相关论文: Market price simulator based on analog electrical …
Distribution locational marginal prices (DLMPs) facilitate the efficient operation of low-voltage electric power distribution systems. We propose an approach to internalize the stochasticity of renewable distributed energy resources (DERs)…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
Traditional electric energy markets do not explicitly model generator contingencies. To improve the representation of resources and to enhance the modeling of uncertainty, existing markets are moving in the direction of including generator…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…
Probabilistic computers replace logic gates with networks of interacting random variables, creating bidirectional systems that can back-derive inputs from outputs. Such architectures enable efficient generation of random samples,…
It is the purpose of this manuscript to place an illustrative demonstration on the measurement of damped electromagnetic oscillations for a RLC circuit that it is easy to set in any physics laboratory equipped with PASCO technologies and…
Topological defects dominate the deformation response of materials in processes ranging from quantum turbulence to crystal plasticity. We calculate the probability distribution function for the fluctuations in velocity $v$, using scaling…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
The quantum fluctuations of fields can exhibit subtle correlations in space and time. As the interval between a pair of measurements varies, the correlation function can change sign, signaling a shift between correlation and…
The validity of the fluctuation theorem for entropy production as deduced from the observation of trajectories implicitly requires that all slow degrees of freedom are accessible. We experimentally investigate the role of hidden slow…
The electricity industry has been one of the first to face technological changes motivated by sustainability concerns. Whilst efficiency aspects of market design have tended to focus upon market power concerns, the new policy challenges…
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…
In this paper, we try to create an effective mathematical model for the well known slayer exciter transformer circuit. We aim to analyze various aspects of the slayer exciter circuit, by using physical and computational methods. We use a…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of securities, on various markets, and on…