The present work uses statistical mechanics tools to investigate the dynamics of markets, prices, trades and wealth distribution. We studied the evolution of market dynamics in different stages of historical development by analyzing commodity prices from two distinct periods : ancient Babylon, and medieval and early modern England. We find that the first-digit distributrions of both Babylon and England commodity prices follow Benford's Law, indicating that the data represent empirical observations typically arising from a free market. Further, we find that the normalized prices of both Babylon and England agricultural commodities are characterized by stretched exponential distributions, and exhibit persistent correlations of a power law type over long periods of up to several centuries, in contrast to contemporary markets. Our findings suggest that similar market interactions may underlie the dynamics of ancient agricultural commodity prices, and that these interactions may remain stable across centuries. To further investigate the dynamics of markets, we present the analogy between transfers of money between individuals and the transfer of energy through particle collisions by means of the kinetic theory of gases. We introduce a theoretical framework of how micro rules of trading lead to the emergence of income and wealth distribution. Particularly, we study the effects of different types of distribution of savings/investments among individuals in a society and different welfare/subsidies redistribution policies. Results show that while considering savings propensities, the models approach empirical distributions of wealth quite well. The effect of redistribution better captures specific features of the distributions which earlier models failed to do. Moreover, the models still preserve the exponential decay observed in empirical income distributions reported by tax data and surveys. / by Natalia E. Romero. / Vita. / Thesis (Ph.D.)--Florida Atlantic University, 2012. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2012. Mode of access: World Wide Web.

Wong Chung Yiu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 56-59). / Abstracts in English and Chinese. / List of Appendices / Chapter Chapter 1. --- Introduction / Chapter Chapter 2. --- Literature Review / Chapter 2.1 --- Literature Review on Tourism / Chapter 2.2 --- Literature Review on Production Externalities / Chapter 2.3 --- Literature Review on Unemployment / Chapter Chapter 3. --- The Basic Model and Elfects of Tourism / Chapter 3.1 --- The Basic Model / Chapter 3.2 --- Effects of Tourism on Residents' Welfare / Chapter 3.3 --- Concluding Remarks / Chapter Chapter 4. --- "Tourism, Unemployment and Residents.' Welfare" / Chapter 4.1 --- The Model / Chapter 4.2 --- EU'ects of Tourism on Residents' Welfare / Chapter 4.3 --- Concluding Remarks / Chapter Chapter 5. --- "Tourism, Capital Accumulation and Welfare" / Chapter 5.1 --- The Model / Chapter 5.2 --- "Effects of Tourism on Residents"" Welfare" / Chapter 5.3 --- Concluding Remarks / Chapter Chapter 6. --- Concluding Remarks / References / List of Appendices / Chapter A.1 --- Stability condition in equations (36) and (51) / Chapter A.2 --- Comparative statics in equation (60) / Chapter A.3 --- dPN/dΔ and dK/dΔ in equations (68) and (69) / Chapter A.4 --- Solutions of the system (**)

Chapter 2 provides the literature survey on investor protection and liquidity provision. Work in related studies and the latest developments in these areas are reviewed. / Chapter 3 coven the institutional details of the Hong Kong stock market and the specification of datasets. The descriptive statistics of the trading activities of the sample companies are also presented. An understanding of these descriptive statistics is useful in choosing the appropriate theoretical model and econometric techniques in the analysis. Apart form using regression analysis to investigate the impacts of transitory volatility on market depth and order-flow composition; additional control measures are also implemented. For instance, matched samples based on market depth, transitory volatility, daily trading volume, etc. are constructed. Statistical Tests are employed to investigate the influence of investor protection. / Chapter 4 presents the results of the regression models. Apart form investigating the impacts of transitory volatility on market depth and order-flow composition, this chapter also contributes to the literature by examining the distinction (of this interaction) between companies under different regulatory environment. It is found that the liquidity replenishments for Hong Kong-based companies are more rapid than their Chinese counterparts. The results show that companies ruled by strict governance regulations provide more liquidity when liquidity is most needed. Additional test results also suggest that this difference is robust to various control criteria. / Chapter 5 gives the summary and conclusions. / In this dissertation, data on the Hong Kong Exchange (HKEx) are employed. The Hong Kong equity market lists companies from distinct investor protection environments. These companies are traded under the same market mechanism even though they have different levels of legal protection for investors e.g. Hang Seng Index (HSI) Constituents versus H-shares/red chips. The HKEx is also a very good example of pure order driven markets. Stock prices are determined by the buy and sell orders submitted by traders without liquidity providers of the last resort. Therefore, the Hong Kong equity market provides a unique opportunity to compare the liquidity replenishment process across diverse regulatory environments, but still under one pure order driven market trading with the same mechanism and currency. The choice of Hong Kong data is also justified on the grounds of the size of the Hong Kong market and the increasing importance of Hong Kong in worldwide financial market. / The purpose of this dissertation is to examine the importance of investor protection for the dynamics between liquidity provision and transitory volatility in a pure order-driven market. I posit that environments with better investor protection lead to a more stable ecological system of the supply and the demand of liquidity. / This dissertation has five chapters. Chapter 1 is the introduction that covers the motivation and major findings of the dissertation. / Leung Chung Ho. / "June 2007." / Adviser: Raymond So. / Source: Dissertation Abstracts International, Volume: 69-01, Section: A, page: 0320. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 305-308). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Recent studies of the environmental Kuznets curve raise questions regarding the relationship between environmental indicators and GDP and the fundamental reasons that explain this relationship. In response, this thesis presents one-sector and two-sector models to analyze the alternative causal relationships between an environmental indicator and GDP at different stages of economic development. These models analyze how economic scale, technology, preferences, and economic structure influence the causality and shape of the relationship. These theoretical studies are followed by two empirical studies. The first tests the causal relationship between CO2 emissions and GDP in Canadian manufacturing industries. The second explores several factors as the fundamental causes that influence the CO2 emissions in the same industries. Factors, such as economic scale, preferences, technological progress, structural change, and energy input, are found to be crucial in the determination of CO2 emissions. The empirical results are positive, but there are data limitations. The empirical studies can be re-evaluated as more data becomes available.

