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Dynamic Directed Random Matching

Darrell Duffie, Lei Qiao and Yeneng Sun
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Lei Qiao: National University of Singapore
Yeneng Sun: National University of Singapore

Research Papers from Stanford University, Graduate School of Business

Abstract: We demonstrate the existence of a continuum of agents conducting directed random searches for counterparties, and characterize the implications. Our results provide the first probabilistic foundation for static and dynamic directed random search (including the matching function approach) that is commonly used in the search-based models of financial markets, monetary theory, and labor economics. The agents' types are shown to be independent discrete-time Markov processes that incorporate the effects of random mutation, random matching with match-induced type changes, and with the potential for enduring partnerships that may have randomly timed break-ups. The multi-period cross-sectional distribution of types is shown to be deterministic via the exact law of large numbers.

Date: 2015-11
New Economics Papers: this item is included in nep-dge, nep-mac, nep-mic and nep-sea
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Related works:
Journal Article: Dynamic directed random matching (2018) Downloads
Working Paper: Dynamic Directed Random Matching (2017) Downloads
Working Paper: Dynamic Directed Random Matching (2015) Downloads
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