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Losing the auction at an affordable price generates loser regret. In third price auctions if bidders anticipate loser regret, then in line with the experimental findings, in a symmetric equilibrium t...
Comments on ‘Relative Shocks, Relative Price Variability and Inflation’ by Stanley Fisher.
This paper takes as given the principle that long-run price stability should be the central goal of monetary policy. The purpose of the paper is to discuss conceptual issues pertinent to the task of...
The effects of three different inflationary environments—high inflation, low inflation, and negative inflation—on real output stability are examined by looking at the experiences of Japan and the U...
The last decade has seen a burst of micro price studies. Many studies analyze data underlying national CPIs and PPIs. Others focus on more granular sub-national grocery store data. We review these stu...
Reset Price Inflation and the Impact of Monetary Policy Shocks.
The first result is that the price of attention for similar consumers is actually higher online than offline. In 2008, newspapers earned $2.78 per hour of attention in print, and $3.79 per hour ...
Price Discrimination in the Housing Market。
The failure of competition and the consequent high and sticky interest rates in credit card markets have recently been the subject of considerable debate and research. This paper presents the first re...
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the u...
Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...
Abstract: A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of...
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gath...
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact...

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