
Global supply networks in agriculture, manufacturing, and services are a defining feature of the modern world. The efficiency and the distribution of surpluses across different parts of these networks depend on choices of intermediaries.…
We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…
We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181,…
This paper finds near equilibrium prices for electricity markets with nonconvexities due to binary variables, in order to reduce the market participants' opportunity costs, such as generators' unrecovered costs. The opportunity cost is…
This paper describes a method to estimate a production frontier that satisfies the axioms of monotonicity and concavity in a non-parametric Bayesian setting. An inefficiency term that allows for significant departure from prior…
In this paper, we consider microgrids that interconnect prosumers with distributed energy resources and dynamic loads. Prosumers are connected through the microgrid to trade energy and gain profit while respecting the network constraints.…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
This paper contributes to the literature on hedonic models in two ways. First, it makes use of Queyranne's reformulation of a hedonic model in the discrete case as a network flow problem in order to provide a proof of existence and…
We consider a nonatomic congestion game on a graph, with several classes of players. Each player wants to go from its origin vertex to its destination vertex at the minimum cost and all players of a given class share the same…
We present a general framework for stochastic online maximization problems with combinatorial feasibility constraints. The framework establishes prophet inequalities by constructing price-based online approximation algorithms, a natural…