Elliott, R.J.Madan, D.B.Siu, T.K.2025-12-182025-12-182021Annals of Finance, 2021; 17(1):27-431614-24461614-2454https://hdl.handle.net/11541.2/145299Demand and supply uncertainty lead to a model of markets that set prices to acceptable risk levels for excess supplies and net revenues. The result is a two price partial equilibrium economy. The equilibrium solutions are applied to two price financial market data to infer demand and supply elasticities and log normal volatilities from market quotes on bid and ask prices. Demand elasticities are observed to be higher than supply elasticities as are the volatilities. Normalizing observed volatilities to the volatility of the daily traded volume a market implied duration of the economic equilibrium is inferred. The median level of duration is around a minute and half with an interquartile range from 37 s to 2 min. For larger orders, bid and ask prices may be constructed by calibrating the demand and supply volatilities.enCopyright 2020 Springer-Verlag Access Condition Notes: Accepted manuscript available after 1 January 2022acceptable risksdistorted expectationsminmaxvar distortionconvex risk measuresJournal article10.1007/s10436-020-00377-x2-s2.0-85095712700