Related papers: Supply based on demand dynamical model
Classic market design theory is rooted in static models where all participants trade simultaneously. In contrast, modern platform-mediated digital markets are fundamentally dynamic, defined by the asynchronous and stochastic arrival of…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
We develop a tractable macroeconomic model that captures dynamic behaviors across multiple timescales, including business cycles. The model is anchored in a dynamic capital demand framework reflecting an interactions-based process whereby…
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…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
Demand forecasting is a crucial component of demand management. While shortening the forecasting horizon allows for more recent data and less uncertainty, this frequently means lower data aggregation levels and a more significant data…
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…
A simple model of a buying-selling cycle is proposed. The model comprises two moves: a rational buying and a random selling. The notion of a profit intensity is introduced. Supply and demand curves and geometrical interpretation are…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
Functions or 'functionings' enable to give a structure to any activity and their combinations constitute the capabilities which characterize economic assets such as work utility. The basic law of supply and demand naturally emerges from…
Demand variance can result in a mismatch between planned supply and actual demand. Demand shaping strategies such as pricing can be used to shift elastic demand to reduce the imbalance. In this work, we propose to consider elastic demand in…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these…