Related papers: Market Dynamics. On Supply and Demand Concepts
The intermittent nature of renewable energy resources creates extra challenges in the operation and control of the electricity grid. Demand flexibility markets can help in dealing with these challenges by introducing incentives for…
We study the joint scheduling of behind-the-meter distributed energy resources (DERs), including flexible loads, renewable generation, and battery energy storage systems, under net energy metering tariffs with demand charges. The problem is…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
Renewable sources are taking center stage in electricity generation. However, matching supply with demand in a renewable-rich system is a difficult task due to the intermittent nature of renewable resources (wind, solar, etc.). As a result,…
Maximum entropy principle identifies forces conjugated to observables and the thermodynamic relations between them, independent upon their underlying mechanistic details. For data about state distributions or transition statistics, the…
The adoption of market-based principles in resource management systems for computational infrastructures such as grids and clusters allows for matching demand and supply for resources in a utility maximizing manner. As such, they offer a…
We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…
A kinetic equation is derived for the phase density of a system of point particles, generating a system of integro-differential equations for distribution functions that have a deterministic meaning. The derivation took into account the…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
A well known result states that stability criterion for matchings in two-sided markets doesn't ensure uniqueness. This opens the door for a moral question with regard to the optimal stable matching from a social point of view. Here, a new…
Network theory is rapidly changing our understanding of complex systems, but the relevance of topological features for the dynamic behavior of metabolic networks, food webs, production systems, information networks, or cascade failures of…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
We study the social efficiency of bilateral trade between a seller and a buyer. In the classical Bayesian setting, the celebrated Myerson-Satterthwaite impossibility theorem states that no Bayesian incentive-compatible, individually…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
Resource adequacy studies typically use standard metrics such as Loss of Load Expectation and Expected Energy Unserved to quantify the risk of supply shortfalls. This paper critiques present approaches to adequacy assessment and capacity…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
Entropy is a very useful concept from physics that tries to explain how a system behaves from a point of view of the thermodynamics. However, there are two ways to explain entropy, and it depends on if we are studying a microsystem or a…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…