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NOT ALL RIVALS LOOK ALIKE: ESTIMATING AN EQUILIBRIUM MODEL OF THE RELEASE DATE TIMING GAME
LOOK ALIKE THE RELEASE DATE TIMING GAM
2015/7/17
The number of Americans who go to the
movies varies dramatically over the course of
the year, and sometimes more than doubles
within a period of two weeks. At the same time,
the first week a...
A Multi Period Equilibrium Pricing Model
Time inconsistent control incomplete market equilibrium price
2012/6/5
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. ...
On the Existence of Bertrand-Nash Equilibrium Prices Under Logit Demand
Bertrand-Nash Equilibrium Prices Logit Demand
2011/1/4
This article presents a proof of the existence of Bertrand-Nash equilibrium prices with multi-product firms and under the Logit model of demand that does not rely on restrictive assumptions on product...
Punctuated Equilibrium and Power Law in Economic Dynamics
Punctuated Equilibrium Power Law Economic Dynamics
2011/1/4
An interesting toy model has recently been proposed on Schumpeterian economic dynamics by Thurner {\it et al.} following the idea of economist Joseph Schumpeter. Punctuated equilibrium dynamics is sho...
Equilibrium distributions in gas-like economic models: an analytical derivation
econophysics economic models molecular dynamics
2010/10/22
A step by step procedure to derive analytically the exact steady state probability density function of well known kinetic wealth exchange economic models is shown. This gives as a result an integro-d...
How sensitive are equilibrium pricing models to real-world distortions?
Instability Non-equilibrium dynamics
2010/10/22
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficienc...
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...
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.