Equilibrium Values in a Competitive Power Exchange Market

We consider an open electricity market with demand uncertainty.In this market, the generators each decide on a bidding price tomaximize profit. Units are dispatched in order of the bid from lowestto highest until demand is satisfied. The market clearing price isthe highest bid among the dispatched units.All dispatched units are then sold at this market clearing price.Under a market stability assumption, we derive Nashequilibrium solutions, i.e., bidders' optimal bidding strategiesand the resulting market clearing price.     

A Nash Equilibrium for Differential Games with Moving-Horizon Strategies

Computational Economics - Our paper aims at introducing a moving-horizon interaction in a strategic context. We assume that, in each instant of time, players can predict the effects of their...     

人工神经元BP网络在股市预测方面的应用

介绍了人工神经元网络在经济领域的应用，主要探讨BerndFreisleben的研究方法，即利用神经BP网络对股票市场股份走势进行预测的方法，重点对利用各种不同网络结构和网络参数所得预测结果进行分析。提出了综合股票历史价格和其他经济因素的精确预测方法。     

Dynamic Spatial Equilibrium Models: an Application to the Natural Gas Spot Markets

Networks and Spatial Economics - European gas markets have gone through profound restructuring processes in the last 20 years. Directive 98/30/EC represented the first attempt to liberalize this...     

基于Retri网的市场需求预测模型研究

市场需求预测问题具有多因素、离散、动态和并发等特点，尤其是并发性始终影响预测结果的稳定性和精度。本文利用Ｐｅｔｒｉ网良好的离散事件动态表达和计算能力以及图形表示的直观性，建立市场需求预测问题的Ｐｅｔｒｉ网模型，并对模型的动态、并发问题进行分析     

Computing Equilibrium Wealth Distributions in Models with Heterogeneous-Agents, Incomplete Markets and Idiosyncratic Risk

This paper describes an accurate, fast and robust fixed point method for computing the stationary wealth distributions in macroeconomic models with a continuum of infinitely-lived households who face idiosyncratic shocks with aggregate certainty. The household wealth evolution is modeled as a mixture Markov process and the stationary wealth distributions are obtained using eigen structures of transition matrices by enforcing the conditions for the Perron–Frobenius theorem by adding a perturbation constant to the Markov transition matrix. This step is utilized repeatedly within a binary search algorithm to find the equilibrium state of the system. The algorithm suggests an efficient and reliable framework for studying dynamic stochastic general equilibrium models with heterogeneous agents.     

Restricted Participation on Financial Markets: A General Equilibrium Approach Using Variational Inequality Methods

Networks and Spatial Economics - We deal with the analysis of a general equilibrium model with restricted participation in financial markets and with numeraire assets. We consider an exchange...     

The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach

There is still much that is unknown about the interactions among financial markets, and about the relationships between stock prices and exchange rates. This topic gains attention during financial crises, and many papers try to find empirical regularities emerging from financial data, or to study contagion processes. In this paper we present a study on the interplay between two stock markets and one foreign exchange market extending the framework provided by the Genoa Artificial Stock Market. There are four different trading strategies, and the agents are divided into two groups: those who trade in the stock markets and those who trade in the FOREX. We studied three market conditions: the FOREX dynamics, the behavior of the two stock markets together with the FOREX, and finally we conducted a what-if analysis for testing the effects of a inflationary monetary shock of one currency affecting all of the three markets.     

基于DBN深度学习的期货市场价格预测建模与决策

深度学习通过学习深层非线性网络结构即可实现复杂函数的逼近,可以从大量无标注样本集中学习数据集的本质特征。而深度信念网络(DBN)是由多层随机隐变量组成的贝叶斯概率生成模型,可以作为深度神经网络的预训练环节,为该网络提供初始权重。基于该模型的一个高效学习算法不仅解决了模型训练速度慢的问题,还能产生非常好的参数初始值,极大地提升了模型的建模能力。金融市场是一个多变量非线性系统,通过运用DBN模型进行分析预测可以很好地解决其他预测方法初始权重难以确定的问题。文中以原油期货市场价格预测为例,说明了运用DBN模型进行预测和决策的可行性及有效性。     

