Related papers: From Disequilibrium Markets to Equilibrium

The problem of arriving at a principled method of pricing goods and services was very satisfactorily solved for conventional goods; however, this solution is not applicable to digital goods. This paper studies pricing of a special class of…

We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…

We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. In this setting, we develop…

In this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting of one major financial firm and a large number of minor firms. They carry out continuous trading via the securities…

We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its…

We consider a two-dimensional $\sigma$-model with discrete icosahedral/dodecahedral symmetry. Using the perturbative renormalization group, we argue that this model has a different continuum limit with respect to the O(3) $\sigma$ model.…

A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…

Competitive equilibrium is a central concept in economics with numerous applications beyond markets, such as scheduling, fair allocation of goods, or bandwidth distribution in networks. Computation of competitive equilibria has received a…

General equilibrium is the dominant theoretical framework for economic policy analysis at the level of the whole economy. In practice, general equilibrium treats economies as being always in equilibrium, albeit in a sequence of equilibria…

In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…

We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…

We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…

Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…

The paper aims to find the solution of oligopoly market equilibrium problem through system of nonlinear equations. We propose modified newton method to obtain the solution of system of nonlinear equations. We show that our proposed method…

We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an…

This thesis is devoted to the study of dynamical properties of diluted models. These are mean field statistical mechanics systems, but with finite local connectivity. Among other reasons, the interest for these models arises from their deep…

We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…

In this paper we investigate the applicability of non-equilibrium statistical mechanics to non-equilibrium damage phenomena. As an example, a fiber-bundle model with thermal noise and a fiber-bundle model with decay of fibers are…

It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss…

The issue of the relaxation to equilibrium has been at the core of the kinetic theory of rarefied gas dynamics. In the paper, we introduce the Deep Neural Network (DNN) approximated solutions to the kinetic Fokker-Planck equation in a…