Related papers: Statistical Mechanics: A Possible Model for Market…

We present a model predictive control (MPC) formulation to directly optimize economic criteria for linear constrained systems subject to disturbances and uncertain model parameters. The proposed formulation combines a certainty equivalent…

We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new methods for testing the famous efficient…

Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…

Although electric power networks and district heating networks are physically coupled, they are not operated in a coordinated manner. With increasing penetration of renewable energy sources, a coordinated market-based operation of the two…

A classical particle system coupled with a thermostat driven by an external constant force reaches its steady state when the ensemble-averaged drift velocity does not vary with time. The statistical mechanics of such a system is derived…

We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…

The study of population dynamics originated with early sociological works but has since extended into many fields, including biology, epidemiology, evolutionary game theory, and economics. Most studies on population dynamics focus on the…

Probabilistic control design is founded on the principle that a rational agent attempts to match modelled with an arbitrary desired closed-loop system trajectory density. The framework was originally proposed as a tractable alternative to…

In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…

This paper presents an optimal scheduling model for a microgrid participating in the electricity distribution market in interaction with the Distribution Market Operator (DMO). The DMO is a concept proposed here, which administers the…

Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…

The agent-based model of stock price dynamics on a directed evolving complex network is suggested and studied by direct simulation. The stationary regime is maintained as a result of the balance between the extremal dynamics, adaptivity of…

The research identifies association rules that can inform marketing strategies and enhance operational efficiency. A structured methodology is applied to extract and interpret meaningful relationships within transactional data, emphasizing…

Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…

This paper assumes that the randomness of market trade values and volumes determines the properties of stochastic market prices. We derive the direct dependence of the first two price statistical moments and price volatility on statistical…

A statistical, path-dependent framework to describe time-dependent macroscopic theories using the Principle of Maximum Caliber is presented. By means of this procedure, it is possible to infer predictive non-equilibrium statistical…

Energy forecasting has attracted enormous attention over the last few decades, with novel proposals related to the use of heterogeneous data sources, probabilistic forecasting, online learn-ing, etc. A key aspect that emerged is that…

We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…

A competitive wholesale electricity market consists of thousands of interacting market participants. Driven by the variations of fuel costs, system loads and weathers, these market participants compete actively and behave variously in the…

We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond…