Implementing Arrow-Debreu Equilibria by Trading Infinitely-Lived Securities

Implementing Arrow-debreu Equilibria by T Rading Innnitely-lived Securities

Noisy Arrow - Debreu Equilibria ∗

I develop a noisy rational expectations equilibrium model with a continuum of states and a full set of options that render the market complete. I show a major difference in equilibrium behavior between models with constant absolute risk aversion (CARA) and non-CARA preferences. First, when informed traders have non-CARA preferences, all equilibria are fully revealing, independent of the amount ...

Spending Is Not Easier Than Trading: On the Computational Equivalence of Fisher and Arrow-Debreu Equilibria

It is a common belief that computing a market equilibrium in Fisher’s spending model is easier than computing a market equilibrium in Arrow-Debreu’s exchange model. This belief is built on the fact that we have more algorithmic success in Fisher equilibria than ArrowDebreu equilibria. For example, a Fisher equilibrium in a Leontief market can be found in polynomial time, while it is PPAD-hard t...

Linear Arrow-Debreu market equilibrium

We study the linear Arrow-Debreu’s model and derive a fix point method to find the market equilibrium. The convergence of this method is proved, while the speed is unknown. Besides that, properties about utility distribution and the partition of buyers are also studied. I. PROBLEM DEFINITION The problems of market equilibrium were initially studied in the domain of mathematical economics. We st...

Ranking via Arrow-Debreu Equilibrium

In this paper, we establish a connection between ranking theory and general equilibrium theory. First of all, we show that the ranking vector of PageRank or Invariant method is precisely the equilibrium of a special Cobb-Douglas market. This gives a natural economic interpretation for the PageRank or Invariant method. Furthermore, we propose a new ranking method, the CES ranking, which is minim...