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The Evolution of Contestable Markets: A Computing Simulation
Stochastic Pattern Contestable Computing Simulation
2013/2/23
This paper introduces a computing simulation of the evolution of contestable markets. The results show that the evolving outcome of contestable markets is a monopoly when the market demand is fixed. T...
We study how information perturbations can destabilize two-sided matching markets. In our model, agents arrive on the market over two periods, while agents in the first period do not know the types of...
Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
nonlinear PDEs illiquid markets option pricing invariant reductions
2010/10/21
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinea...
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors...
Diagnosis and Prediction of Market Rebounds in Financial Markets
negative bubble rebound positive feedback pattern recognition trading strategy
2010/10/19
We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these n...
Groupthink: Collective Delusions in Organizations and Markets
Groupthink Organizational Culture Overconfi dence Morale Market exuberance Manias Speculative bubbles Market crashes Financial crisis Toxic assets Wishful thinking Cognitive dissonance Anticipatory feelings Psychology
2014/3/13
This article investigates collective denial and willful blindness in groups, organizations, and markets.Agents with anticipatory preferences, linked through an interaction structure, choose how to int...
Water Markets: Australia’s Murray-Darling Basin and the US Southwest
Water Markets Australia’s Murray-Darling Basin the US Southwest
2014/6/24
Worldwide supplies of fresh water are increasingly scarce relative to demand. This problem is likely to be exacerbated with climate change. In this paper, we examine water markets in both Australia’s ...
The Price of Sin: The Effects of Social Norms on Markets
The Price of Sin The Effects Social Norms Markets
2014/3/18
We provide evidence for the effects of social norms on markets by studying “sin” stocks—publicly traded companies involved in producing alcohol, tobacco, and gaming. We hypothesize that there is a soc...
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of t...
An example of a stochastic equilibrium with incomplete markets
stochastic equilibrium incomplete markets
2010/11/1
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterog...
Optimal Trade Execution in Illiquid Markets
optimal trade execution liquidity modeling discrete order books Markov-modulated Poisson process
2010/10/29
We study optimal trade execution strategies in nancial markets with discrete orderow.
The agent has a nite liquidation horizon and must minimize price impact given a random number of incoming trade...
Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
double-auction markets stochastic Bid-Ask spread
2010/12/13
Statistical properties of double-auction markets with Bid-Ask spread in market order are investigated through the response function. We first attempt to utilize the so-called Madhavan-Richardson-Room...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...
From short to fat tails in financial markets: A unified description
financial markets unified description
2010/12/13
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified descripti...
We provide a simple framework for comparing market allocations with government-regulated allocations. Governments can collect information about individuals’ types and enforce transfers across individu...