Related papers: Path-dependent Kyle equilibrium model
The paper develops a general methodology for analyzing policies with path-dependency (hysteresis) in stochastic models with forward looking optimizing agents. Our main application is a macro-climate model with a path-dependent climate…
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity…
We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric…
We study incentive design when multiple principals simultaneously design mechanisms for their respective teams in environments with strategic spillovers. In this environment, each principal's set of incentive-compatible mechanisms--those…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact…
We present an original theorem in auction theory: it specifies general conditions under which the sum of the payments of all bidders is necessarily not identically zero, and more generally not constant. Moreover, it explicitly supplies a…
We consider the class of valuations on indivisible items called gross-substitute (GS). This class was introduced by Kelso and Crawford (1982) and is widely used in studies of markets with indivisibilities. GS is a condition on the…
We provide an exact analytical solution of the Nash equilibrium for $k$- price auctions. We also introduce a new type of auction and demonstrate that it has fair solutions other than the second price auctions, therefore paving the way for…
In non-truthful auctions, agents' utility for a strategy depends on the strategies of the opponents and also the prior distribution over their private types; the set of Bayes Nash equilibria generally has an intricate dependence on the…
In this work, we consider a continuous-time inventory system where the demand process follows an inventory-dependent diffusion process. The ordering cost of each order depends on the order quantity and is given by a general function, which…
This study considers a model of the income distribution of agents whose pairwise interaction is asymmetric and price-invariant. Asymmetric transactions are typical for chain-trading groups who arrange their business such that commodities…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
This paper extends the incomplete model of Haile and Tamer (2003) from static English auctions to sequential English auctions. Because bidders may wait for future opportunities, the static condition that bidders do not let rivals win at…
An important class of economic models involve agents whose wealth changes due to transactions with other agents. Several authors have pointed out an analogy with kinetic theory, which describes molecules whose momentum and energy changes…
Traditionally, the Bayesian optimal auction design problem has been considered either when the bidder values are i.i.d., or when each bidder is individually identifiable via her value distribution. The latter is a reasonable approach when…
We analyze a simple macroeconomic model where rational inflation expectations is replaced by a boundedly rational, and genuinely sticky, response to changes in the actual inflation rate. The stickiness is introduced in a novel way using a…