Pricing efficiency in livestock auction markets: A two‐tier frontier approach

Allocative Efficiency Considerations in Online Auction Markets

Allocative inefficiencies in online auction markets can result in the loss of revenues for sellers. It can also cause frustration for buyers who fail to win an item despite placing bids higher than other winners. The main contention of this work is that allocative inefficiencies present arbitrage opportunities, though not strictly in the traditional financial market sense, where risk-free profi...

MIGA in Frontier Markets

Increased Efficiency through Pricing in Online Labor Markets

We present a matching-pricing algorithm for online information labor markets motivated by exploratory study of Amazon Mechanical Turk (AMT). The algorithm addresses many of the challenges surfaced by the AMT study. We find that AMT pricing is largely done using rules of thumb, which results in inaccurate pricing. Such pricing leads to either excessive costs for employers or low income for worke...

Implied trees in illiquid markets: A Choquet pricing approach

Implied trees are necessary to implement the risk neutral valuation approach and standard methodologies for their derivation are based on the validity of the Put Call Parity. However, in illiquid markets the Put Call Parity fails to hold and the uniqueness of the artificial probabilities leaves room to an interval. The contribution of this paper is twofold. First we propose a methodology for th...

A Robust Approach to Hedging and Pricing in Imperfect Markets

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits a solution and pric...