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Efficient Statistical Equilibria in Markets

  • Jörnsten, Kurt

    ()

    (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration)

  • Ubøe, Jan

    ()

    (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration)

In this paper we will study statistical equilibria in commodity markets where agents have a specified utility attached to every transaction in their offer sets. A probability measure on the product of all offer sets is called benefit efficient if market transactions with higher total benefit are more probable. We will characterize all such probability measures and show how this defines a new family of statistical equilibria in commodity markets. If agents are indifferent with respect to utility, these equilibria reduce to the classical entropy maximizing states. Moreover, we show how to construct what we call the most likely explanation for a set of observed commodity prices.

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File URL: http://hdl.handle.net/11250/163586
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Paper provided by Department of Business and Management Science, Norwegian School of Economics in its series Discussion Papers with number 2005/2.

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Length: 19 pages
Date of creation: 26 May 2005
Date of revision:
Handle: RePEc:hhs:nhhfms:2005_002
Contact details of provider: Postal: NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway
Phone: +47 55 95 92 93
Fax: +47 55 95 96 50
Web page: http://www.nhh.no/en/research-faculty/department-of-business-and-management-science.aspx
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  1. Anas, Alex, 1983. "Discrete choice theory, information theory and the multinomial logit and gravity models," Transportation Research Part B: Methodological, Elsevier, vol. 17(1), pages 13-23, February.
  2. Foley Duncan K., 1994. "A Statistical Equilibrium Theory of Markets," Journal of Economic Theory, Elsevier, vol. 62(2), pages 321-345, April.
  3. Krebs, Tom, 1997. "Statistical Equilibrium in One-Step Forward Looking Economic Models," Journal of Economic Theory, Elsevier, vol. 73(2), pages 365-394, April.
  4. Kurt J�rnsten & Inge Thorsen & Jan Ub�e, 2004. "Replication/prediction problems in the journey to work," Environment and Planning A, Pion Ltd, London, vol. 36(2), pages 347-364, February.
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