Related papers: Supply based on demand dynamical model
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
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 transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
We develop an analytically tractable model featuring heterogeneous workers and firms, where labor markets clear through a one-to-many sorting mechanism. Firms determine both the number and composition of their employees, shaping (1) the…
We propose and study a system whose dynamics are governed by predictions of its future states. General formalism and concrete examples are presented. We find that the dynamical characteristics depend on both how to shape predictions as well…
Intermittent demand forecasting is a ubiquitous and challenging problem in production systems and supply chain management. In recent years, there has been a growing focus on developing forecasting approaches for intermittent demand from…
Linearized models of power systems are often desirable to formulate tractable control and optimization problems that still reflect real-world physics adequately under various operating conditions. In this paper, we propose an approach that…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
Data-driven sequential decision has found a wide range of applications in modern operations management, such as dynamic pricing, inventory control, and assortment optimization. Most existing research on data-driven sequential decision…
Various forms of disruption in transport systems perturb urban mobility in different ways. Passengers respond heterogeneously to such disruptive events based on numerous factors. This study takes a data-driven approach to explore…
This paper proposes a multi-day needs-based model for activity and travel demand analysis. The model captures the multi-day dynamics in activity generation, which enables the modeling of activities with increased flexibility in time and…
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
We consider the dynamics of a smart grid system characterized by widespread distributed generation and storage devices. We assume that agents are free to trade electric energy over the network and we focus on the emerging market dynamics.…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
One of the main tasks in the study of financial and economic processes is forecasting and analysis of the dynamics of these processes. Within this task lie important research questions including how to determine the qualitative properties…
We present a numerical method for learning the dynamics of slow components of unknown multiscale stochastic dynamical systems. While the governing equations of the systems are unknown, bursts of observation data of the slow variables are…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…