Double auction dynamics: structural effects of non-binding price controls
Article Abstract:
A simple dynamic model of double auction markets with 'zero intelligence' (ZI) computer traders that accounts for many of the differences between the data and the Walrasian tatonnement prediction is developed. It is shown that the simple ZI model is a powerful tool to gain insights into the dynamics of market institutions.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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Price uncertainty and consumer welfare in an intertemporal setting
Article Abstract:
The way in which increases in intertemporal price uncertainty affect the welfare of a consumer is examined. On the basis of the examination, it is shown that when saving rates are sensitive to the elasticity of intertemporal substitution (EIS) then there are important counterexamples to the intuitive case.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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Dynamic asset pricing theory with uncertain time-horizon
Article Abstract:
The problem of pricing and hedging a random cash-flow received at an uncertain time horizon is addressed by using dynamic asset pricing theory.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
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