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The limit-price exchange process

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  • Gaël Giraud

    ()
    (CERMSEM)

Abstract

We define a continuous-time trading process for Arrow-Debreu exchange economies such that (1) At each time, myopic traders play a (weakly) dominant strategy in Mertens' (2003) limit price strategic market game ; (2) existence of continuous trade curves holds under weak conditions and in particular even if there is no static Walras equilibrium ; (3) every trade curve converges to some Pareto optimal point ; (4) for a generic choice of utilities and initial endowments, there is a piecewise unique trade curve, which is smooth and depends continuously upon initial conditions ; (5) in the 2 x 2 case, for every interior starting point, the vector field corresponding to our dynamics is real-analytic ; moreover, trade and price curves can be fully characterized and numerically simulated.

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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b04118.

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Length: 54 pages
Date of creation: Sep 2004
Date of revision:
Handle: RePEc:mse:wpsorb:b04118

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Related research

Keywords: Non-tâtonnement; price-quantity dynamics; temporary equilibrium; limit-price mechanism; myopia.;

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References

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Citations

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Cited by:
  1. Gaël Giraud, 2010. "Financial Crashes versus liquidity trap : the dilemma of monetary policy," Documents de travail du Centre d'Economie de la Sorbonne 10014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  2. Gaël Giraud & Dimitrios P. Tsomocos, 2010. "Nominal Uniqueness and Money Non-neutrality in the Limit-Price Exchange Process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00505141, HAL.
  3. Gaël Giraud & Céline Rochon, 2010. "Transition to Equilibrium in International Trades," Documents de travail du Centre d'Economie de la Sorbonne 10012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  4. Gaël Giraud, 2010. "Financial crashes versus liquidity trap : the dilemma of monetary policy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00657047, HAL.
  5. Gaël Giraud, 2004. "Walrasian non-tâtonnement with incomplete and imperfect markets," Cahiers de la Maison des Sciences Economiques b04119, Université Panthéon-Sorbonne (Paris 1).
  6. Gaël Giraud & Céline Rochon, 2010. "Transition to Equilibrium in International Trades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00657038, HAL.
  7. Gaël Giraud, 2007. "Walrasian Non-tâtonnement with Incomplete and Imperfectly Competitive Markets," Post-Print halshs-00155717, HAL.
  8. Gaël Giraud & Céline Rochon, 2010. "Transition to Equilibrium in International Trades," Post-Print halshs-00657038, HAL.

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