Related papers: Exact inference from finite market data
We consider a package assignment problem with multiple units of indivisible items. The seller can specify preferences over partitions of their supply between buyers as packaging costs. We propose incremental costs together with a graph that…
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…
General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…
Walrasian equilibrium is a prominent market equilibrium notion, but rarely exists in markets with indivisible items. We introduce a new market equilibrium notion, called two-price equilibrium (2PE). A 2PE is a relaxation of Walrasian…
We revisit the connection between bargaining and equilibrium in exchange economies, and study its algorithmic implications. We consider bargaining outcomes to be allocations that cannot be blocked (i.e., profitably re-traded) by coalitions…
In a multi-unit market, a seller brings multiple units of a good and tries to sell them to a set of buyers that have monetary endowments. While a Walrasian equilibrium does not always exist in this model, natural relaxations of the concept…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
We consider the resource allocation problem and its numerical solution. The following constructions are demonstrated: 1) Walrasian price-adjustment mechanism for determining the equilibrium; 2) Decentralized role of the prices; 3) Slater's…
We show that in the context of exchange economies defined by aggregate excess demand functions on the full open price simplex, the generic economy has a finite number of equilibria. Genericicity is proved also for critical economies and, in…
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…
We study combinatorial auctions with bidders that exhibit endowment effect. In most of the previous work on cognitive biases in algorithmic game theory (e.g., [Kleinberg and Oren, EC'14] and its follow-ups) the focus was on analyzing the…
The Walras approach to equilibrium focuses on the existence of market prices at which the total demands for goods are matched by the total supplies. Trading activities that might identify such prices by bringing agents together as potential…
We use valid inequalities (cuts) of the binary integer program for winner determination in a combinatorial auction (CA) as "artificial items" that can be interpreted intuitively and priced to generate Artificial Walrasian Equilibria. We…
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 represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…
Choo-Siow (2006) proposed a model for the marriage market which allows for random identically distributed noise in the preferences of each of the participants. The randomness is McFadden-type, which permits an explicit resolution of the…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…