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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.

Suggested Citation

  • Jörnsten, Kurt & Ubøe, Jan, 2005. "Efficient Statistical Equilibria in Markets," Discussion Papers 2005/2, Norwegian School of Economics, Department of Business and Management Science.
  • Handle: RePEc:hhs:nhhfms:2005_002

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    References listed on IDEAS

    1. Krebs, Tom, 1997. "Statistical Equilibrium in One-Step Forward Looking Economic Models," Journal of Economic Theory, Elsevier, vol. 73(2), pages 365-394, April.
    2. Foley Duncan K., 1994. "A Statistical Equilibrium Theory of Markets," Journal of Economic Theory, Elsevier, vol. 62(2), pages 321-345, April.
    3. repec:cup:apsrev:v:63:y:1969:i:02:p:521-525_26 is not listed on IDEAS
    4. 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.
    5. Kurt Jörnsten & Inge Thorsen & Jan Ubøe, 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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    Cited by:

    1. Uboe, Jan & Lillestol, Jostein, 2007. "Benefit efficient statistical distributions on patient lists," Journal of Health Economics, Elsevier, vol. 26(4), pages 800-820, July.
    2. Jörnsten, Kurt & Kleppe, Gisle & Thorsen, Inge & Ubøe, Jan, 2007. "Modeling Heterogeneity in Trip-distributions with Partial Information," Discussion Papers 2007/23, Norwegian School of Economics, Department of Business and Management Science.

    More about this item


    Commodity markets; statistical equilibria; efficient probability measures;

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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