A strategic foundation for rational expectations equilibrium is provided by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information. If there are sufficiently many buyers and sellers, and their bids are restricted to a sufficiently fine discrete set of prices, then, generically, there is an equilibrium in nondecreasing bid functions which is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double auction equilibrium is almost efficient and almost fully aggregates the agents’ information.
The pairs (or repeat) transactions index model is the most widely used method for constructing housing market index and for estimating individual house prices. However, this model is unable to provide price level information on the housing market and encounters several statistical problems when individual houses have more than two transactions. In order to overcome the shortcomings of pairs transactions model, we propose a multi transactions model with the panel data approach to estimate market index and to predict house prices. The empirical results based on 5,000 houses in Howard County Maryland demonstrate that the proposed multi transactions model: (1) can provide price level information on the housing market; (2) produces market index with smaller standard errors; (3) is more robust in terms of difference between the sub-sample estimate and full sample estimate; (4) has smaller index revision volatilities; and (5) performs better in the out-of-sample test on the prediction of individual house prices. Thus, the multi transactions model is recommended for constructing housing market index and assessing individual house prices.
中国证券市场是一个特殊的证券市场，在这个市场中，政府、上市公司、投资者等各利益集团入市都有其自己特定的目的。本文基于对各利益集团入市的目的的分析，构造出了各利益集团间的博弈模型，分析了各利益集团之间的冲突和对抗。
Abstract: The Chinese stock market is a special stock market, so that in this market, and each interest group of government, listed company, investor...etc. Appear on market to all have the particular purpose of its oneself. This text primarily pass the right each interest group the purpose that appear on market, and construct out the game of each interest group the model, from but analyzed the game between each interest group clash with resist.
The theory of storage states that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. Previous literature has tested this hypothesis using so-called “direct test” approach which employs a direct measurement of inventory levels, or the “ indirect test” approach which examines the relative variation of spot and futures prices and the relative variation of negative basis to positive basis as alternative proxies for inventory levels. The rationale behind “indirect test” is based on the hypothesis that futures prices are less variable than spot prices when inventory is low, and have similar variability when inventory is high. The authors propose a “ unified “ test of the theory of storage that incorporates aspects of both direct and indirect tests in an ARMAX-asymmetric GARCH model framework.
