CaltechAUTHORS
  A Caltech Library Service

Convergence of incentive-driven dynamics in Fisher markets

Dvijotham, Krishnamurthy and Rabani, Yuval and Schulman, Leonard J. (2020) Convergence of incentive-driven dynamics in Fisher markets. Games and Economic Behavior . ISSN 0899-8256. (In Press) https://resolver.caltech.edu/CaltechAUTHORS:20201217-133744650

[img] PDF - Accepted Version
See Usage Policy.

671Kb

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20201217-133744650

Abstract

We study out-of-equilibrium price dynamics in Fisher markets. We develop a general framework in which sellers have (a) a set of atomic price update rules (APU), which are simple responses to a price vector; (b) a belief-formation procedure that simulates actions of other sellers (themselves using the APU) to some finite horizon in the future. Sellers use an APU to respond to a price vector they generate with the belief formation procedure. The framework allows sellers to have inconsistent and time-varying beliefs about each other. Under mild and natural assumptions on the APU, we show that despite the inconsistent and time-varying nature of beliefs, the market converges to a unique equilibrium at a linear rate (distance to equilibrium decreases exponentially in time). If the APU are driven by weak-gross substitutes demands, the equilibrium point is the same as predicted by those demands.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/j.geb.2020.11.005DOIArticle
https://resolver.caltech.edu/CaltechAUTHORS:20170214-145943460Related ItemConference Paper
ORCID:
AuthorORCID
Dvijotham, Krishnamurthy0000-0002-1328-4677
Schulman, Leonard J.0000-0001-9901-2797
Additional Information:© 2020 Elsevier. Received 18 October 2018, Available online 14 December 2020. KD was supported by a fellowship from the Caltech Center for the Mathematics of Information. YR was supported in part by ISF grant 956-15, BSF grant 2012333 and I-CORE Algo. LJS was supported in part by NSF grants 1319745, 1618795, 1909972, and BSF grant 2012333. An earlier version of this paper appeared in Proc. 28th SODA, 2017.
Funders:
Funding AgencyGrant Number
Caltech Center for Mathematics of InformationUNSPECIFIED
Israel Science Foundation956-15
Binational Science Foundation (USA-Israel)2012333
I-CORE Program of the Planning and Budgeting CommitteeUNSPECIFIED
NSFCCF-1319745
NSFCCF-1618795
NSFCCF-1909972
Subject Keywords:Fisher markets; Disequilibrium; Market dynamics; Bounded rationality; Best response; Level k model
Record Number:CaltechAUTHORS:20201217-133744650
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20201217-133744650
Official Citation:Krishnamurthy Dvijotham, Yuval Rabani, Leonard J. Schulman, Convergence of incentive-driven dynamics in Fisher markets, Games and Economic Behavior, 2020, , ISSN 0899-8256, https://doi.org/10.1016/j.geb.2020.11.005.
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:107163
Collection:CaltechAUTHORS
Deposited By: George Porter
Deposited On:17 Dec 2020 22:22
Last Modified:17 Dec 2020 22:22

Repository Staff Only: item control page