Related papers: Market Dynamics. On Supply and Demand Concepts
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when…
The design of energy markets is a subject of ongoing debate, particularly concerning the choice between the widely adopted Pay-as-Clear (PC) pricing mechanism and the alternative Pay-as-Bid (PB). These mechanisms determine how energy…
We consider an interaction of charged bodies under the following simplified conditions: the distribution of charge over each body is stable; the interaction of bodies is governed by electrical forces only. Physically, these assumptions can…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
We present a systematic method for designing distributed generation and demand control schemes for secondary frequency regulation in power networks such that stability and an economically optimal power allocation can be guaranteed. A…
Statistical mechanics of a disordered system of cars on a single-lane road is developed. Behaviour of cars is defined by conditional probability of car velocity depending on the distance and velocity of the car ahead. A system consisting of…
Newsvendor problem is an extensively researched topic in inventory management. In this class of inventory problems, shortage and excess costs are considered to be proportional to the quantity lost. But, for critical goods or commodities,…
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are…
This study considers a model of the income distribution of agents whose pairwise interaction is asymmetric and price-invariant. Asymmetric transactions are typical for chain-trading groups who arrange their business such that commodities…
Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…
We study the performance of general dynamic matching models. This model is defined by a connected graph, where nodes represent the class of items and the edges the compatibilities between items. Items of different classes arrive one by one…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
The origin of economic crises is a key problem for economics. We present a model of long-run competitive markets to show that the multiplicity of behaviors in an economic system, over a long time scale, emerge as statistical regularities…
We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…
Peak estimation bounds extreme values of a function of state along trajectories of a dynamical system. This paper focuses on extending peak estimation to continuous and discrete settings with time-independent and time-dependent uncertainty.…
Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and…
The dynamic state index (DSI) is a scalar field that combines variational information on the total energy and enstrophy of a flow field with the second law of thermodynamics. Its magnitude is a combined local measure for non-stationarity,…
This paper studies a setting in which multiple suppliers compete for a buyer's procurement business. The buyer faces uncertain demand and there is a requirement to reserve capacity in advance of knowing the demand. Each supplier has costs…
The indirect transactions between sectors of an economic system has been a long-standing open problem. There have been numerous attempts to conceptually define and mathematically formulate this notion in various other scientific fields in…