Related papers: Relaxation Processes in Administered-Rate Pricing
We consider the asymmetric random average process which is a one-dimensional stochastic lattice model with nearest neighbour interaction but continuous and unbounded state variables. First, the explicit functional representations, so-called…
We consolidate coherence, athermality, and nonuniformity as sub-resources within an underlying quantum resource theory: instability. We formulate instability axiomatically as the transient information within a decaying physical system.…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
In this paper a unifying energy-based approach is provided to the modeling and stability analysis of power systems coupled with market dynamics. We consider a standard model of the power network with a third-order model for the synchronous…
Avalanching systems are treated analytically using the renormalization group (in the self-organized-criticality regime) or mean-field approximation, respectively. The latter describes the state in terms of the mean number of active and…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
We present a new approach to response around arbitrary out-of-equilibrium states in the form of a fluctuation-response inequality (FRI). We study the response of an observable to a perturbation of the underlying stochastic dynamics. We find…
This paper defines a general class of relaxations of the unconfoundedness assumption. This class includes several previous approaches as special cases, including the marginal sensitivity model of Tan (2006). This class therefore allows us…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage…
In this paper, we study distributions that describe markets with linear stochastic demand. We express the price elasticity of expected demand in terms of the mean residual demand (MRD) function of the demand distribution and characterize…
The relaxion mechanism is a novel solution to the hierarchy problem. In this first statistical analysis of the relaxion mechanism, we quantify the relative plausibility of a QCD and a non-QCD relaxion model versus the Standard Model with…
Regression methods are fundamental for scientific and technological applications. However, fitted models can be highly unreliable outside of their training domain, and hence the quantification of their uncertainty is crucial in many of…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
We present an experimental investigation of the non stationary frictional properties of multicontact interfaces between rough elastomers and rough hard glass at low velocities (<= 200 mu m s^{-1}). These systems, for which the deformation…
These lecture notes give a short review of methods such as the matrix ansatz, the additivity principle or the macroscopic fluctuation theory, developed recently in the theory of non-equilibrium phenomena. They show how these methods allow…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
Studies looking at electricity market designs for very high shares of wind and solar often conclude that the energy-only market will break down. Without fuel costs, it is said that there is nothing to set prices. Symptoms of breakdown…