Related papers: Relaxation Processes in Administered-Rate Pricing
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
In the presence of non-convexities, the power market may not have an equilibrium price for power that provides economic stability of the centralized dispatch outcome. In this case, to achieve an economically stable outcome, the uplift…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
In this work we propose an extension to the analytical one-dimensional model proposed by E. Gnecco (Phys. Rev. Lett. 84:1172) to describe friction. Our model includes normal forces and the dependence with the angular direction of movement…
Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…
We study the relaxation process in a two-dimensional lattice gas model, where the interactions come from the excluded volume. In this model particles have three arms with an asymmetrical shape, which results in geometrical frustration that…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
We use numerical simulations to study the dynamics of dense assemblies of self-propelled particles in the limit of extremely large, but finite, persistence times. In this limit, the system evolves intermittently between mechanical…
In Demand Response programs, price incentives might not be sufficient to modify residential consumers load profile. Here, we consider that each consumer has a preferred profile and a discomfort cost when deviating from it. Consumers can…
We study the motion of elastic networks driven over a random substrate. Our model which includes local friction forces leads to complex dynamical behavior. We find a transition to a sliding state which belongs to a new universality class.…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
Frictional forces are a key ingredient of any physical description of the macroscopic world, as they account for the phenomena causing transformation of mechanical energy into heat. They are ubiquitous in nature, and a wide range of…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
Model-based process simulation can be used to derive designs and operating conditions of chemical processes that optimally balance multiple objectives, such as quality, costs, or environmental impacts. This work focuses on identifying…
This paper proposes a two-step framework for techno-economic analysis of a demand-side flexibility service in distribution networks. Step one applies optimization-based modelling to propose a generic problem formulation which determines the…
The uniaxial elastic-plastic deformation process is considered. Mathematical model of this process was built. According to this model all stable static states form the lattice, which is called the delta-lattice.