Related papers: Market Dynamics. On Supply and Demand Concepts
I prove that if markets are weak-form efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be verified in polynomial time can also be…
We study deregulated power markets with strategic power suppliers. In deregulated markets, each supplier submits its supply function (i.e., the amount of electricity it is willing to produce at various prices) to the independent system…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
The integration of renewable generation poses operational and economic challenges for the electricity grid. For the core problem of power balance, the legacy paradigm of tailoring supply to follow random demand may be inappropriate under…
This paper links matching markets with aligned preferences to optimal transport theory. We show that stability, efficiency, and fairness emerge as solutions to a parametric family of optimal transport problems. The parameter reflects…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
Our work introduces the effect of supply/demand imbalances into the literature on online matching with stochastic rewards in bipartite graphs. We provide a parameterized definition that characterizes instances as over- or undersupplied (or…
Demand-side management provides a great potential for improving the efficiency and reliability of energy systems. This requires a mechanism to connect the market level and the demand side. The flexibility function is a novel approach that…
The state of economic theory and accumulated facts from the different branches of the economic science require to analyze the concept of the description of economy systems. The economic reality generates the problems the solution of that is…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
In this article, we consider transport networks with uncertain demands. Network dynamics are given by linear hyperbolic partial differential equations and suitable coupling conditions, while demands are incorporated as solutions to…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
The problem of robust dynamic pricing of an abstract commodity, whose inventory is specified at an initial time but never subsequently replenished, originally studied by Perakis and Sood (2006) in discrete time, is considered from the…
We study a dynamic matching problem on a two-sided platform with unbalanced patience, in which long-lived supply accumulates over time with a unit waiting cost per period, while short-lived demand departs if not matched promptly. High- or…
Physical concepts developed to describe instabilities in traffic flows can be generalized in a way that allows one to understand the well-known instability of supply chains (the so-called ``bullwhip effect''). That is, small variations in…
Physical concepts developed to describe instabilities in traffic flows can be generalized in a way that allows one to understand the well-known instability of supply chains (the so-called ``bullwhip effect''). That is, small variations in…
This paper explores the possibility that asset prices, especially those traded in large volume on public exchanges, might comply with specific physical laws of motion and probability. The paper first examines the basic dynamics of asset…
Global oil price is an important factor in determining many economic variables in the world's economy. It is generally modeled as a stochastic process and have been studied through different techniques by comparing the historic time series…
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…