DocumentCode
2419611
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
fYear
2010
fDate
Sept. 29 2010-Oct. 1 2010
Firstpage
50
Lastpage
57
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Communication, Control, and Computing (Allerton), 2010 48th Annual Allerton Conference on
Conference_Location
Allerton, IL
Print_ISBN
978-1-4244-8215-3
Type
conf
DOI
10.1109/ALLERTON.2010.5706887
Filename
5706887
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