相关论文: A Theory of Market Efficiency

We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…

Complex networks are at the core of an intense research activity. However, in most cases, intricate and costly measurement procedures are needed to explore their structure. In some cases, these measurements rely on link queries: given two…

It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…

Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…

We focus on the aggregation of distributed energy resources (DERs) through a profit-maximizing intermediary that enables participation of DERs in wholesale electricity markets. Particularly, we study the market efficiency brought in by the…

Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…

Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…

Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…

In this paper, we examine in an abstract framework, how a tradeoff between efficiency and robustness arises in different dynamic oligopolistic market architectures. We consider a market in which there is a monopolistic resource provider and…

The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…

Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…

Networks are useful for describing systems of interacting objects, where the nodes represent the objects and the edges represent the interactions between them. The applications include chemical and metabolic systems, food webs as well as…

In this paper we develop a methodology to analyze and compare multiple global networks. We focus our analysis on the relation between human migration and trade. First, we identify the subset of products for which the presence of a community…

In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…

We study an energy market composed of producers who compete to supply energy to different markets and want to maximize their profits. The energy market is modeled by a graph representing a constrained power network where nodes represent the…

Much of the analysis of economic growth has focused on the study of aggregate output. Here, we deviate from this tradition and look instead at the structure of output embodied in the network connecting countries to the products that they…

We study a continuous-time dynamical system of nodes diffusively coupled over a hierarchical network to examine the efficiency and performance tradeoffs that organizations, teams, and command and control units face while achieving…

Spatial networks are a powerful framework for studying a large variety of systems belonging to a broad diversity of contexts: from transportation to biology, from epidemiology to communications, and migrations, to cite a few. Spatial…

Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction…

I prove that if markets are weak-form efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be verified in polynomial time can also be…