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

In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…

We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…

Over the past years, distributed energy resources (DER) have been the object of many studies, which recognise and establish their emerging role in the future of power systems. However, the implementation of many scenarios and mechanism are…

Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions…

Predictive statistical mechanics is a form of inference from available data, without additional assumptions, for predicting reproducible phenomena. By applying it to systems with Hamiltonian dynamics, a problem of predicting the macroscopic…

We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…

This paper develops a unified framework in which economic dynamics is treated as evolutionary process analogous to those studied in natural sciences, including physics. Using methods from gauge field theory and plasticity, we show that the…

We propose an approach to modeling of AC motors entirely based on analytical mechanics. Symmetry and connection constraints are moreover incorporated in the energy function from which the models are derived. The approach is especially…

Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…

The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…

Prediction markets show considerable promise for developing flexible mechanisms for machine learning. Here, machine learning markets for multivariate systems are defined, and a utility-based framework is established for their analysis. This…

We demonstrate the equilibration of isolated macroscopic quantum systems, prepared in non-equilibrium mixed states with significant population of many energy levels, and observed by instruments with a reasonably bound working range compared…

In recent times adaptive regulation of sampling rates has gained significant attention in research community and researchers has demonstrated it's effectiveness in embedded control applications from different perspectives. In low power…

The interdependence of electricity and natural gas markets is becoming a major topic in energy research. Integrated energy models are used to assist decision-making for businesses and policymakers addressing challenges of energy transition…

This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…

We present a simple, yet realistic, agent-based model of an electricity market. The proposed model combines the spot and balancing markets with a resolution of one minute, which enables a more accurate depiction of the physical properties…

We study the family of network models derived by requiring the expected properties of a graph ensemble to match a given set of measurements of a real-world network, while maximizing the entropy of the ensemble. Models of this type play the…

We present the observation that the process of stochastic model predictive control can be formulated in the framework of iterated function systems. The latter has a rich ergodic theory that can be applied to study the system's long-run…

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…

We propose a model for a market which structure is of the tree form. Each branch of the tree is composed by identical firms, its root (the branch of the first level) is formed by the firms producing raw material, and the branches of the…