Why Did Auction Rate Bond Auctions Fail During 2007-2008?

The auction rate bond market grew from inauspicious beginnings in 1985 to representing a significant fraction of the municipal bond market in 2007 with a total of 603 issuances that year raising more than $35 billion in capital. Since March of 2008 not a single auction rate bond has been issued. The last issuance coincided with a wave of “failures” of auction rate bond auctions during the early winter of 2008. Pundits have attributed the auction failures to a “frozen” market and hint that irrationality on the part of investors precipitated the auction failures. Missing from the headlines is that all auction rate bonds have interest rate caps that limit their yields. We find that, contrary to the impression given by news headlines, not all auctions failed and that investors rationally discriminated among bonds such that it was primarily those with low caps that experienced high failure rates. We further conclude that, in the absence of such caps, few if any, auctions would have failed.

Computer Science and Game Theory: A Brief Survey

There has been a remarkable increase in work at the interface of computer science and game theory in the past decade. In this article I survey some of the main themes of work in the area, with a focus on the work in computer science. Given the length constraints, I make no attempt at being comprehensive, especially since other surveys are also available, and a comprehensive survey book will appear shortly.Comment: To appear; Palgrave Dictionary of Economic

An investigation of the trading agent competition : a thesis presented in partial fulfilment of the requirements for the degree of Master of Science in Computer Science at Massey University, Albany, New Zealand

The Internet has swept over the whole world. It is influencing almost every aspect of society. The blooming of electronic commerce on the back of the Internet further increases globalisation and free trade. However, the Internet will never reach its full potential as a new electronic media or marketplace unless agents are developed. The trading Agent Competition (TAC), which simulates online auctions, was designed to create a standard problem in the complex domain of electronic marketplaces and to inspire researchers from all over the world to develop distinctive software agents to a common exercise. In this thesis, a detailed study of intelligent software agents and a comprehensive investigation of the Trading Agent Competition will be presented. The design of the Risker Wise agent and a fuzzy logic system predicting the bid increase of the hotel auction in the TAC game will be discussed in detail

Financial Fragmentation despite Arbitrage

If there were no impediments to the flow of capital across space, then interest rates would equalized. We provide evidence to the contrary. We find significant differences in interest rates across the South Indian state of Tamil Nadu, i.e. evidence that financial markets are fragmented. We also find evidence of limited arbitrage across financial markets. --credit constraints,informal finance

Centralized versus market-based approaches to mobile task allocation problem: State-of-the-art

Centralized approach has been adopted for finding solutions to resource allocation problems (RAPs) in many real-life applications. On the other hand, market-based approach has been proposed as an alternative to solve the problem due to recent advancement in ICT technologies. In spite of the existence of some efforts to review the pros and cons of each approach in RAPs, the studies cannot be directly applied to specific problem domains like mobile task allocation problem which is characterised with high level of uncertainty on the availability of resources (workers). This paper aims to review existing studies on task allocation problems(TAPs) focusing on those two approaches and their comparison and identify major issues that need to be resolved for comparing the two approaches in mobile task allocation problems. Mobile Task Allocation Problem (MTAP) is defined and its problematic structures are explained in relation with task allocation to mobile workers. Solutions produced by each approach to some applications and variations of MTAP are also discussed and compared. Finally, some future research directions are identified in order to compare both approaches in function of uncertainty emerging from the mobile nature of the MTAP

Scalability and robustness of a market-based network resource allocation system

In this paper, we consider issues related to scalability and robustness in designing a market-based multi-agent system that allocates bandwidth in a communications network. Specifically, an empirical evaluation is carried out to assess the system performance under a variety of design configurations in order to provide an insight into network deployment issues. This extends our previous work in which we developed an application that makes use of market-based software agents that compete in decentralised marketplaces to buy and sell bandwidth resources. Our new results show that given a light to moderate network traffic load, partitioning the network into a few regions, each with a separate market server, gives a higher call success rate than by using a single market. Moreover, a trade-off in the number of regions was also noted between the average call success rate and the number of messages received per market server. Finally, given the possibility of market failures, we observe that the average call success rates increase with an increasing number of markets until a maximum is reached