Two Trees: Asset Price Dynamics Induced by Market Clearing

A Dynamic Market Clearing Price Mechanism with Multiple Demands*

We propose a dynamic selling procedure for the generalization of the buyer-seller market game of Shapley and Shubik (1972) to the case where buyers can purchase more than one indivisible object, up to their quota, and have separable and additive utilities. This mechanism generalizes the auction studied by Demange et al. (1986), which in its turn is a generalization of the English auction to the...

Speculative behaviour and complex asset price dynamics

This paper analyses the dynamics of a model of a share market consisting of two groups of traders: fundamentalists, who form rational expectations on the fundamental value of the asset, and chartists, who base their trading decisions on an analysis of past price trends. The model is reduced to a two-dimensional map whose dynamic behaviour is analysed in detail, particularly with respect to glob...

Heterogeneous Traders, Price-volume Signals, and Complex Asset Price Dynamics

We seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the more they believe in the persistence of the current price trend. Simulations of our nonlinear deter...

Endogenous asset market segmentation : interest rate dynamics

Market clearing price and equilibria of the progressive second price mechanism

The Progressive Second Price mechanism (PSP), recently introduced by Lazar and Semret to share an infinitely-divisible resource among users through pricing, has been shown to verify very interesting properties. Indeed, the incentive compatibility property of that scheme, and the convergence to an efficient resource allocation where established, using the framework of Game Theory. Therefore, tha...