6,375 research outputs found

    Agent-based Modeling And Market Microstructure

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    In most modern financial markets, traders express their preferences for assets by making orders. These orders are either executed if a counterparty is willing to match them or collected in a priority queue, called a limit order book. Such markets are said to adopt an order-driven trading mechanism. A key question in this domain is to model and analyze the strategic behavior of market participants, in response to different definitions of the trading mechanism (e.g., the priority queue changed from the continuous double auctions to the frequent call market). The objective is to design financial markets where pernicious behavior is minimized.The complex dynamics of market activities are typically studied via agent-based modeling (ABM) methods, enriched by Empirical Game-Theoretic Analysis (EGTA) to compute equilibria amongst market players and highlight the market behavior (also known as market microstructure) at equilibrium. This thesis contributes to this research area by evaluating the robustness of this approach and providing results to compare existing trading mechanisms and propose more advanced designs.In Chapter 4, we investigate the equilibrium strategy profiles, including their induced market performance, and their robustness to different simulation parameters. For two mainstream trading mechanisms, continuous double auctions (CDAs) and frequent call markets (FCMs), we find that EGTA is needed for solving the game as pure strategies are not a good approximation of the equilibrium. Moreover, EGTA gives generally sound and robust solutions regarding different market and model setups, with the notable exception of agents’ risk attitudes. We also consider heterogeneous EGTA, a more realistic generalization of EGTA whereby traders can modify their strategies during the simulation, and show that fixed strategies lead to sufficiently good analyses, especially taking the computation cost into consideration.After verifying the reliability of the ABM and EGTA methods, we follow this research methodology to study the impact of two widely adopted and potentially malicious trading strategies: spoofing and submission of iceberg orders. In Chapter 5, we study the effects of spoofing attacks on CDA and FCM markets. We let one spoofer (agent playing the spoofing strategy) play with other strategic agents and demonstrate that while spoofing may be profitable in both market models, it has less impact on FCMs than on CDAs. We also explore several FCM mechanism designs to help curb this type of market manipulation even further. In Chapter 6, we study the impact of iceberg orders on the price and order flow dynamics in financial markets. We find that the volume of submitted orders significantly affects the strategy choice of the other agents and the market performance. In general, when agents observe a large volume order, they tend to speculate instead of providing liquidity. In terms of market performance, both efficiency and liquidity will be harmed. We show that while playing the iceberg-order strategy can alleviate the problem caused by the high-volume orders, submitting a large enough order and attracting speculators is better than taking the risk of having fewer trades executed with iceberg orders.We conclude from Chapters 5 and 6 that FCMs have some exciting features when compared with CDAs and focus on the design of trading mechanisms in Chapter 7. We verify that CDAs constitute fertile soil for predatory behavior and toxic order flows and that FCMs address the latency arbitrage opportunities built in those markets. This chapter studies the extent to which adaptive rules to define the length of the clearing intervals — that might move in sync with the market fundamentals — affect the performance of frequent call markets. We show that matching orders in accordance with these rules can increase efficiency and selfish traders’ surplus in a variety of market conditions. In so doing, our work paves the way for a deeper understanding of the flexibility granted by adaptive call markets

    Reading Greek and Hellenistic-Roman Spolia:Objects, Appropriation and Cultural Change

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    Plundering and taking home precious objects from a defeated enemy was a widespread activity in the Greek and Hellenistic-Roman world. In this volume literary critics, historians and archaeologists join forces in investigating this phenomenon in terms of appropriation and cultural change. In-depth interpretations of famous ancient spoliations, like that of the Greeks after Plataea or the Romans after the capture of Jerusalem, reveal a fascinating paradox: while the material record shows an eager incorporation of new objects, the texts display abhorrence of the negative effects they were thought to bring along. As this volume demonstrates, both reactions testify to the crucial innovative impact objects from abroad may have

