Related papers: Relaxation Processes in Administered-Rate Pricing
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
The algebra of transactions as fundamental measurements is constructed on the basis of the analysis of their properties and represents an expansion of the Boolean algebra. The notion of the generalized economic measurements of the economic…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…
Based on a criterium 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…
An analysis of the random lattice gas in the annealed limit is presented. The statistical mechanics of disordered lattice systems is briefly reviewed. For the case of the lattice gas with an arbitrary uniform interaction potential and…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink…
Off-equilibrium dynamics of a three-dimensional lattice model with nearest- and next nearest-neighbors exclusions is studied. At equilibrium, the model undergoes a first-order fluid-solid transition. Non-equilibrium filling, through random…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
A stochastic model is here introduced to investigate the molecular mechanisms which trigger the perception of pain. The action of analgesic drug compounds is discussed in a dynamical context, where the competition with inactive species is…
We present a mean-field theory of a coarse-grained model of a super-cooled liquid in which relaxation occurs via local plastic rearrangements. Local relaxation can be induced by thermal fluctuations or by the long-range elastic consequences…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive…
The increase of renewables in the grid and the volatility of the load create uncertainties in the day-ahead prices of electricity markets. Adaptive robust optimization (ARO) and stochastic optimization have been used to make commitment and…
One of the major barriers for the retailers is to understand the consumption elasticity they can expect from their contracted demand response (DR) clients. The current trend of DR products provided by retailers are not consumer-specific,…
The nonexponential relaxation ocurring in complex dynamics manifested in a wide variety of systems is analyzed through a simple model of diffusion in phase space. It is found that the inability of the system to find its equilibrium state in…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…