Related papers: How do we measure trade elasticity for services?
The problem of load balancing in a distribution network under unknown time- varying demand and supply is studied. A set of distributed controllers which regulate the amount of flow through the edges is designed to guarantee convergence of…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
The rate of entropy production provides a useful quantitative measure of a non-equilibrium system and estimating it directly from time-series data from experiments is highly desirable. Several approaches have been considered for stationary…
We study the problem of identifying the dynamics of a linear system when one has access to samples generated by a similar (but not identical) system, in addition to data from the true system. We use a weighted least squares approach and…
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…
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the…
We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine function perturbed by noise. Due to the nonlinear…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
We develop an edge-assisted object recognition system with the aim of studying the system-level trade-offs between end-to-end latency and object recognition accuracy. We focus on developing techniques that optimize the transmission delay of…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information…
Virtual garment simulation has become increasingly important with applications in garment design and virtual try-on. However, reproducing garments faithfully remains a cumbersome process. We propose an end-to-end method for estimating…
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and finally stochastic local volatility with stochastic interest…
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…
The paper introduces a new estimation method for the standard linear regression model. The procedure is not driven by the optimisation of any objective function rather, it is a simple weighted average of slopes from observation pairs. The…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…
Modeling distributions that depend on external control parameters is a common scenario in diverse applications like molecular simulations, where system properties like temperature affect molecular configurations. Despite the relevance of…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…