Related papers: The Black Market for Beijing License Plates
We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the fee structure of an electronic market. We first review evidence for the existence of a master curve for price impact on…
The continued transition towards electric mobility will decrease energy tax revenues worldwide, which has substantial implications for government funds. At the same time, demand for transportation is ever increasing, which in turn increases…
In the last three decades, we have seen a significant increase in trading goods and services through online auctions. However, this business created an attractive environment for malicious moneymakers who can commit different types of fraud…
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized…
This paper models the US-China trade conflict and attempts to analyze the (optimal) strategic choices. In contrast to the existing literature on the topic, we employ the expected utility theory and examine the conflict mathematically. In…
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent…
This paper explores the gain maximization problem of two nations engaging in non-cooperative bilateral trade. Probabilistic model of an exchange of commodities under different price systems is considered. Volume of commodities exchanged…
Intellectual property (IP) rules have the potential to shape cross-border trade far more than their legalistic origins might suggest. Drawing on three decades of evidence, this review shows that stronger IP rights simultaneously create…
Consumers only discover at the first seller which product best fits their needs, then check its price online, then decide on buying. Switching sellers is costly. Equilibrium prices fall in the switching cost, eventually to the monopoly…
As soon as one accepts to abandon the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because different definitions of the risk become unequivalent. Optimal hedges then depend on the quantity one…
This paper documents a new feature of international trade: the increase in the share of low-value transactions in the total volume of transactions. Using Spanish data, we show that the share of low-value transactions in the total number of…
Advances in computational optimization allow for the organization of large combinatorial markets. We aim for allocations and competitive equilibrium prices, i.e. outcomes that are in the core. The research is motivated by the design of…
Detecting illicit nodes on blockchain networks is a valuable task for strengthening future regulation. Recent machine learning-based methods proposed to tackle the tasks are using some blockchain transaction datasets with a small portion of…
Researchers have long proposed using economic approaches to resource allocation in computer systems. However, few of these proposals became operational, let alone commercial. Questions persist about the economic approach regarding its…
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources.…
Permisionless decentralized ledgers ("blockchains") such as the one underlying the cryptocurrency Bitcoin allow anonymous participants to maintain the ledger, while avoiding control or "censorship" by any single entity. In contrast,…
We present a model of credit card profitability, assuming that the card-holder always pays the full outstanding balance. The motivation for the model is to calculate an optimal credit limit, which requires an expression for the expected…