We introduce a new approach to showing existence of equilibrium in models of economies with unbounded short sales. Inspired by the pioneering works of Hart (1974) on asset market models, Grandmont (1977) on temporary economic equilibrium, and of Werner (1987) on general equilibrium exchange...

We introduce a new approach to showing existence of equilibrium in models of economies with unbounded short sales. Inspired by the pioneering works of Hart (1974) on asset market models, Grandmont (1977) on temporary economic equilibrium, and of Werner (1987) on general equilibrium exchange...

Price discrepancies, although at odds with mainstream finance, are persistent phenomena in financial markets. These apparent mispricings lead to the presence of ‘arbitrageurs’, who aim to exploit the resulting profit opportunities, but whose role remains controversial. This article...

For market games which feature multiple posts for each commodity we show the following: (i) the 'law of one price' obtains asymptotically as the number of market participants becomes infinite, irrespectively of the characteristics of market participants; (ii) as the number of markets increases...

We consider a pure exchange financial economy, where rational agents, possibly asymmetrically informed, forecast prices privately, with no model of how they are determined. Therefore, agents face both 'exogenous uncertainty', on the future state of nature, and 'endogenous uncertainty', on the...

In [5], we proposed a general equilibrium model, with incomplete financial markets and asymmetric information, where agents forecasted prices privately without rational expectations. Consistently, they anticipated idiosyncratic sets of future prices, and elected probability laws on these sets,...

In three related papers, we consider a pure exchange financial economy, where agents may observe private information signals, form private anticipations and face an "exogenous uncertainty", on the future state, and an "endogenous uncertainty", on the future prices. At a sequential equilibrium,...

We consider a pure exchange financial economy, where agents observe private information signals, form private anticipations and face an "exogenous uncertainty" on the future state, and an "endogenous uncertainty", on the future prices. At a sequential equilibrium, all agents expect the "true"...

We consider a pure exchange economy, with incomplete financial markets, where agents face an "exogenous uncertainty", on the future state of nature and an "endogenous uncertainty", on the future price in each random state. Namely, every agents forms price anticipations on each spot market,...

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume, intermediation costs (such as breadth) etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In...