net revenues. The result is a two price equilibrium. Equilibrium solutions applied to financial market data infer demand … inference of a market implied duration of the equilibrium. The median duration is around a minute and half with an interquartile …

Rational expectations equilibria (REE) assume that the ex post equilibrium price function is able to reveal ex ante … competitive equilibrium concept of rationalizable information equilibria (RIE). Our formal analysis establishes that (i) the RIE …

This paper studies equilibrium uniqueness in multi-asset noisy rational expectations economies with asymmetric … information, an extension of Grossman and Stiglitz (1980). We show the existence of a linear equilibrium, and prove its uniqueness …

This paper studies equilibrium uniqueness in standard noisy rational expectations economies with asymmetric or … differential information a la Grossman and Stiglitz (1980) and Hellwig (1980). We show that the standard linear equilibrium of … Grossman and Stiglitz (1980) is the unique equilibrium with a continuous price function. However, we also construct a tractable …

information is sufficiently small, a continuum of equilibrium strategies. Imperfect observation of past prices reduces the … continuum of Nash equilibria to a Strongly Rational-Expectations Equilibrium. In that equilibrium, there are two sharply …

In this note we generalize the Negishi approach to equilibrium. We embed a standard one-period exchange economy into a … satisfying the lower Inada condition, and prove the existence of equilibrium by working with the space of agents' first …

A single condition, limited arbitrage, is shown to be necessary and sufficient for the existence of a competitive … equilibrium and the core in economies with any number of markets, finite or infinite, with or without short sales. This extends … that in Hilbert spaces limited arbitrage is necessary and sufficient for the compactness of the Pareto frontier . Limited …

A single condition, limited arbitrage, is shown to be necessary and sufficient for the existence of a competitive … equilibrium and the core in economies with any number of markets, finite or infinite, with or without short sales. This extends … proving that in Hilbert spaces limited arbitrage is necessary and sufficient for the compactness of the Pareto frontier …