Cointegration methods are increasingly used to test for market efficiency and integration. The economic rationale for these tests, however, is generally unclear. Using a simple spatial equilibrium model to simulate equilibrium price behavior, it is shown that prices in a well-integrated,...

A computer system for implementing electronic markets on networks of personal computers is described. The program allows a researcher or teacher to design market simulations to meet a variety of goals, and records a complete set of market activities for analysis. Illustrations of example markets...

We propose a method for solving continuous-state and action-stochastic dynamic programs that is a hybrid between the continuous space projection methods introduced by Judd and the discrete space methods introduced by Bellman. Our hybrid approach yields a smooth representation of the value...