SSRN Author: Maxim SakharovMaxim Sakharov SSRN Content
https://www.ssrn.com/author=2866213
https://www.ssrn.com/rss/en-usWed, 16 Jan 2019 04:47:24 GMTeditor@ssrn.com (Editor)Wed, 16 Jan 2019 04:47:24 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: Fiat Money Oligopolistic Economy With Labor/Leisure Trade-Off and Equilibrium DefaultWe are constructing an imperfect competition general equilibrium model, with non-consumable money and labor market; our toolkit is an equilibrium default model of Shubik-Wilson (1978). Our result has an ‘equilibrium volatility’ simultaneously occurring at all three markets: labor, goods, and credit market, with a fixed money supply from a bank.<br><br>A worker and an entrepreneur strategically and simultaneously trade at the three markets. Players are uncertain about each other’s actions, and do not have a convergence of common beliefs of common knowledge. It is impossible to calculate equilibrium mixed strategies exactly, but it is possible to identify some Pareto-efficient strategies and study induced prices, wages, interest rates, default, allocations and payoffs, which are all volatile, and their fluctuations are not independent. We present an equilibrium result, when a total value of default is bigger than total money supply.
https://www.ssrn.com/abstract=3311967
https://www.ssrn.com/1755678.htmlTue, 15 Jan 2019 14:28:39 GMTNew: Equilibrium Market Volatility in Imperfect Competition of General EquilibriumWe develop a theory of equilibrium market volatility in a general equilibrium duopoly with complete information. The resulting economic system possesses a property, which can be described as ‘natural volatility’ of markets, even if players have complete information.<br><br>Economy is described as a strategic market game where every player has market power as a buyer and a seller. Players are uncertain about each other’s actions, and due to the properties of expected utility maximization there is no convergence of common beliefs of common knowledge to unique mixed strategies equilibrium, hence, rational expectations approach cannot be applied. <br><br>Volatility at the market appears from a multiplicity of equilibrium mixed strategies; they cannot be computed precisely, but only approximated. We identify several Pareto-efficient strategies and study induced prices, allocations and payoffs, which are all volatile. <br>
https://www.ssrn.com/abstract=3311978
https://www.ssrn.com/1754187.htmlThu, 10 Jan 2019 14:12:52 GMTNew: A Note on Price Instability in General EquilibriumWe are developing a theory of equilibrium market instability in a general equilibrium duopoly caused merely by strategic trade. An economy is described as a strategic market game, where players have market power as buyers and sellers. First order conditions of individual decisions are first kind integral equations of Fredholm, with probability distributions as unknown variables. The game has multiple mixed strategies as Nash equilibria, which cannot be constructed precisely. Resulting market price does not have information discovery properties. We demonstrate the multiplicity of Pareto-improving pure strategies, and their induced prices and allocations, which can described as 'natural instabilities' within markets.
https://www.ssrn.com/abstract=3239955
https://www.ssrn.com/1722855.htmlTue, 11 Sep 2018 19:34:39 GMTNew: Impossibility of Stable Equilibrium PriceWe develop a theory of equilibrium market instability in a general equilibrium duopoly caused merely by strategic trade. An economy is described as a strategic market game, where players have market power as buyers and sellers.
First order conditions of individual decisions are the first kind integral equations of Fredholm with probability distributions as unknown variables. The game has multiple mixed strategies Nash equilibria, any of which can be constructed exactly. Hence players do not have a converging belief system. This imposes a restriction to existence of common beliefs of common knowledge, rational expectations equilibrium, information discovery property of market price. We demonstrate multiplicity of Pareto-improving pure strategies, induced prices and allocations, what can be a 'natural instability' of a market.
https://www.ssrn.com/abstract=3193283
https://www.ssrn.com/1703134.htmlWed, 27 Jun 2018 05:13:06 GMTNew: Instability of Equilibrium PriceWe develop a theory of market instability caused by strategic trade with complete information and without outside shocks. We focus on general equilibrium duopoly as a strategic market game with infinite strategies, and a pricing mechanism. First order conditions of the game are the 1-st kind integral equations of Fredholm, which have many solutions.
A solution is a probability distribution and can be approximated only. We suggest a modification of Tikhonov regularization for their numerical approximation. Impossibility to construct a unique and exact solution imposes a restriction on existence of converging common beliefs of players about actions of each other, on existence of rational expectations, and on price discovery property of the market, although the market is informationally efficient. Approximated price has unremovable instabilities, `natural instabilities', specific to parameters of a chosen approximation. Our result is also related to existence of sun-spot equilibrium, ...
https://www.ssrn.com/abstract=3102043
https://www.ssrn.com/1660689.htmlMon, 22 Jan 2018 16:34:03 GMTREVISION: Natural Instability of Equilibrium PricesWe develop a theory of market instability caused by strategic trade with complete information and without outside shocks. We focus on general equilibrium duopoly as a strategic market game with infinite strategies, and a pricing mechanism. First order conditions of the game are the 1-st kind integral equations of Fredholm, which have many solutions.
A solution is a probability distribution and can be approximated only. We suggest a modification of Tikhonov regularization for their numerical approximation. Impossibility to construct a unique and exact solution imposes a restriction on existence of converging common beliefs of players about actions of each other, on existence of rational expectations, and on price discovery property of the market, although the market is informationally efficient.
Approximated price has unremovable instabilities, `natural instabilities', specific to parameters of a chosen approximation.
Our result is also related to existence of sun-spot equilibrium, ...
https://www.ssrn.com/abstract=3100363
https://www.ssrn.com/1659305.htmlWed, 17 Jan 2018 05:31:50 GMT