    Essays in Behavioral Economics and Game Theory

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    This thesis consists of three papers. Chapter 1 conducts experimental research on individual bounded rationality in games, Chapter 2 introduces a novel equilibrium solution concept in behavioral game theory, and Chapter 3 investigates confirmation bias within the framework of game theory. In Chapter 1 (joint with Wei James Chen and Po-Hsuan Lin), we investigate individual strategic reasoning depths by matching human subjects with fully rational computer players in a lab, allowing for the isolation of limited reasoning ability from beliefs about opponent players and social preferences. Our findings reveal that when matched with robots, subjects demonstrate higher stability in their strategic thinking depths across games, in contrast to when matched with humans. In Chapter 2 (joint with Po-Hsuan Lin and Thomas R. Palfrey), we investigate how players’ misunderstanding about the relationship between opponents’ private information and strategies influence their equilibrium behavior in dynamic environments. This theoretical study introduces a framework that extends the analysis of cursed equilibrium from the strategic form to multi-stage games and applies it to various applications in economics and political science. In Chapter 3, I employ a game-theoretic framework to model how decision makers strategically interpret signals, particularly when they face a utility loss from holding beliefs that differ from their partners. The study reveals that the emergence of confirmation bias is positively associated with the strength of prior beliefs about a state, while the impact of signal accuracy remains ambiguous.</p

    LIPIcs, Volume 251, ITCS 2023, Complete Volume

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    LIPIcs, Volume 251, ITCS 2023, Complete Volum

    Spectrum auctions: designing markets to benefit the public, industry and the economy

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    Access to the radio spectrum is vital for modern digital communication. It is an essential component for smartphone capabilities, the Cloud, the Internet of Things, autonomous vehicles, and multiple other new technologies. Governments use spectrum auctions to decide which companies should use what parts of the radio spectrum. Successful auctions can fuel rapid innovation in products and services, unlock substantial economic benefits, build comparative advantage across all regions, and create billions of dollars of government revenues. Poor auction strategies can leave bandwidth unsold and delay innovation, sell national assets to firms too cheaply, or create uncompetitive markets with high mobile prices and patchy coverage that stifles economic growth. Corporate bidders regularly complain that auctions raise their costs, while government critics argue that insufficient revenues are raised. The cross-national record shows many examples of both highly successful auctions and miserable failures. Drawing on experience from the UK and other countries, senior regulator Geoffrey Myers explains how to optimise the regulatory design of auctions, from initial planning to final implementation. Spectrum Auctions offers unrivalled expertise for regulators and economists engaged in practical auction design or company executives planning bidding strategies. For applied economists, teachers, and advanced students this book provides unrivalled insights in market design and public management. Providing clear analytical frameworks, case studies of auctions, and stage-by-stage advice, it is essential reading for anyone interested in designing public-interested and successful spectrum auctions

    An Analysis of Consumer Response to Plant-based Meat Alternative Labelling Policy

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    Plant-based meat alternatives, defined as products made with plant-based protein that imitate the taste, texture, and appearance of real meat, have been subject to rapid market growth in recent years. These products tend to appeal to consumers who are actively reducing their meat consumption, typically due to concerns about animal welfare, environmental sustainability, or health issues. The simulant nature of these products introduces the need for regulation of labels to facilitate informed consumer decision-making when selecting meat and plant-based alternatives at the grocery store. In Canada, guidelines exist which regulate the use of meat-related terms (e.g., burger, ground, etc.) on the labels of plant-based meat alternatives, nutritional content, and other aspects of these products. While meat-related terms are permitted in Canada, provided certain disclaimers are also present, some jurisdictions abroad have banned such labels entirely. In Canada, some meat industry groups have called for the removal of such terms, and in 2020 the Canadian Food Inspection Agency (CFIA) conducted a consultation on its guidelines for plant-based meat alternative labelling. Despite a dynamic policy environment, research that investigates the consumer demand effects of plant-based meat alternative labelling policy remains elusive. A survey of 1203 Canadian consumers was conducted to assess the consumer demand effects of different regulatory approaches to the use of meat-related terms on plant-based meat alternative labels. The survey included a discrete choice experiment, where respondents were assigned to one of three labelling treatments – unregulated labels, current Canadian regulations, and a meat-related terms ban. Choice sets featured ground beef and plant-based alternatives with varying attributes and prices. The choice experiment facilitated the investigation of two secondary research objectives: consumer response to regulated protein label claims, and an assessment of preference heterogeneity for plant-based meat alternatives under different labelling policy scenarios. The data was analyzed using multinomial logit, random parameters logit, and latent class logit models, eliciting marginal utility and willingness-to-pay estimates for the attributes and policy effects. Results show that the labelling policy environment does impact consumer preferences for ground beef and plant-based alternatives. Ground beef is preferred by most consumers in the Canadian market under all three labelling treatments. Further, consumers prefer meat alternatives in an unregulated market relative to the current Canadian regulations and the meat-related terms ban treatments. On average, consumers exhibit similar reductions in willingness-to-pay under the two regulated treatments. However, these effects diverge when preference heterogeneity is accounted for. Five classes of consumers were identified in the latent class logit model, with varying preferences, characteristics, and responses to labelling policy. Preferences for protein claims are generally strong and positive, and there is a significant degree of heterogeneity in preferences for products, attributes, and labelling policy frameworks. The analysis reveals numerous insights into both market and policy issues of plant-based meat alternative labelling. It is in the firm’s best interest to utilize meat-related terms on product labels. However, the disparity in preferences among policy treatments indicates that the provision of information in the form of label disclaimers alongside meat-related terms likely provides valuable information to consumers who may be confused or inattentive otherwise

