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

We study the work fluctuations of a particle subjected to a deterministic drag force plus a random forcing whose statistics is of the L\'evy type. In the stationary regime, the probability density of the work is found to have ``fat''…

Market simulator tries to create high-quality synthetic financial data that mimics real-world market dynamics, which is crucial for model development and robust assessment. Despite continuous advancements in simulation methodologies, market…

In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…

We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…

In this paper we present a method to generate independent samples for a general random variable, either continuous or discrete. The algorithm is an extension of the acceptance-rejection method, and it is particularly useful for kinetic…

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…

Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian…

As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks…

In this note we discuss a paradigmatic example of interacting particles subject to non conservative external forces and to the action of thermostats consisting of external (finite) reservoirs of particles. We then consider a model of…

The minimum entropy production principle provides an approximative variational characterization of close-to-equilibrium stationary states, both for macroscopic systems and for stochastic models. Analyzing the fluctuations of the empirical…

A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate…

The prevention of rapidly and steeply falling market prices is vital to avoid financial crisis. To this end, some stock exchanges implement a price limit or a circuit breaker, and there has been intensive investigation into which regulation…

We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance generated by (i) a Gaussian or (ii) a truncated L\'{e}vy…

This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study events of the form $\mathbb{P} \Big ( \mathbf{LMP} \notin…

Increasing shares of fluctuating renewable energy sources induce higher and higher power flow variability at the transmission level. The question arises as to what extent existing networks can absorb additional fluctuating power injection…

One of the recognized principal issues brought along by the steadfast migration towards power electronic interfaced energy sources is the loss of rotational inertia. In conventional power systems, the inertia of the synchronous machines…

This paper analyzes stability conditions for wholesale electricity markets under real-time retail pricing and realistic consumption models with memory, which explicitly take into account previous electricity prices and consumption levels.…

When the number of events associated with a signal process is estimated in particle physics, it is common practice to extrapolate background distributions from control regions to a predefined signal window. This allows accurate estimation…

A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the…

Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the…