Title :
Volatility and efficiency in markets with friction
Author :
Kizilkale, Arman C. ; Mannor, Shie
Author_Institution :
Dept. of Electr. & Comput. Eng., McGill Univ., Montreal, QC, Canada
fDate :
Sept. 29 2010-Oct. 1 2010
Abstract :
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.
Keywords :
differential equations; power markets; stochastic games; dynamic market with friction; efficiency-volatility tradeoff theorem; game theoretic model; integrated expected cost function; market efficiency; stochastic differential equations; Biological system modeling; Cost function; Equations; Games; Mathematical model; Process control; Production;
Conference_Titel :
Communication, Control, and Computing (Allerton), 2010 48th Annual Allerton Conference on
Conference_Location :
Allerton, IL
Print_ISBN :
978-1-4244-8215-3
DOI :
10.1109/ALLERTON.2010.5706887