Présenté à l'origine comme thèse (de doctorat)--Freie Universität, Berlin, 2004. / "with 12 figures and tables". In SpringerLink. Titre de l'écran-titre (visionné le 13 juil. 2007). Bibliogr.: p. [143]-155. Publié aussi en version papier.

Operations Management / (M.Sc.(Operation Research))

Doctorat en sciences sociales, politiques et économiques / info:eu-repo/semantics/nonPublished

Doctorat en sciences sociales, politiques et économiques / info:eu-repo/semantics/nonPublished

No description available.

Advertising is the economic engine of the internet. It allows online platforms to fund services that are free at the point of use, while providing businesses the opportunity to target their ads at relevant users. The mechanism of choice for selling these advertising opportunities is real-time auctions: whenever a user visits the platform, an auction is run among interested advertisers, and the winner gets to display their ad to the user. The entire process runs in milliseconds and is implemented via automated algorithms which bid on behalf of the advertisers in every auction. These automated bidders take as input the high-level objectives of the advertiser like value-per-click and budget, and then participate in the auctions with the goal of maximizing the utility of the advertiser subject to budget constraints. Thus motivated, this thesis develops a theory of bidding in auctions under budget constraints, with the goal of informing the design of automated bidding algorithms and analyzing the market-level outcomes that emerge from their simultaneous use. First, we take the perspective of an individual advertiser and tackle algorithm-design questions. How should one bid in repeated second-price auctions subject to a global budget constraint? What is the optimal way to incorporate data into bidding decisions? Can data be incorporated in a way that is robust to common forms of variability in the market? As we analyze these questions, we go beyond the problem of bidding under budget constraints and develop algorithms for more general online resource allocation problems. In Chapter 2, we study a non-stationary stochastic model of sequential auctions, which despite immense practical importance has received little attention, and propose a natural algorithm for it. With access to just one historical sample per auction/distribution, we show that our algorithm attains (nearly) the same performance as that possible under full knowledge of the distributions, while also being robust to distribution shifts which typically occur between the sampling and true distributions. Chapter 3 investigates the impact of uncertainty about the total number of auctions on the performance of bidding algorithms. We prove upper bounds on the best-possible performance that can be achieved in the face of such uncertainty, and propose an algorithm that (nearly) achieves this optimal performance guarantee. We also provide a fast method for incorporating predictions about the total number of auctions into our algorithm. All of our proposed algorithms implement some version of FTRL/Mirror-Descent in the dual space, making them ideal for large-scale low-latency markets like online advertising. Next, we look at the market as a whole and analyze the equilibria which emerge from the simultaneous use of automated bidding algorithms. For example, we address questions like: Does an equilibrium always exist? How does the auction format (first-price vs second-price) impact the structure of the equilibria? Do automated bidding algorithms always efficiently converge to some equilibrium? What are the social welfare properties of these equilibrium outcomes? We systematically examine such questions using a variety of tools, ranging from infinite-dimensional fixed-point arguments for proving existence of structured equilibria, to computational complexity results about finding them. In Chapter 4, we start by establishing the existence of equilibria based on pacing—a practically-popular and theoretically-optimal budget management strategy—for all standard auctions, including first-price and second-price auctions. We then leverage its structure to establish a revenue equivalence result and bound the price of anarchy of liquid welfare. Chapter 5 looks at the market from a computational lens and investigates the complexity of finding pacing-based equilibria. We show that the problem is PPAD complete, which in turn implies the impossibility of polynomial-time convergence of any pacing-based automated bidding algorithms (under standard complexity-theoretic assumptions). Finally, in Chapter 6, we move beyond pacing-based strategies and investigate throttling, which is another popular method for managing budgets in practice. Here, we describe a simple tâtonnement-style algorithm which efficiently converges to an equilibrium in first-price auctions, and show that no such algorithm exists for second-price auctions (under standard complexity-theoretic assumptions). Furthermore, we prove tight bounds on the price of anarchy for liquid welfare, and compare platform revenue under throttling and pacing.