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A Simulation-Based Heuristic to Find Approximate Equilibria with Disaggregate Demand Models

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A Multiagent Model of Efficient and Sustainable Financial Markets

In this paper, we introduce a model of a financial market as a multiagent repeated game where the players are market makers. We formalize the concept of market making and the parameters of the game. Our main contribution is a framework that combines game t ...

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In discrete choice modeling (DCM), model misspecifications may lead to limited predictability and biased parameter estimates. In this paper, we propose a new approach for estimating choice models in which we divide the systematic part of the utility specif ...

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Operational route choice methodologies for practical applications

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Does protectionist anti-takeover legislation lead to managerial entrenchment?

Marc André Frattaroli

I study a protectionist anti takeover law introduced in 2014 that covers a subset of all firms in the economy. The law decreased affected firms' likelihood of becoming the target of a merger or acquisition and had a negative impact on shareholder value. Th ...

ELSEVIER SCIENCE SA2020

A demand-based optimization approach to find market equilibria in oligopolies

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Oligopolistic competition occurs often in transportation as well as in other markets due to reasons such as barriers to entry, limited capacity of the infrastructure and external regulations. In transport oligopolies, suppliers are profit maximizers and ta ...

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A disaggregate choice-based approach to find epsilon-equilibria of oligopolistic markets

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Oligopolistic competition occurs when a small number of operators compete for the same pool of customers. This is often the case in transportation, due to reasons such as external regulations, economies of scale and limited capacity of the infrastructure. ...

2019

In a multi-unit market, a seller brings multiple units of a good and tries to sell them to a set of buyers that have monetary endowments. While a Walrasian equilibrium does not always exist in this model, natural relaxations of the concept that retain its ...

AAAI Press Palo Alto2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

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We study a robust monopoly pricing problem with a minimax regret objective, where a seller endeavors to sell multiple goods to a single buyer, only knowing that the buyer's values for the goods range over a rectangular uncertainty set. We interpret this pr ...

2018