Pith Number

pith:I6OOTTI5

pith:2026:I6OOTTI5JYVPSROIBLVEXJXFWT

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Estimated Dynamic Equilibrium Model: Supply and Demand as a Sample Path of a Stochastic Process

Alexey Shvets, Mikhail L. Arbuzov, Sisong Bei

Sequentially recycling upper-tail market-clearing prices from noisy bids generates upward price drift even with zero-mean errors.

arxiv:2605.15472 v1 · 2026-05-14 · cs.MA

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Claims

C1strongest claim

when market-clearing prices are sequentially sampled from the upper tail of noisy bid distributions and recycled as inputs for future valuations, expected prices drift upward despite strictly zero-mean estimation errors

C2weakest assumption

The assumption that the previous clearing price (drawn from the upper tail) is directly recycled as the reference point for the next period's heterogeneous valuations, with no intervening arbitrage, external information, or alternative price-formation rules that would break the feedback loop (described in the abstract as the generative mechanism for persistent disequilibrium).

C3one line summary

The Estimated Dynamic Equilibrium Model derives an order-statistic bias from sequential upper-tail price sampling that generates upward drift and multiple stability regimes in agent-based supply-demand simulations.

References

16 extracted · 16 resolved · 0 Pith anchors

[1] Miller, Edward M. , title =. The Journal of Finance , volume =. 1977 , doi = 1977

[2] and Kim, Chansog (Francis) and Pantzalis, Christos , title = 2006

[3] Moffitt, Steven D. , title =. 2017 , note = 2017

[4] 1999 , note = 1999

[5] Williams, Joseph T. , title =. Journal of Financial Economics , volume =

Formal links

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Receipt and verification

First computed	2026-05-20T00:01:00.334179Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

479ce9cd1d4e2af945c80aea4ba6e5b4e92ce17a95231d47fc8d8702b2b4a21e

Aliases

arxiv: 2605.15472 · arxiv_version: 2605.15472v1 · doi: 10.48550/arxiv.2605.15472 · pith_short_12: I6OOTTI5JYVP · pith_short_16: I6OOTTI5JYVPSROI · pith_short_8: I6OOTTI5

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/I6OOTTI5JYVPSROIBLVEXJXFWT \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: 479ce9cd1d4e2af945c80aea4ba6e5b4e92ce17a95231d47fc8d8702b2b4a21e

Canonical record JSON

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    "abstract_canon_sha256": "48f8311ce32ab47c86c5683ba2d5b89f8027c0b88c0a893106456de2ac355a56",
    "cross_cats_sorted": [],
    "license": "http://creativecommons.org/licenses/by/4.0/",
    "primary_cat": "cs.MA",
    "submitted_at": "2026-05-14T23:22:43Z",
    "title_canon_sha256": "8f8f8e9710889669aa0b1fdd8c56d02e85fb75d1505cb9260d466b22afcd181b"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2605.15472",
    "kind": "arxiv",
    "version": 1
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}