Related papers: Supply based on demand dynamical model
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
In market modeling, one often treats buyers as a homogeneous group. In this paper we consider buyers with heterogeneous preferences and products available in many variants. Such a framework allows us to successfully model various market…
Economic engineering is a new field wherein economic systems are modelled in the same manner as traditional mechanical and electrical engineering systems. In this paper, we use Newton's theory of motion as the basis for the theory of…
This paper introduces and formalizes the classical view on supply and demand, which, we argue, has an integrity independent and distinct from the neoclassical theory. Demand and supply, before the marginal revolution, are defined not by an…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
Data-driven modeling is useful for reconstructing nonlinear dynamical systems when the underlying process is unknown or too expensive to compute. Having reliable uncertainty assessment of the forecast enables tools to be deployed to predict…
In this article three models of firms interaction on the market are described. One of these models is described by using a differential equation and by Lotka-Volterra model, where the equation has a different form. Also, there are models of…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must be inferred by the manager. We also…
Estimation and counterfactual analysis in dynamic structural models rely on assumptions about the dynamic process of latent variables, which may be misspecified. We propose a framework to quantify the sensitivity of scalar parameters of…
Due to delays in the adaptation of production or delivery rates, supply chains can be dynamically unstable with respect to perturbations in the consumption rate, which is known as "bull-whip effect". Here, we study several conceivable…
We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corporations default as if via diffusive dynamics. The model, based…
We analyze networked heterogeneous nonlinear systems, with diffusive coupling and interconnected over a generic static directed graph. Due to the network's hetereogeneity, complete synchronization is impossible, in general, but an emergent…
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
We study a problem of an online retailer who observes the unit sales of a product, and dynamically changes the retail price, in order to maximize the expected revenue. Assuming the demand of the product is price sensitive, we are interested…
Chaos and nonlinear economic dynamics are addressed for a quantum coupled map lattice model of an artificial economy, with quantized supply and demand equilibrium conditions. The measure theoretic properties and the patterns that emerge in…
We study the evolution of observables of dynamical systems. For linear systems, we show that observables satisfy a closed differential equation whose minimal order is determined by the dynamical system and observation operator. This yields…
This paper studies forecasting of the future distribution of events in human action sequences, a task essential in domains like retail, finance, healthcare, and recommendation systems where the precise temporal order is often less critical…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…