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Markets, Correlation, and Regret-Matching

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  • Sergiu Hart
  • Andreu Mas-Colell

Abstract

Inspired by the existing work on correlated equilibria and regret-based dynamics in games, we carry out a first exploration of the links between the leading equilibrium concept for (exchange) economies, Walrasian equilibrium, and the dynamics, specifically regret-matching dynamics, of trading games that fit the economic structure and have the property that their pure Nash equilibria implement the Walrasian outcomes. Interestingly, in the case of quasilinear utilities (or "transferable utility"), all the concepts essentially coincide, and we get simple deterministic dynamics converging to Walrasian outcomes. Connections to sunspot equilibria are also studied.

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Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 786969000000000814.

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Date of creation: 22 Sep 2013
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Handle: RePEc:cla:levarc:786969000000000814

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  1. Mas-Colell, Andreu & Whinston, Michael D. & Green, Jerry R., 1995. "Microeconomic Theory," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195102680, October.
  2. R. Aumann, 2010. "Subjectivity and Correlation in Randomized Strategies," Levine's Working Paper Archive 389, David K. Levine.
  3. Sergiu Hart & Andreu Mas-Colell, 1999. "A General Class of Adaptive Strategies," Game Theory and Information, EconWPA 9904001, EconWPA, revised 23 Mar 2000.
  4. Sergiu Hart & Andreu Mas-Colell, 1996. "A simple adaptive procedure leading to correlated equilibrium," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 200, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 1996.
  5. Forges, F., 1991. "Correlated equilibrium and sunspot equilibrium," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1991053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Hurwicz, L, 1979. "Outcome Functions Yielding Walrasian and Lindahl Allocations at Nash Equilibrium Points," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 46(2), pages 217-25, April.
  7. Young, H. Peyton, 2004. "Strategic Learning and its Limits," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780199269181, October.
  8. Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, Elsevier, vol. 9(3), pages 293-311, November.
  9. Sergiu Hart & Andreu Mas-Colell, 2001. "Regret-Based Continuous-Time Dynamics," Discussion Paper Series, The Center for the Study of Rationality, Hebrew University, Jerusalem dp309, The Center for the Study of Rationality, Hebrew University, Jerusalem, revised Apr 2003.
  10. Maskin, Eric & Tirole, Jean, 1987. "Correlated equilibria and sunspots," Journal of Economic Theory, Elsevier, Elsevier, vol. 43(2), pages 364-373, December.
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