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We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
Data is the central commodity of the digital economy. Unlike physical goods, it is non-rival, replicable at near-zero cost, and traded under heterogeneous licensing rules. These properties defy standard supply--demand theory and call for…
This paper presents the economic impacts of spot instance service on the cloud service providers (CSPs) and the customers when the CSPs offer it along with the on-demand instance service to the customers. We model the interaction between…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Online auctions are among the most influential e-business applications. Their impact on trading for businesses, as well as consumers, is both remarkable and inevitable. There have been considerable efforts in setting up market places, but,…
Standard economic theory assumes that agents in markets behave rationally. However, the observation of extremely large fluctuations in the price of financial assets that are not correlated to changes in their fundamental value, as well as…
Reinforcement learning (RL) has shown promise for trading, yet most open-source backtesting environments assume negligible or fixed transaction costs, causing agents to learn trading behaviors that fail under realistic execution. We…
Inspired by Adam Smith and Friedrich Hayek, many economists have postulated the existence of invisible forces that drive economic markets. These market forces interact in complex ways making it difficult to visualize or understand the…
The Olympic Games are an important sporting event with notable consequences for the general economic landscape of the host city. Traditional economic assessments focus on the aggregated impact of the event on the national income, but fail…
We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
In this text, we study the temporal behavior of markets using models expressible as ordinary differential equations. The markets studied are those where each customer buys only one copy of the good, for example, subscription of smartphone…
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
This work introduces a novel modified Replicator Dynamics model, which includes external influences on the population. This framework models a realistic market into which companies, the external dynamic influences, invest resources in order…
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with its price endogenously determined through market clearing.…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing…
Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…
This paper investigates how risk influences the way people barter. We used Minecraft to create an experimental environment in which people bartered to earn a monetary bonus. Our findings reveal that subjects exhibit risk-aversion to…