Related papers: Exact inference from finite market data
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
We introduce a novel characterization of all Walrasian price vectors in terms of forbidden over- and under demanded sets for monotone gross substitute combinatorial auctions. For ascending and descending auctions we suggest a universal…
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…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
Econometric inference allows an analyst to back out the values of agents in a mechanism from the rules of the mechanism and bids of the agents. This paper gives an algorithm to solve the problem of inferring the values of agents in a…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
We study competitive equilibria in exchange economies when a continuum of goods is conflated into a finite set of commodities. The design of conflation choices affects the allocation of scarce resources among agents, by constraining trading…
Market price systems constitute a well-understood class of mechanisms that under certain conditions provide effective decentralization of decision making with minimal communication overhead. In a market-oriented programming approach to…
We outline how to create a mechanism that provides an optimal way to elicit, from an arbitrary group of experts, the probability of the truth of an arbitrary logical proposition together with collective information that has an explicit form…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
Analyzing simple and natural price-adjustment processes that converge to a market equilibrium is a fundamental question in economics. Such an analysis may have implications in economic theory, computational economics, and distributed…
We consider the problem of finding the (unique) minimal Walrasian equilibrium price in multi-item, multi-unit auction models: there are multiple indivisible items for sale, with several units of each item, and a bidder may be interested in…
We study the conflict between two links in a multiple-input single-output interference channel. This setting is strictly competitive and can be related to perfectly competitive market models. In such models, general equilibrium theory is…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
We introduce uncertainty into a pure exchange economy and establish a connection between Shannon's differential entropy and uniqueness of price equilibria. The following conjecture is proposed under the assumption of a uniform probability…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
The main goal of this paper is to develop a theory of inference of player valuations from observed data in the generalized second price auction without relying on the Nash equilibrium assumption. Existing work in Economics on inferring…