As a PhD student the standard macroecononomics education I have received (and continue to receive) revolves around the most realistic model of market structure ive seen to date, that being sequential markets. I've seen the equivalence to the equilibrium outcomes of the arrow debreu market structure (which is computationally simpler on pen and paper).

What I havent seen is a textbook formally speaking about sequential markets and solving such problems with a legrangian, rather ive seen many of printouts on the topic with no real "orgin text" for the concept.

When were sequential markets first talked about?

  • $\begingroup$ As far as I know, two beginning points are 1. Arrow (1968) The Role of Securities in the Optimal Allocation of Risk-bearing, and 2. Radner, R. (1982). Equilibrium under Uncertainty. $\endgroup$ – Walrasian Auctioneer Feb 3 at 23:50

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