Concept

Incomplete markets

Publications associées (31)

AI-driven Prices for Externalities and Sustainability in Production Markets

Boi Faltings, Aris Filos Ratsikas, Panayiotis Danassis

Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus harvest, for everyone) ...

Cornell University2023

From scattered sources to comprehensive technology landscape : A recommendation-based retrieval approach

Karl Aberer, Chi Thang Duong

Mapping the technology landscape is crucial for market actors to take informed investment decisions. However, given the large amount of data on the Web and its subsequent information overload, manually retrieving information is a seemingly ineffective and ...

ELSEVIER2023

Scalable Multi-agent Coordination and Resource Sharing

Panayiotis Danassis

A plethora of real world problems consist of a number of agents that interact, learn, cooperate, coordinate, and compete with others in ever more complex environments. Examples include autonomous vehicles, robotic agents, intelligent infrastructure, IoT de ...

EPFL2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...

EPFL2022

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

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 ...

2020

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

Strategic Durability with Sharing Markets

Thomas Alois Weber, Maryam Razeghian Jahromi

Electronic sharing markets are contributing to a paradigm shift, from consuming products to accessing products. This paper studies the effects of sharing markets on the prices for new products and on product design in terms of durability. In a dynamic econ ...

2019

Unspanned stochastic volatility in the multifactor CIR model

Damir Filipovic, Martin Larsson, Francesco Statti

Empirical evidence suggests that fixed-income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin-Dufresne and Goldstein (2002, Journal of Finance, 57, ...

2018

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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