论文信息 - Volatility and efficiency in markets with friction

Volatility and efficiency in markets with friction

We consider a game theoretic model where multiple suppliers and consumers interact continuously by setting prices in a dynamic market with friction. Using stochastic differential equations to model the dynamics with friction, we investigate the equilibrium, and analyze the efficiency of the market under an integrated expected cost function. We provide an intriguing efficiency-volatility tradeoff theorem.

Arman C. Kizilkale | Shie Mannor | Shie Mannor | A. Kizilkale

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