Testing Lead-Lag Effects under Game-Theoretic Efficient Market Hypotheses

Testing Lead-Lag Effects under Game-Theoretic Efficient Market Hypotheses

A game-theoretic efficient market hypothesis says that a trading strategy will not multiply the capital it risks substantially relative to a specified market index. This implies that the autocorrelation of returns with respect to the index will be small and that a signal x will have approximately the same lead-lag effect on all traded securities. These predictions do not depend on assumptions a...

A Study of Autocorrelatons and Lead-Lag Effects Using Game-Theoretic Efficient-Market Hypotheses

This paper studies predictions concerning autocorrelations and other lead-lag effects that can be derived from game-theoretic efficient market hypotheses (GEMHs). A GEMH posits that a simple trading strategy will not multiply the capital it risks substantially relative to a specified market index. This implies constraints on autocorrelations and other lead-lag effects measured relative to the i...

Reactive Power Compensation Game under Prospect-Theoretic Framing Effects

Reactive power compensation is an important challenge in current and future smart power systems. However, in the context of reactive power compensation, most existing studies assume that customers can assess their compensation value, i.e., Var unit, objectively. In this paper, customers are assumed to make decisions that pertain to reactive power coordination. In consequence, the way in which t...

Game-theoretic Study of Electricity Market Mechanisms

Game-theoretic Models of Market Structure

This paper reviews the recent literature on game-theoretic models of market structure and their empirical implementation.