Research Seminars

Dependence into Mortality Data: Projections by Lee Carter Models

Speaker(s): 
Valeria D'Amato
Date: 
Monday, November 11, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Link Prediction in Graphs with time-evolving Features

Speaker(s): 
Stéphane Gaïffas (Ecole Polytechnique)
Date: 
Wednesday, November 6, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Simulation of conditional diffusions via forward--reverse stochastic representations

Speaker(s): 
Christian Bayer (WIAS Berlin)
Date: 
Thursday, October 31, 2013 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

On one inverse problem of financial mathematics with error in the operator

Speaker(s): 
Denis Belomestny (Universität Essen)
Date: 
Wednesday, October 30, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Model-Free Volatilities

Speaker(s): 
Christopher Hian-Ann Ting (Singapore Management University)
Date: 
Monday, October 28, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Bayesian posterior consistency and contraction rates in the Shape Invariant Model

Speaker(s): 
Dominique Bontemps (Université Paul Sabatier)
Date: 
Wednesday, October 23, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

An equilibrium model for commodity spot and forward prices

Speaker(s): 
Michail Anthropelos (University of Piraeus)
Date: 
Thursday, October 17, 2013 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Model for Price and Trades High-Frequency Dynamics

Speaker(s): 
Emmanuel Bacry (Ecole Polytechnique Paris)
Date: 
Monday, July 8, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Decentralized Exchange

Speaker(s): 
Semyon Malamud (Ecole Polytechnique Fédérale de Lausanne)
Date: 
Thursday, July 4, 2013 - 5:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

We develop an equilibrium model of decentralized trading that accommodates any coexisting exchanges including networks and more general, common market structures represented by hypergraphs. The model allows for any number of strategic traders and multiple divisible assets. We characterize equilibrium and welfare, and develop comparative statics with respect to preferences, assets, and market structures. Changes in market structure that increase price impact may increase total welfare.

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