Related papers: Direct and indirect transactions and requirements
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
Bilateral trade is one of the most natural and important forms of economic interaction: A seller has a single, indivisible item for sale, and a buyer is potentially interested. The two parties typically have different, privately known…
We explain how recent developments in the fields of realisability models for linear logic -- or geometry of interaction -- and implicit computational complexity can lead to a new approach of implicit computational complexity. This…
International Trade (IT) plays a fundamental role in today's economy: by connecting world countries production and consumption processes, it radically contributes in shaping their economy and development path. Although its evolving…
With the network methods and random matrix theory, we investigate the interaction structure of communities in financial markets. In particular, based on the random matrix decomposition, we clarify that the local interactions between the…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
Recommender systems have generated tremendous value for both users and businesses, drawing significant attention from academia and industry alike. However, due to practical constraints, academic research remains largely confined to offline…
A great deal of academic and theoretical work has been dedicated to optimal liquidation of large orders these last twenty years. The optimal split of an order through time (`optimal trade scheduling') and space (`smart order routing') is of…
We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the…
This paper provides a general method to directly translate a classical economic framework with a large number of agents into a field-formalism model. This type of formalism allows the analytical treatment of economic models with an…
Recently there have been several historical changes in electricity networks that necessitate the development of Demand Side Management (DSM). The main objective of DSM is to achieve an aggregated consumption pattern that is efficient in…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and…
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of this paper is to investigate passive market impact by…
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…
Understanding realistic complex systems requires confronting significant conceptual, theoretical and experimental limitations rooted in the persistence of views that originated in the mechanics of simple moving bodies. We define the…
This paper models firm-to-firm trade in a production network as a set of double auctions. Firms have multilateral market power, namely, can affect prices in both input and output markets. The size and division of surplus are endogenous and…
There are a number of measures of direct and indirect effects in the literature. They are suitable in some cases and unsuitable in others. We describe a case where the existing measures are unsuitable and propose new suitable ones. We also…
In the last years new interdisciplinary approaches to economics and social science have been developed. A Thermodynamic approach to socio-economics has brought to a new interdisciplinary scientific field called econophysics. Why…
"Data" is becoming an indispensable production factor, just like land, infrastructure, labor or capital. As part of this, a myriad of applications in different sectors require huge amounts of information to feed models and algorithms…