Related papers: Statistical Mechanics: A Possible Model for Market…
This study investigates the prevention of market manipulation using a price-impact model of financial market trading as a linear system. First, I define a trading game between speculators such that they implement a manipulation trading…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
New continuous and stochastic extensions of the minority game, devised as a fundamental model for a market of competitive agents, are introduced and studied in the context of statistical physics. The new formulation reproduces the key…
In this paper, we propose an optimization-based mechanism to explain power law distributions, where the function that the optimization process is seeking to optimize is derived mathematically, then the behavior and interpretation of this…
Decision markets are mechanisms for selecting one among a set of actions based on forecasts about their consequences. Decision markets that are based on scoring rules have been proven to offer incentive compatibility analogous to properly…
Markov Decision Processes (MDPs) offer a fairly generic and powerful framework to discuss the notion of optimal policies for dynamic systems, in particular when the dynamics are stochastic. However, computing the optimal policy of an MDP…
Biological systems perform an astonishing array of dynamical processes -- including development and repair, regulation, behavior and motor control, sensing and signaling, and adaptation, among others. Powered by the transduction of stored…
Modern power steering systems employ an electric motor drive system to provide torque assistance to the driver. The closed-loop mechanical system dynamics that impact stability, performance and steering feel are significantly impacted by…
Using the tools of the Markov Decision Processes, we justify the dynamic programming approach to the optimal impulse control of deterministic dynamical systems. We prove the equivalence of the integral and differential forms of the…
In this work we review some recent development in the mathematical modelling of quantitative sociology by means of statistical mechanics. After a short pedagogical introduction to static and dynamic properties of many body systems, we…
Decision procedures aggregating the preferences of multiple agents can produce cycles and hence outcomes which have been described heuristically as `chaotic'. We make this description precise by constructing an explicit dynamical system…
A pedagogical derivation of statistical mechanics from quantum mechanics is provided, by means of open quantum systems. Besides, a new definition of Boltzmann entropy for a quantum closed system is also given to count microstates in a way…
This paper traces the strong relations between experimental design and control, such as the use of optimal inputs to obtain precise parameter estimation in dynamical systems and the introduction of suitably designed perturbations in…
The energy system is rapidly changing to accommodate the increasing number of renewable generators and the general transition towards a more sustainable future. Simultaneously, business models and market designs evolve, affecting power-grid…
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…
Individuals are often influenced by the behavior of others, for instance because they wish to obtain the benefits of coordinated actions or infer otherwise inaccessible information. In such situations this social influence decreases the ex…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
Global oil price is an important factor in determining many economic variables in the world's economy. It is generally modeled as a stochastic process and have been studied through different techniques by comparing the historic time series…