相关论文: Market price simulator based on analog electrical …

A stochastic model for intermittent fluctuations due to a super-position of uncorrelated Lorentzian pulses is presented. For constant pulse duration, this is shown to result in an exponential power spectral density for the stationary…

Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…

We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at…

We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…

The fluctuations of the work done by an external Gaussian random force on a harmonic oscillator that is also in contact with a thermal bath is studied. We have obtained the exact large deviation function as well as the complete asymptotic…

A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…

We present a stochastic approach to calculate the full statistics of classical voltage fluctuations across an arbitrary, nonlinear, dissipative device embedded in a circuit in the presence of a bias. We show how the feedback resulting from…

Electricity markets often utilize the DC approximation of the AC power flow equations to facilitate solving an otherwise complex nonconvex optimization problem. These DC power flow equations have analogies to DC circuit laws such as…

Linear systems with many degrees of freedom containing multiplicative and additive noise are considered. The steady state probability distribution for equations of this kind is examined. With multiplicative white noise it is shown that…

We suggest an approach to use memristors (resistors with memory) in programmable analog circuits. Our idea consists in a circuit design in which low voltages are applied to memristors during their operation as analog circuit elements and…

The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time…

Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…

Charged systems interacting via Coulomb forces can be efficiently simulated by introducing a local, diffusing degree of freedom for the electric field. This paper formulates the continuum electrodynamic equations corresponding to the…

Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…

This paper presents a novel design of an electronic circuit that is equivalent to a mechanical discontinuous impact oscillator exhibiting hard impacts. The governing equations of the electronic circuit are derived to demonstrate its…

We report experimentally that the electricity is generated from ambient thermal fluctuations across a non-ideal diode consisted of a silicon tip and an aluminum surface. The output is tuned by the contact force which modulates Schottky…

We study the statistics of the amplitude of the synchronization error in chaotic electronic circuits coupled through linear feedback. Depending on the coupling strength, our system exhibits three qualitatively different regimes of…

We experimentally study the fluctuations of the work done by an external Gaussian random force on two different stochastic systems coupled to a thermal bath: a colloidal particle in an optical trap and an atomic force microscopy cantilever.…

We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…

In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…