Related papers: On measures of unfairness and an optimal currency …
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
This paper explores the gain maximization problem of two nations engaging in non-cooperative bilateral trade. Probabilistic model of an exchange of commodities under different price systems is considered. Volume of commodities exchanged…
The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…
We consider the impact of fairness requirements on the social efficiency of truthful mechanisms for trade, focusing on Bayesian bilateral-trade settings. Unlike the full information case in which all gains-from-trade can be realized and…
In this paper, we design two chapters to discuss trade dynamics with heterogeneous fluctuations, contributing new insights to macroeconomic issues related to international trade. In the first chapter, we model general exchange rate…
For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
Human behavioural patterns exhibit selfish or competitive, as well as selfless or altruistic tendencies, both of which have demonstrable effects on human social and economic activity. In behavioural economics, such effects have…
As the widely applied method for measuring matching assortativeness in a transferable utility matching game, a matching maximum score estimation is proposed by \cite{fox2010qe}. This article reveals that combining unmatched agents,…
There has been much recent work on the revenue-raising properties of truthful mechanisms for selling goods to selfish bidders. Typically the revenue of a mechanism is compared against a benchmark (such as, the maximum revenue obtainable by…
This paper analizes the optimal level of transfer pricing manipulation when the expected tax penalty is a function of the tax enforcement and the market price parameter. The arm's length principle implies the existence of a range of…
In this paper, I consider a simple heterogeneous agents model of a production economy with uncertain climate change and examine constrained efficient carbon taxation. If there are frictionless, complete financial markets, the simple model…
We extend the QLBS model by reformulating via considering a large trader whose transactions leave a permanent impact on the evolution of the exchange rate process and therefore affect the price of contingent claims on such processes.…
We analyze an operational policy for a multinational manufacturer to hedge against exchange rate uncertainties and competition. We consider a single product and single period. Because of long-lead times, the capacity investment must done…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
A review of the main fairness definitions and fair learning methodologies proposed in the literature over the last years is presented from a mathematical point of view. Following our independence-based approach, we consider how to build…
We adapt the method used by Jaynes to derive the equilibria of statistical physics to instead derive equilibria of bounded rational game theory. We analyze the dependence of these equilibria on the parameters of the underlying game,…
In the so-called ``fair'' models of peer-to-peer wealth exchanges, economic inequality tends to reach its maximum value asymptotically. This global trend is evident as the richest continuously accumulate a larger share of wealth at the…
It is well known that a game equilibrium can be far from efficient or fair, due to the misalignment between individual and social objectives. The focus of this paper is to design a new mechanism framework that induces an efficient and fair…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…