We investigate the impact of network structures describing reciprocal influence-relationships between agents on their perceived ambiguity. We argue that, under specific assumptions, the potential complexity of the link-structures creates extra uncertainty or ambiguity over the "right"...

In complete markets economies (Sandroni [15]), or in economies with Pareto optimal outcomes (Blume and Easley [9]), the market selection hypothesis holds, as long as traders have identical discount factors. Traders who survive must have beliefs that merge with the truth. We show that in...

We consider customer joining behaviour for a system that consists of a FCFS queue with Bernoulli feedback. A consequence of the feedback characteristic is that the sojourn time of a customer already in the system depends on the joining decisions taken by future arrivals to the system. By...

This paper estimates the money demand function for Jamaica using a Structural co-integrating VAR. This approach provides estimates of the long run structural relations and also reveals the complex short run feedbacks of monetary policy on key macro variables. In recent years Jamaican governments...

We use a supply-demand framework to model the hourly day-ahead spot price of electricity based on publicly available information. With the model we can forecast the level and the probability of a spike in the spot price de¯ned as the spot price being above a certain threshold. Several European...

Multi-unit common value uniform price auctions with demand function bids are in widespread use. I analyze this auction when there is an informed bidder and other uninformed bidders. In such auctions it is easy to construct equilibria in which uninformed bidders earn a positive payoff by free...

We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when...

We characterize the optimal selling mechanism in a scenario where similar goods are sold to “high end” buyers through a posted price and to “lower end” buyers through an auction. We show that the optimal mechanism involves an auction which is a standard optimal auction (Myerson (1981))...

We employ the Schwartz and Smith (2000) model to explore the dynamics of the UK gas markets. We discuss in detail the short-term and long-term market prices of risk borne by the market players and how deviations from expected cyclical storage affect the short-term market price of risk. Finally,...