Related papers: Why Transaction Cost Economics Failed and How to F…

Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of…

We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that…

This paper shows that a well designed transport system has an embedded exchange value by serving as a market for potential exchange between consumers. Under suitable conditions, one can improve the welfare of consumers in the system simply…

Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic…

We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…

In a legal dispute, parties engage in a series of negotiations so as to arrive at a reasonable settlement. The parties need to present a fair and reasonable bargain in order to induce the WTA, willingness to accept of the plaintiff and the…

Transaction processing has been an active area of research for several decades. A fundamental characteristic of classical transaction processing protocols is non-determinism, which causes them to suffer from performance issues on modern…

A general framework is given to analyze the falsifiability of economic models based on a sample of their observable components. It is shown that, when the restrictions implied by the economic theory are insufficient to identify the unknown…

Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…

Data are invaluable. How can we assess the value of data objectively, systematically and quantitatively? Pricing data, or information goods in general, has been studied and practiced in dispersed areas and principles, such as economics,…

Off-chain transaction channels represent one of the leading techniques to scale the transaction throughput in cryptocurrencies. However, the economic effect of transaction channels on the system has not been explored much until now. We…

Buying or selling assets leads to transaction costs for the investor. On one hand, it is well know to all market practionaires that the transaction costs are positive on average and present therefore systematic loss. On the other hand, for…

In this paper, we undertake a comprehensive survey of key trends and innovations in the development of research-based and commercial micropayment systems. Based on our study, we argue that past solutions have largely failed because research…

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,…

Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solution of DT-NT-DT form for an arbitrary model in which the the…

Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…

In the paper we study markets with concave transaction costs which depend in a concave way on the volume of transaction. This is typical situation in the case of small investors, which commonly appears in currency and real estate markets.…

The origins of economic behavior remain unresolved-not only in the social sciences but also in AI, where dominant theories often rely on predefined incentives or institutional assumptions. Contrary to the longstanding myth of barter as the…

The aim of this paper is to reemphasize the money theory of exchange which is centered on the function of exchange medium of money, and make a contribution towards linearization of the quantity equation of exchange. A dynamical quantity…

We consider a refinement to the notions of collusion-resistance in transaction fee mechanisms. In particular, we require that the collusion is by itself incentive-compatible and individually rational to all of its participants. We then…