Related papers: Exact inference from finite market data
Walrasian equilibrium prices can be said to coordinate markets: They support a welfare optimal allocation in which each buyer is buying bundle of goods that is individually most preferred. However, this clean story has two caveats. First,…
We propose a new methodology to compute equilibria for general equilibrium problems on exchange economies with real financial markets, home-production, and retention. We demonstrate that equilibrium prices can be determined by solving a…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
Statistical inference under market equilibrium effects has attracted increasing attention recently. In this paper we focus on the specific case of linear Fisher markets. They have been widely use in fair resource allocation of food/blood…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…
We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…
We study markets of indivisible items in which price-based (Walrasian) equilibria often do not exist due to the discrete non-convex setting. Instead we consider Nash equilibria of the market viewed as a game, where players bid for items,…
We study the complexity of finding a Walrasian equilibrium in markets where the agents have $k$-demand valuations. These valuations are an extension of unit-demand valuations where a bundle's value is the maximum of its $k$-subsets' values.…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
We consider a market where a set of objects is sold to a set of buyers, each equipped with a valuation function for the objects. The goal of the auctioneer is to determine reasonable prices together with a stable allocation. One definition…
I introduce a concave function of allocations and prices -- the economy's potential -- which measures the difference between utilitarian social welfare and its dual. I show that Walrasian equilibria correspond to roots of the potential:…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
Multi-unit auctions are a paradigmatic model, where a seller brings multiple units of a good, while several buyers bring monetary endowments. It is well known that Walrasian equilibria do not always exist in this model, however compelling…
Walrasian prices, if they exist, have the property that one can assign every buyer some bundle in her demand set, such that the resulting assignment will maximize social welfare. Unfortunately, this assumes carefully breaking ties amongst…
Large-scale online recommendation systems must facilitate the allocation of a limited number of items among competing users while learning their preferences from user feedback. As a principled way of incorporating market constraints and…
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e.g. a fire sale in systemic risk, and can be viewed as a…