连续时间市场中的监管、波动性与效率
Regulation, Volatility and Efficiency in Continuous-Time Markets
AI总结：
本文通过随机微分方程和博弈论模型分析摩擦市场（特别是电力市场）的效率，提出了效率-波动性无免费午餐权衡定理。
摘要：
我们分析了摩擦市场，特别是电力市场的效率。我们将市场建模为一个动态系统，其中$(d_t;\,t\geq 0)$为需求过程，$(s_t;\,t\geq 0)$为供给过程。使用随机微分方程对带有摩擦的动态进行建模，我们通过求解最优控制问题，在积分期望无折扣成本函数下研究市场效率。然后，我们将设置扩展到博弈论模型，其中多个供应商和消费者通过在带有摩擦的动态市场中设定价格进行连续交互。我们研究均衡，并在积分期望社会成本函数下分析市场效率。我们提出了一个有趣的效率-波动性无免费午餐权衡定理。
英文摘要：
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential equations to model the dynamics with friction, we investigate the efficiency of the market under an integrated expected undiscounted cost function solving the optimal control problem. Then, we extend the setup to a game theoretic model where multiple suppliers and consumers interact continuously by setting prices in a dynamic market with friction. We investigate the equilibrium, and analyze the efficiency of the market under an integrated expected social cost function. We provide an intriguing efficiency-volatility no-free-lunch trade-off theorem.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
