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We consider a thermodynamically correct framework for electro-energy-reaction-diffusion systems, which feature a monotone entropy functional while conserving the total charge and the total energy. For these systems, we construct a relative…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure,…
We provide a complete characterization of optimal extinction in a two-sector model of economic growth through three results, surprising in both their simplicity and intricacy. (i) When the discount factor is below a threshold identified by…
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an…
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
The relativistic approach to electroweak properties of two-particle composite systems developed previously is generalized here to the case of nonzero spin. This approach is based on the instant form of relativistic Hamiltonian dynamics. A…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. The other…
We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futures contracts, we add expiry-dependent exponential damping…
We study a pure-exchange incomplete-market economy with heterogeneous agents. In each period, the agents choose how much to save (i.e., invest in a risk-free bond), how much to consume, and which bundle of goods to consume while their…
Hard processes at the TeV scale exhibit enhanced (double log) EW corrections even for inclusive observables, leading to violation of the Bloch-Nordsieck theorem. This effect, previously related to the non abelian nature of free EW charges…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions.…
We carry out a comprehensive survey of electromagnetic form factors of all light, heavy and heavy-light ground-state pseudoscalar and scalar mesons. Our analysis is based upon a Schwinger-Dyson equations treatment of a vector $\times$…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$. The objective is not to discover a new standalone alpha factor, but to…
In this work, an ensemble of economic interacting agents is considered. The agents are arranged in a linear array where only local couplings are allowed. The deterministic dynamics of each agent is given by a map. This map is expressed by…
We re-analyze the conditions for the phenomenon of intermittency (self-similar fluctuations) to occur in models of multifragmentation. Analyzing two different mechanisms, the bond-percolation and the ERW (Elattari, Richert and Wagner)…
Dworczak et al. (2021) study when certain market structures are optimal in the presence of heterogeneous preferences. A key assumption is that the social planner knows the joint distribution of the value of the good and marginal value of…