相关论文: A Theory of Market Efficiency

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…

The connectivity of a network contains information about the relationships between nodes, which can denote interactions, associations, or dependencies. We show that this information can be analyzed by measuring the uncertainty (and…

Labor market institutions are central for modern economies, and their polices can directly affect unemployment rates and economic growth. At the individual level, unemployment often has a detrimental impact on people's well-being and…

Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…

Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…

We introduce the concept of communicability angle between a pair of nodes in a graph. We provide strong analytical and empirical evidence that the average communicability angle for a given network accounts for its spatial efficiency on the…

I prove that competitive market outcomes require computational intractability. If P = NP, firms can efficiently solve the collusion detection problem, identifying deviations from cooperative agreements in complex, noisy markets and thereby…

We develop a method to estimate producers' productivity beliefs when output quantities and input prices are unobservable, and we use it to evaluate the market for science. Our model of researchers' labor supply shows how their willingness…

The right performance of a supply chain depends on the pattern of relationships among firms. Although there is not a general consensus among researchers yet, many studies point that scale-free topologies, where few highly related firms are…

We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…

Efficient Market Hypothesis is the popular theory about stock prediction. With its failure much research has been carried in the area of prediction of stocks. This project is about taking non quantifiable data such as financial news…

This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…

We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…

This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…

We study deregulated power markets with strategic power suppliers. In deregulated markets, each supplier submits its supply function (i.e., the amount of electricity it is willing to produce at various prices) to the independent system…

A network effect is introduced taking into account competition, cooperation and mixed-type interaction amongst agents along a generalized Verhulst-Lotka-Volterra model. It is also argued that the presence of a market capacity enforces an…

We consider network models where information items flow %are sent from a source to a sink node. We start with a model where routing is constrained by energy available on nodes in finite supply (like in Smartdust) and efficiency is related…

We consider in a market model the cooperative emergence of value due to a positive feedback between perception of needs and demand. Here we consider also a negative feedback from production of the traded products, and find that this…

The concept of communicability is introduced for complex socio-economic networks. The communicability function expresses how an impact propagates from one place to another in the network. This function is used to define unambiguously the…

Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of…