相关论文: Amortized Analysis of Asynchronous Price Dynamics

Computing market equilibria is a problem of both theoretical and applied interest. Much research to date focuses on the case of static Fisher markets with full information on buyers' utility functions and item supplies. Motivated by…

This paper investigates the stability and convergence properties of asynchronous stochastic approximation (SA) algorithms, with a focus on extensions relevant to average-reward reinforcement learning. We first extend a stability proof…

Tie-line scheduling in multi-area power systems in the US largely proceeds through a market-based mechanism called Coordinated Transaction Scheduling (CTS). We analyze this market mechanism through a game-theoretic lens. Our analysis…

A profound link between Homogeneous Dynamics and Diophantine Approximation is based on an observation that Diophantine properties of a real matrix $B$ are encoded by the corresponding lattice $\Lambda_B$ translated by a multi-parameter…

In this paper, we show that if every consumer in an economy has a quasi-linear utility function, then the normalized equilibrium price is unique, and is locally stable with respect to the t\^atonnement process. Our study can be seen as that…

One attractive approach to market dynamics is the level $k$ model in which a level $0$ player adopts a very simple response to current conditions, a level $1$ player best-responds to a model in which others take level $0$ actions, and so…

In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…

Investigating potential purchases is often a substantial investment under uncertainty. Standard market designs, such as simultaneous or English auctions, compound this with uncertainty about the price a bidder will have to pay in order to…

In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The pricing functional is defined as the…

A Fisher market is an economic model of buyer and seller interactions in which each buyer's utility depends only on the bundle of goods she obtains. Many people's interests, however, are affected by their social interactions with others. In…

Two issues of algorithmic collusion are addressed in this paper. First, we show that in a general class of symmetric games, including Prisoner's Dilemma, Bertrand competition, and any (nonlinear) mixture of first and second price auction,…

A paradigm of statistical mechanics of financial markets (SMFM) is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by…

Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…

Variational algorithms have gained prominence over the past two decades as a scalable computational environment for Bayesian inference. In this article, we explore tools from the dynamical systems literature to study convergence of…

We discuss the influence of information contagion on the dynamics of choices in social networks of heterogeneous buyers. Starting from an inhomogeneous cellular automata model of buyers dynamics, we show that when agents try to adjust their…

We give in this paper a convergence result concerning parallel asynchronous algorithm with bounded delays to solve a nonlinear fixed point problems. This result is applied to calculate the solution of a strongly monotone operator. Special…

Predatory pricing -- where a firm strategically lowers prices to undermine competitors -- is a contentious topic in dynamic oligopoly theory, with scholars debating practical relevance and the existence of predatory equilibria. Although…

The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…

Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…