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Efficient Statistical Equilibria in Markets

Kurt Jörnsten and Jan Ubøe

No 2005/2, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

Abstract: In this paper we will study statistical equilibria in commodity markets where agents have a specified utility attached to every transaction in their offer sets. A probability measure on the product of all offer sets is called benefit efficient if market transactions with higher total benefit are more probable. We will characterize all such probability measures and show how this defines a new family of statistical equilibria in commodity markets. If agents are indifferent with respect to utility, these equilibria reduce to the classical entropy maximizing states. Moreover, we show how to construct what we call the most likely explanation for a set of observed commodity prices.

Keywords: Commodity markets; statistical equilibria; efficient probability measures (search for similar items in EconPapers)
JEL-codes: D40 D50 G10 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-05-26
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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