Generalized gradients, bid–ask spreads, and market equilibrium. (4th March 2019)

• Record Type: Journal Article
• Authors: Flåm, Sjur Didrik
• Is Part Of: Optimization. Volume 68:Number 2/3(2019)
• Page Start: 579
• Page End: 592
• Publication Date: 2019-03-04
• Subjects: Generalized gradients -- bid–ask spreads -- money -- prices -- substitutions; 90C25 -- 90C56 -- 91B50; Mathematical optimization -- Periodicals; 519.7
• DOI: 10.1080/02331934.2019.1583752
• Languages: English
• ISSNs: 0233-1934

Abstract

Abstract: This paper considers economies in which each agent valuates various goods by own generalized gradients . Taken together and appropriately scaled, the latter determine bid–ask spreads . When all such spreads are nil, market equilibrium prevails. Crucial for the arguments is a money commodity which denominates agents' rates of exchange or substitution. Equilibrium obtains when rates coincide across agents. The results may facilitate detailed modelling of market micro-structure, direct deals, and agent-based computations.