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Can Markets Compute Equilibria?

Can Markets Compute Equilibria? »

Source: Can Markets Compute Equilibria?

Volume/Issue: 2009/24

Series: IMF Working Papers

Author(s): Hunter Monroe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2009

ISBN: 9781451871715

Keywords: Nash equilibria, bounded rationality, computational complexity, problems, polynomial, arithmetic, computation,

Recent turmoil in financial and commodities markets has renewed questions regarding how well markets discover equilibrium prices, particularly when those markets are highly complex. A relatively new critique questi...

A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle

A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle »

Source: A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle

Volume/Issue: 2011/179

Series: IMF Working Papers

Author(s): Marco Marini , and Tommaso Di Fonzo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

ISBN: 9781462311293

Keywords: Benchmarking, Movement preservation, Linearly equality constrained non-linear optimization, Newton&;amp;#x2019;s method, optimization, minimization, statistics, computation, Methodology for Collecting, Estimating

This work presents a new technique for temporally benchmarking a time series according to the growth rates preservation principle (GRP) by Causey and Trager (1981). A procedure is developed which (i) transforms the...

Reviving the Competitive Storage Model

Reviving the Competitive Storage Model »

Source: Reviving the Competitive Storage Model : A Holistic Approach to Food Commodity Prices

Volume/Issue: 2011/64

Series: IMF Working Papers

Author(s): Norbert Funke , Weifeng Wu , and Yanliang Miao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455228065

Keywords: Food commodity prices, Competitive storage model, Rational expectation equilibrium, real interest rate, price elasticity, kurtosis, skewness, real interest rates, Computational Techniques,

We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating...

Can Markets Compute Equilibria?

Can Markets Compute Equilibria? »

Volume/Issue: 2009/24

Series: IMF Working Papers

Author(s): Hunter Monroe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2009

DOI: http://dx.doi.org/10.5089/9781451871715.001

ISBN: 9781451871715

Keywords: Nash equilibria, bounded rationality, computational complexity, problems, polynomial, arithmetic, computation,

Recent turmoil in financial and commodities markets has renewed questions regarding how well markets discover equilibrium prices, particularly when those markets are highly complex. A relatively new critique questi...

A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle

A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle »

Volume/Issue: 2011/179

Series: IMF Working Papers

Author(s): Marco Marini , and Tommaso Di Fonzo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

DOI: http://dx.doi.org/10.5089/9781462311293.001

ISBN: 9781462311293

Keywords: Benchmarking, Movement preservation, Linearly equality constrained non-linear optimization, Newton&;amp;#x2019;s method, optimization, minimization, statistics, computation, Methodology for Collecting, Estimating

This work presents a new technique for temporally benchmarking a time series according to the growth rates preservation principle (GRP) by Causey and Trager (1981). A procedure is developed which (i) transforms the...

Reviving the Competitive Storage Model
			: A Holistic Approach to Food Commodity Prices

Reviving the Competitive Storage Model : A Holistic Approach to Food Commodity Prices »

Volume/Issue: 2011/64

Series: IMF Working Papers

Author(s): Norbert Funke , Weifeng Wu , and Yanliang Miao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

DOI: http://dx.doi.org/10.5089/9781455228065.001

ISBN: 9781455228065

Keywords: Food commodity prices, Competitive storage model, Rational expectation equilibrium, real interest rate, price elasticity, kurtosis, skewness, real interest rates, Computational Techniques,

We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating...