Related papers: Relaxation Processes in Administered-Rate Pricing
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…
The elastic response is studied of a single flexible chain grafted on a rigid plane and an ensemble of non-interacting tethered chains. It is demonstrated that the entropic theory of rubber elasticity leads to conclusions that disagree with…
Simulations of the kinetic friction due to a layer of adsorbed molecules between two crystalline surfaces are presented. The adsorbed layer naturally produces friction that is consistent with Amontons' laws and insensitive to parameters…
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexity of the price in the short rate is guaranteed. Under these…
We consider the use of pricing as a regulatory mechanism when an unknown number of autonomous agents compete for access to a shared resource (possibly limited in volume or capacity). In standard dynamic pricing control systems, an…
Understanding the realization of thermal equilibrium through the thermalization process in a many-body system is a fundamental and complex scientific question, bridging thermodynamics and classical dynamics and connecting to a host of…
Using an adiabatic approximation method, which searches for Tomlinson model-like instabilities for a simple but still realistic model for two crystalline surfaces in the extremely light contact limit, with mobile molecules present at the…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…
Recent model simulations discovered unexpected non-monotonic features in the wear-free dry phononic friction as a function of the sliding speed. Here we demonstrate that a rather straight- forward application of linear-response theory,…
Price elasticity model (PEM) is an appealing and modest model for assessing the potential of flexible demand in DR. It measures the customers demand sensitivity through elasticity in relation to price variation. However, application of PEM…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the…
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study…
We propose a simple rubber friction law, which can be used, e.g., in models of tire (and vehicle) dynamics. The friction law is tested by comparing numerical results to the full rubber friction theory (B.N.J. Persson, J. Phys.: Condensed…
We attempt to give a bird's eye view of the physical mechanisms leading to anomalous relaxation, and the relation of this phenomenon with anomalous diffusion and transport. Whereas in some cases these two notions are indeed deeply related,…
A microscopic theory for the ubiquitous phenomenon of static friction is presented. Interactions between two surfaces are modeled by an energy penalty that increases exponentially with the degree of surface overlap. The resulting static…
The general scheme for the treatment of relaxation processes and temporal autocorrelations of dynamical variables for many particle systems is presented in framework of the recurrence relations approach. The time autocorrelation functions…