Related papers: Large Deviations Theory of Increasing Returns
Growing network models can potentially be a useful tool in the development of economic theory. This work introduces an "opportunistic attachment" mechanism where incoming nodes, in deciding where to join a network, consider features of the…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
We study the discrete Bertrand pricing game with a non-increasing demand function. The game has $n \ge 2$ players who simultaneously choose prices from the set $\{1/k, 2/k, \ldots, 1\}$, where $k\in\mathbb{N}$. The player who sets the…
Economic competition between humans leads to income inequality, but, so far, there has been little understanding of underlying quantitative mechanisms governing such a collective behavior. We analyze datasets of household income from 67…
In the multi-unit pricing problem, multiple units of a single item are for sale. A buyer's valuation for $n$ units of the item is $v \min \{ n, d\} $, where the per unit valuation $v$ and the capacity $d$ are private information of the…
Consider a monopolist selling $n$ items to an additive buyer whose item values are drawn from independent distributions $F_1,F_2,\ldots,F_n$ possibly having unbounded support. Unlike in the single-item case, it is well known that the…
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
We provide sufficient conditions for revenue maximization in a two-good monopoly where the buyer's values for the items come from independent (but not necessarily identical) distributions over bounded intervals. Under certain distributional…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic interaction among investors, with investors deciding their…
Innovation records often exhibit "hockey-stick" patterns of abrupt, near-singular growth at the collective level. However, this macroscopic explosiveness stands in stark contrast to individual discovery, which remains bounded by cognitive…
In the context of a large class of stochastic processes used to describe the dynamics of wealth growth, we prove a set of inequalities establishing necessary and sufficient conditions in order to avoid infinite wealth concentration. These…
We study the multi-item mechanism design problem where a monopolist sells $n$ heterogeneous items to a single buyer. We focus on buy-many mechanisms, a natural class of mechanisms frequently used in practice. The buy-many property allows…
Maximum Entropy is a powerful concept that entails a sharp separation between relevant and irrelevant variables. It is typically invoked in inference, once an assumption is made on what the relevant variables are, in order to estimate a…
Arthur [1,2] provided a model to explain the circumstances that lead to technological lock-in into a specific trajectory. We contribute substantially to this area of research by investigating the circumstances under which technological…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…