Related papers: Comparing the market microstructure between two So…
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
This paper presents a comprehensive framework for transaction posting and pricing in Layer 2 (L2) blockchain systems, focusing on challenges stemming from fluctuating Layer 1 (L1) gas fees and the congestion issues within L2 networks.…
In the context of energy market clearing, non-merchant assets are assets that do not submit bids but whose operational constraints are included. Integrating energy storage systems as non-merchant assets can maximize social welfare. However,…
A two-sided market consists of two sets of agents, each of whom have preferences over the other (Airbnb, Upwork, Lyft, Uber, etc.). We propose and analyze a repeated matching problem, where some set of matches occur on each time step, and…
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
Do switching costs reduce or intensify price competition in markets where firms charge the same price to old and new consumers? Theoretically, the answer could be either "yes" or "no," due to two opposing incentives in firms' pricing…
We study the Proportional Response dynamic in exchange economies, where each player starts with some amount of money and a good. Every day, the players bring one unit of their good and submit bids on goods they like, each good gets…
We consider the use of pricing as a regulatory mechanism when an unknown number of autonomous agents compete for access to a shared resource (possibly limited in volume or capacity). In standard dynamic pricing control systems, an…
The rapid advancements in artificial intelligence, big data analytics, and cloud computing have precipitated an unprecedented demand for computational resources. However, the current landscape of computational resource allocation is…
Time-of-use pricing is promoted to manage demand at public EV charging stations, yet its effectiveness depends on short run flexibility and local constraints. Using station by day by hour data from Shenzhen and Amsterdam, we estimate…
Ads on the Internet are increasingly sold via ad exchanges such as RightMedia, AdECN and Doubleclick Ad Exchange. These exchanges allow real-time bidding, that is, each time the publisher contacts the exchange, the exchange ``calls out'' to…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
This paper explores the bifurcative dynamics of an artificial stock market exchange (ASME) with endogenous, myopic traders interacting through a limit order book (LOB). We showed that agent-based price dynamics possess intrinsic…
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 prevention of rapidly and steeply falling market prices is vital to avoid financial crisis. To this end, some stock exchanges implement a price limit or a circuit breaker, and there has been intensive investigation into which regulation…