{"title":"具有价格调整的一般均衡——一个动态规划方法","authors":"J. Lindgren","doi":"10.3390/analytics1010003","DOIUrl":null,"url":null,"abstract":"This research article develops a dynamic framework for the Walrasian pure exchange economy and thus extends the static Walrasian general equilibrium theory into a dynamic one with price adjustments. An evolution equation for the price vector is derived from dynamic programming considerations. The economy tries to move from disequilibrium to general equilibrium by minimizing certain cost functional. The cost functional measures transactions costs and the total expenditure of agents when they optimize individually. Price determination is directly related to a gradient search. The general equilibrium is shown to be stable in the sense of Lyapunov if price adjustments can be large, when needed. The conditional stability could be one reason for volatility clustering in financial time series.","PeriodicalId":93078,"journal":{"name":"Big data analytics","volume":"36 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"General Equilibrium with Price Adjustments—A Dynamic Programming Approach\",\"authors\":\"J. Lindgren\",\"doi\":\"10.3390/analytics1010003\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This research article develops a dynamic framework for the Walrasian pure exchange economy and thus extends the static Walrasian general equilibrium theory into a dynamic one with price adjustments. An evolution equation for the price vector is derived from dynamic programming considerations. The economy tries to move from disequilibrium to general equilibrium by minimizing certain cost functional. The cost functional measures transactions costs and the total expenditure of agents when they optimize individually. Price determination is directly related to a gradient search. The general equilibrium is shown to be stable in the sense of Lyapunov if price adjustments can be large, when needed. The conditional stability could be one reason for volatility clustering in financial time series.\",\"PeriodicalId\":93078,\"journal\":{\"name\":\"Big data analytics\",\"volume\":\"36 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-07-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Big data analytics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3390/analytics1010003\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Big data analytics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3390/analytics1010003","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
General Equilibrium with Price Adjustments—A Dynamic Programming Approach
This research article develops a dynamic framework for the Walrasian pure exchange economy and thus extends the static Walrasian general equilibrium theory into a dynamic one with price adjustments. An evolution equation for the price vector is derived from dynamic programming considerations. The economy tries to move from disequilibrium to general equilibrium by minimizing certain cost functional. The cost functional measures transactions costs and the total expenditure of agents when they optimize individually. Price determination is directly related to a gradient search. The general equilibrium is shown to be stable in the sense of Lyapunov if price adjustments can be large, when needed. The conditional stability could be one reason for volatility clustering in financial time series.