Related papers: Long-term Hydrothermal Bid-based Market Simulator
The high-order complexity of human behaviour is likely the root cause of extreme difficulty in financial market projections. We consider that behavioural simulation can unveil systemic dynamics to support analysis. Simulating diverse human…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
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…
In this work we investigate the inefficiency of the electricity system with strategic agents. Specifically, we prove that without a proper control the total demand of an inefficient system is at most twice the total demand of the optimal…
Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while…
Power system simulations that extend over a time period of minutes, hours, or even longer are called extended-term simulations. As power systems evolve into complex systems with increasing interdependencies and richer dynamic behaviors…
The over-the-counter (OTC) government bond markets are characterised by their bilateral trading structures, which pose unique challenges to understanding and ensuring market stability and liquidity. In this paper, we develop a bespoke ABM…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
A hybrid simulation-based framework involving system dynamics and agent-based simulation is proposed to address duopoly game considering multiple strategic decision variables and rich payoff, which cannot be addressed by traditional…
We propose a framework where generation and transmission capacities are planned concurrently in market environments with a focus on the prosumers. This paper is a continuation of Part I and presents numerical results from three archetypal…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
With the increasing complexity of collaboration among various social entities and user demands, the factors affecting the stable development of the data service market are also growing. These factors include the widespread dissemination of…
The electricity consumption behavior in Brazil has been extensively investigated over the years due to financial and social problems. In this context, it is important to simulate the energy prices of the energy efficiency auctions in the…
This paper explores the utility of agent-based simulations in realistically modelling market structures and sheds light on the nuances of optimal dealer strategies. It underscores the contrast between conclusions drawn from probabilistic…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
Major challenges for the transition of power systems do not only tackle power electronics but also communication technology, power market economy and user acceptance studies. Simulation is an important research method therein, as it helps…
With the increasing scale of search engine marketing, designing an efficient bidding system is becoming paramount for the success of e-commerce companies. The critical challenges faced by a modern industrial-level bidding system include: 1.…
Bilevel programming can be used to formulate many problems in the field of power systems, such as strategic bidding. However, common reformulations of bilevel problems to mixed-integer linear programs make solving such problems hard, which…
There is a growing interest in the integration of energy infrastructures to increase systems' flexibility and reduce operational costs. The most studied case is the synergy between electric and heating networks. Even though integrated heat…