Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...

This thesis addresses a problem at the nexus of engineering, computer science, and economics: in large scale, decentralized systems, how can we efficiently allocate scarce resources among competing interests? On one hand, constraints are imposed on the system designer by the inherent...