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A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
Under transactive (market-based) coordination, a population of distributed energy resources (DERs), such as thermostatically controlled loads (TCLs) and storage devices, bid into an energy market. Consequently, a certain level of demand…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
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…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…
Transactive or market-based coordination strategies have recently been proposed for controlling the aggregate demand of a large number of electric loads. Such schemes offer operational benefits such as enforcing distribution feeder capacity…
This study presents a novel approach to modelling economic agents as analogous to spin states in physics, particularly the Ising model. By associating economic activity with spin orientations (up for inactivity, down for activity), the…
Recent results and interpretations are presented for the thermal minority game, concentrating on deriving and justifying the fundamental stochastic differential equation for the microdynamics.
A system responding to a stochastic driving signal can be interpreted as computing, by means of its dynamics, an implicit model of the environmental variables. The system's state retains information about past environmental fluctuations,…
Frequency dynamics in power systems reflect active power imbalance in real time, thereby providing an instantaneous signal to inform electricity pricing. However, existing real-time markets operate on much slower timescales and fail to…
For the application of MPC design in on-line regulation or tracking control problems, several studies have attempted to develop an accurate model, and realize adequate uncertainty description of linear or non-linear plants of the processes.…
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
Quantifying energy flows at nanometer scales promises to guide future research in a variety of disciplines, from microscopic control and manipulation, to autonomously operating molecular machines. A general understanding of the…
In traditional thermodynamical and statistical-mechanical approaches one has (some) detailed knowledge of the principles governing the microdynamics of a system. However in many instances we may not have a Hamiltonian or good information…
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…
We study a model ecosystem by means of dynamical techniques from disordered systems theory. The model describes a set of species subject to competitive interactions through a background of resources, which they feed upon. Additionally…