Quantification of preferences in markets

Kurt Jörnsten and Jan Ubøe

Journal of Mathematical Economics, 2010, vol. 46, issue 4, 453-466

Abstract: In this paper we quantify agent preferences in a market. In our framework every agent has a utility level associated with each transaction, and we assume that the probability of a feasible market transaction increases with an increase in total utility. It is surprising to observe that this simple behavioral principle induces a usually unique probability measure that can be constructed by a fast numerical algorithm. This unusual combination of a rigorous model and a fast numerical algorithm makes it possible to construct a well-defined set of preferences that implies a set of observed commodity prices.

Keywords: Agent; preferences; Efficient; markets; Statistical; equilibria; Commodity; prices; Entropy (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:46:y:2010:i:4:p:453-466

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