Related papers: Constant Power Root Market Makers
We study matching markets with ties, where workers on one side of the market may have tied preferences over jobs, determined by their matching utilities. Unlike classical two-sided markets with strict preferences, no single stable matching…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
Piecewise smooth systems are intensively studied today in many application areas, such as economics, finance, engineering, biology, and ecology. In this work, we consider a class of one-dimensional piecewise linear discontinuous maps with a…
In two-sided matching markets with contracts, quantile (or generalized median) stable mechanisms represent an interesting class that produces stable allocations which can be viewed as compromises between both sides of the market. These…
Prosumer operators are dealing with extensive challenges to participate in short-term electricity markets while taking uncertainties into account. Challenges such as variation in demand, solar energy, wind power, and electricity prices as…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
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…
Let $\mu_p(A,B,t)=(tA^p+(1-t)B^p)^{1/p}$ denote the weighted power mean between positive operators $A$ and $B$. We show that the function $t\to \|A-\mu_p(A,B,t)\|_2$ is monotonically decreasing whenever $1/2 \leq p \leq 1$. Hence showing…
The steady states of an antitone electric system are described by an antitone function with respect to the componentwise order. When this function is bounded from below by a positive vector, it has only one fixed point. This fixed point is…
Since the 1990s, widespread introduction of central (wholesale) electricity markets has been seen across multiple continents, driven by the search for efficient operation of the power grid through competition. The increase of renewables has…
In order to simulate the complex phenomena manifested in stock markets, we introduce a continuous asynchronous model in which millions of individual traders interact through a central orders matching mechanism, just as it happens in real…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
Batch auctions are a classical market microstructure, acclaimed for their fairness properties, and have received renewed interest in the context of blockchain-based financial systems. Constant function market makers (CFMMs) are another…
This paper evaluates the impact of the power extent on price in the electricity market. The competitiveness extent of the electricity market during specific times in a day is considered to achieve this. Then, the effect of competitiveness…
We consider control of multiple stable first-order \review{agents} which have a control coupling described by an M-matrix. These agents are subject to incremental sector-bounded \review{input} nonlinearities. We show that such plants can be…
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling…
We develop a power series method for the nonequilibrium steady state of the inhomogeneous one-dimensional totally asymmetric simple exclusion process (TASEP) in contact with two particle reservoirs and with site-dependent hopping rates in…