/cvx_price_computation

Scripts to generate convex price computation graph for speedex paper

Primary LanguagePythonApache License 2.0Apache-2.0

Convex Solver for Arrow-Debreu Exchange Market Equilibria

Contains scripts to generate the convex price computation graph for speedex paper Uses CVXPY 1 to implement the convex program of Devanur et al. 2. Does not implement the compressed version described in Goyal et al. 3

Footnotes

  1. Diamond, Steven, and Stephen Boyd. "CVXPY: A Python-embedded modeling language for convex optimization." The Journal of Machine Learning Research 17.1 (2016): 2909-2913. ↩

  2. Devanur, Nikhil R., Jugal Garg, and László A. Végh. "A rational convex program for linear Arrow-Debreu markets." ACM Transactions on Economics and Computation (TEAC) 5.1 (2016): 1-13. ↩

  3. http://www.scs.stanford.edu/~geoff/papers/cfmm_and_batch_trading_paper.pdf ↩