    The theory of wasting assets with reference to the regulation and pricing of gold in the South African gold mining industry

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    The main aim of this thesis is to present and critically analyse the theory of wasting assets with regard to extractive mineral industries in general and to the pricing and regulation of gold . ii'" particular. Furthermore, to consider the contention that the. price of minerals {such as gold) has been "too low11 in the current generation and that market forces have· led to a 11 too rapid11 depletion of these · resources. The argument that H is the government's duty to intervene and extend the lives of the mines is· also queried •. A detailed examination of the South African· gold mining taxation formula attempts to show how this type of· government intervention (in the for in of .a sliding scale taxation formula) results in uneconomic act ions by mine owners and non-optimal extraction patterns of the resource The contention is put forward that, given certain considerations, market ibrces should lead to the most optimal use of an exhaustible resource where property rights exist and are def inable0 Unlike common property resources, such as the fisheries, where market .forces fail to make the most optimal use of the resource, government intervention is unjustified The scope of the paper is intended to cover both the underlying theory of wasting assets and to relate this theory to gold in part icu1 ar., The determinants of the gold price will be considered as well as the effects of government intervention via· the gold mining taxation formula on the South· African gold mining industry. Hence, the thesis is divided into two sections: "Theoretical 11 and "Gold and Gold Mining". With regard to the method of paper - Literature. from as far back ,· as 1931 regarding .the theory of wasting assets, was collected and .analysed. The information for the section on 11 Gold and Gold Mining" was collected from the various organisations involved in the industry, notably the Chamber of Mines _and the Mineral Engineering Department . . 9f the University of the Witwatersrand. Information regarding the Gold Mining Taxation and Lease Formulae was obtained from the various Government Reports that have been printed since the introduction of the Mining Taxation. Act No. 6 in 191

    MARKETING CHANNELS AND PROFIT MAXIMIZATION FOR SWINE PRODUCERS IN FREE STATE OF SOUTH AFRICA

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    The purpose of this paper is to propose a workable and effective marketing channel intended to assist Free State swine producers to maximize profit. This study is motivated by the fact that the previous millennium witnessed the agricultural product market changing from a predominantly producer dominated market approach to a demanding, well informed, consumer dominated market. This call for the validation of similar studies in order to formulate informed marketing channel that will enhance profit maximization for swine producers in the Free State. The primary data was sourced using semi-structured questionnaire, while the secondary information was generated from existing / available relevant literature journals / periodicals. A judgmental sampling technique was used to determine the sample size of 80 swine producers. Regression analysis and Pearson Product Moment Correlation Co-efficient (PPMC), were used while the Analysis of variance (ANOVA) statistical tool was used to test the hypotheses with the aid of Statistical Packages for Social Sciences (SPSS) version 22.0. The finding showed that the different marketing channels adopted by the swine producers has no significant difference in the marketing channels adopted by swine producers in Free State. The knowledge of effective marketing channel will help the swine farmers to reduce cost of production and thereby maximize profit
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