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While answering a comment, I realized I had a post-worth response. R has become the "default language" for a lot of computational research statistics (for a number of reasons; nice NYT article here). It's high level, free and open-source, and has a closely-related journal for publishing statistical algorithms. Citations and peer review are key for ...


3

There are countless models, from different perspectives (theory/econometric/etc.) on price impact of trade volume. The seminal model in market microstructure---the Kyle model (85 Econometrica) addresses this very issue. There are many descendents of this model. To demand a "formula" is a little simplistic. The usual framework for these models, if micro-...


2

The matchingMarkets package in the R software now implements two constraint encoding functions to find all stable matchings in the three most common matching problems: hri: college admissions problem (including the student and college-optimal matchings) and stable marriage problem (including men and women-optimal matching) sri: stable roommates problem. ...


2

Patrick Prosser has some great java code at http://www.dcs.gla.ac.uk/~pat/roommates/distribution/ which, among other things, can compute all the stable matchings in roommate problems. The code is for roommates problems, but Patrick's code allows preferences over roommates to include unacceptable roommates. To implement a two-sided market, just make sure any ...


2

A brute-force algorithm might not be the right way to go. Sometimes it is not even feasible for finding Nash equilibria with perfect information. This is because even if players and types are finite, BNE's are a profile of (possibly mixed) strategies that maximize the expected payoff. If the game is sequential, this expectation may depend on the own ...


2

Generally, it's a combination of 2 and 3. You can't predict that a stock will go up and down in cycles. Stock prices move randomly. Let's say you're looking at one stock, and it goes down so your algorithm buys some and waits for it to go back up. What happens if it never goes back up higher than it started as? Then you lost money. Even worse: Even if it ...


1

This sort-of happens when a currency is pegged (or similar). The central bank tries to keep its currency within the band, and it is profitable to trade on that basis. So long as investors believe that the band can hold, they will keep the price of the currency within that band on their own. However, if the credibility of the peg is questioned, it can be ...


1

I think this is a typo in the paper. As far as I see, the houses $\{h_5, h_6, h_7\}$ are not occupied, so it should be that $H_V = \{h_5, h_6, h_7\}$.


1

Depends what exactly is the authors definition of “radical markets”. A predominant consensus in the economic field is that a mixed economy which relies predominantly on market form of organization but also has government stepping in correcting major market failures and some macroeconomic management is economic system that delivers the greatest amount of ...


1

You can first find all NE. Then you check which ones are subgame-perfect. Then you proceed and check for which of the NE you can find beliefs that are consistent with the definition of PBE. You can go on and refine the set of equilibria further by kicking out all equilibria that do not satisfy the additional requirements of your stricter equilibrium concept. ...


1

In theory, the answer is yes. In practice, the answer is no, because it is computationally intractable. My take-away from talking to computer scientists was that determining a winner and computing the transfers are NP-hard problems. See, e.g., this write-up by Kirk Pruhs.


1

I found one implementation of TTC in python at http://www.dreamincode.net/forums/topic/377004-algorithmic-game-theory-top-trading-cycle-procedure/?ref=dzone. However, it does not seem to include the two additional features I was mentionning. With of without these two features : I would still love to hear about more implementation of TTC, and about ...


1

This is a pretty general algorithm, you can probably tailor a better one to your specific problem. If you stick to this discreet strategy space it seems to me you would have to find the equilibria via brute force. Basically you would look at all bid profiles $(x_1,x_2,x_3)$ and check whether it is an equilibrium. To do this, you would have to check if ...


1

I know this is a bit out of date, but there is a new package available on CRAN now called 'matchingR' which I believe is much faster than the package recommended above. You can install it with install.packages('matchingR') Also, here's a link to the source.


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