Costis Maglaras

A market microstructure model of a stochastic and dynamic matching problem with an application to residential real-estate

Abstract:

We propose and study a market microstructure model of a stochastic and dynamic matching problem. Sellers arrive over time supplying capacity to this market that is characterized by a feature set that includes its price. Sellers are also characterized by their delay tolerance and financial considerations. In turn, buyers arrive over time seeking capacity and are endowed with a choice model that allows them to compare and tradeoff options that differ in their features and price. We study the dynamics of this market, characterize its transient behavior, and its steady-state characteristics, such as depth, price dispersion, anticipated delays. We also characterize strategies for sellers and buyers that strive to achieve desired outcomes within specified delay tolerances. The motivating application is residential real estate.

Source: Working paper
Exact Citation:
Maglaras, Costis. "A market microstructure model of a stochastic and dynamic matching problem with an application to residential real-estate." Working paper, Columbia Business School, February 15, 2011.
Date: 15 2 2011