Related papers: Power market dynamics: the statistical mechanics o…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…
Choice models for populations of agents on graphs are studied in terms of statistical thermodynamics. Equations of state are derived and discussed for different connectivity schemes, utility approximations, and temperature and volume…
In this work we are interested in the modelling and control of opinion dynamics spreading on a time evolving network with scale-free asymptotic degree distribution. The mathematical model is formulated as a coupling of an opinion alignment…
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuous-time Markov process describing arrival and movement of…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
In this paper, we derive a number of inequalities which express power-efficiency trade-offs that hold generally for thermodynamic machines operating in non-equilibrium stationary states. One of these inequalities concerns the output power,…
The large-deviation method allows to characterize an ergodic counting process in terms of a thermodynamic frame where a free energy function determines the asymptotic non-stationary statistical properties of its fluctuations. Here, we study…
We examine the question of whether the formal expressions of equilibrium statistical mechanics can be applied to time independent non-dissipative systems that are not in true thermodynamic equilibrium and are nonergodic. By assuming the…
Many real-world systems are composed of many individual components that interact with one another in a complex pattern to produce diverse behaviors. Understanding how to intervene in these systems to guide behaviors is critically important…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
We consider a smart-grid connecting several agents, modeled as stochastic dynamical systems, who may be electricity consumers/producers. At each discrete time instant, which may represent a 15 minute interval, each agent may…
An optimal scheduling model for a microgrid participating in the electricity distribution market in interaction with a Distribution Market Operator (DMO) is proposed in this paper. The DMO administers the established electricity market in…
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
With the increased level of distributed generation and demand response comes the need for associated mechanisms that can perform well in the face of increasingly complex deregulated energy market structures. Using Lagrangian duality theory,…
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…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
An existing challenge in power systems is the implementation of optimal demand management through dynamic pricing. This paper encompasses the design, analysis and implementation of a novel on-line pricing scheme based on coalitional game…
Efficient control of power systems is becoming increasingly difficult as they gain in complexity and size. We propose an automatic control strategy that regulates the mechanical power output of the generators in a power grid based on…
This paper introduces a novel approach to financial crisis prediction by establishing a thermodynamic-like framework derived from the fluctuation theorem of statistical physics. We define market temperature through the probability ratio of…