Related papers: Equilibrium selection: a geometric approach
We introduce a Geometry Informed Model for financial forecasting by embedding high dimensional market data onto constant curvature 2manifolds. Guided by the uniformization theorem, we model market dynamics as Brownian motion on spherical…
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where…
Geometry constitutes a core set of intuitions present in all humans, regardless of their language or schooling [1]. Could brain's built in machinery for processing geometric information take part in uncertainty representation? For decades…
In this paper, we investigate the computation of second-price pacing equilibria (SPPEs), a foundational model in online advertising auctions. We present a polynomial-time algorithm for computing exact SPPEs in instances with a constant…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…
We study buyer-optimal procurement mechanisms when quality is contractible. When some costs are borne by every participant of a procurement auction regardless of winning, the classic analysis should be amended. We show that an optimal…
We develop here a new procedure within Einstein's theory of gravity to generate equilibrium configurations that result as the final state of gravitational collapse from regular initial conditions. As a simplification, we assume that the…
We consider the profit-maximization problem solved by an electricity retailer who aims at designing a menu of contracts. This is an extension of the unit-demand envy-free pricing problem: customers aim to choose a contract maximizing their…
In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such…
Platforms design the form of presentation by which sellers are shown to the buyers. This design not only shapes the buyers' experience but also leads to different market equilibria or dynamics. One component in this design is through the…
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…
We derive valuations of a portfolio of financial instruments from a securities lending perspective, under different assumptions, and show a weighting scheme that converges to the true valuation. We illustrate conditions under which our…
The origin of equilibrium gravitational configurations is sought in terms of the stability of their trajectories, as described by the curvature of their Lagrangian configuration manifold. We focus on the case of spherical systems, which are…
In markets with budget-constrained buyers, competitive equilibria need not be efficient in the utilitarian sense, or maximise the seller's revenue. We consider a setting with multiple divisible goods. Competitive equilibrium outcomes, and…
Equilibrium computation in markets usually considers settings where player valuation functions are known. We consider the setting where player valuations are unknown; using a PAC learning-theoretic framework, we analyze some classes of…
Computing market equilibria is an important practical problem for market design, for example in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every…
We study equilibria in two-buyer sequential second-price (or first-price) auctions for identical goods. Buyers have weakly decreasing incremental values, and we make a behavioural no-overbidding assumption: the buyers do not bid above their…
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 present a methodology to robustly estimate the competitive equilibria (CE) of combinatorial markets under the assumption that buyers do not know their precise valuations for bundles of goods, but instead can only provide noisy estimates.…
Since economic mechanisms are often applied to very different instances of the same problem, it is desirable to identify mechanisms that work well in a wide range of circumstances. We pursue this goal for a position auction setting and…