The Cooperative Work of Gaming: Orchestrating a Mobile SMS Game

This paper focuses on orchestration work in the first iteration of a mobile game called Day Of The Figurines, which explores the potential to exploit text messaging as a means of creating an engaging gaming experience. By focusing on orchestration we are especially concerned with the ‘cooperative work that makes the game work’. While the assemblage or family of orchestration practices uncovered by our ethnographic study are specific to the game – including the ways in which behind the scenes staff make sense of messages, craft appropriate responses, and manage and track the production of gameplay narratives as the game unfolds – orchestration work is of general significance to our understanding of new gaming experiences. The focus on orchestration work reveals that behind the scenes staff are co-producers of the game and that the playing of games is, therefore, inseparably intertwined with their orchestration. Furthermore, orchestration work is ‘ordinary’ work that relies upon the taken for granted skills and competences of behind the scenes staff; ‘operators’ and ‘authors’ in this case. While we remain focused on the specifics of this game, explication of the ordinary work of orchestration highlights challenges and opportunities for the continued development of gaming experiences more generally. Indeed, understanding the specificities of orchestration work might be said to be a key ingredient of future development.     

A Primal-Dual Algorithm for the Computation of Market Equilibrium with Logarithmic Utility Functions

We develop an algorithm for computing the equilibrium price in the Fisher’s exchange market model with logarithmic utility functions. The algorithm is proved to converge to the equilibrium price in finite time and performs well in experimental tests. Supported by Natural Science Foundation of China (No.60135010,60321002) and the Chinese National Key Foundation Research and Development Plan (2004CB318108).     

Combining Futures and Spot Markets: A Hybrid Market Approach to Economic Grid Resource Management

Economic forms of resource management in which users can express their valuations for service, offer new possibilities for optimizing resource allocations in Grids. If users are to correctly express these valuations, quality of service guarantees need to be given with respect to the turnaround time of their workloads. Market mechanisms that support bidding and allocations in future time are crucial for delivering such guarantees. To deal with the significant delays that these mechanisms introduce in the allocation process, we present a hybrid market approach in which a low-latency spot market coexists with a higher latency futures market. Based on simulated market scenarios, we show how this combination can significantly increase the total value realized by the Grid infrastructure. We also demonstrate how providers can react to price dynamics in such a hybrid market setting.     

Market Incompleteness in Regional Electricity Transmission. Part II: The Forward and Real Time Markets

The paper extends our previous analysis of market incompleteness to the case where there exist both a forward and real time market. The discussion is conducted with reference to a two-stage framework commonly used in stochastic programming and finance, but also familiar to the power industry. The paper considers two market designs. The first organization assumes that physical transmission services are auctioned in the forward market. The second organization supposes a financial market of transmission services. We recover the known perfect hedging property of nodal pricing and show that the flowgate model does not share this property. A standard proposition in finance is that market completeness requires that the number of tradable instruments is equal to or exceeds the number of risk factors. We show that none of the nodal or flowgate models satisfy this property. Other instruments, of the option type, should thus be introduced in these systems in order to better trade risk and complete the market.     

马尔柯夫链在陶瓷产品市场预测与决策中的应用

对销售市场来说,影响陶瓷产品销售的因素是多方面的,有自身的因素,同时还有外界的随机因素,这些因素会造成陶瓷商品销售量很大的波动幅度,用简单的回归方法难以预测,而马尔柯夫链不受上述因素的影响。本文利用马尔柯夫链理论对陶瓷产品销售市场的未来趋势进行建模,分析陶瓷产品在市场上的状态分布,得到了比较稳定的预测值,从而为提高陶瓷企业的市场竞争力、预测能力及其产品的市场占有率提供了理论依据。     

Stackelberg Equilibrium in a Dynamic Stimulation Model with Complete Information

We consider a stimulation model with Markov dynamics and discounted optimality criteria in case of discrete time and infinite planning horizon. In this model, the regulator has an economic impact on the executor, choosing a stimulating function that depends on the system state and the actions of the executor, who employs positional control strategies. System dynamics, revenues of the regulator and costs of the executor depend on the system state and the executor’s actions. We show that finding an approximate solution of the (inverse) Stackelberg game reduces to solving the optimal control problem with criterion equal to the difference between the revenue of the regulator and the costs of the executor. Here the ε-optimal strategy of the regulator is to economically motivate the executor to follow this optimal control strategy.     

Complementarity Modeling of a Ramsey-Type Equilibrium Problem with Heterogeneous Agents

We contribute to the field of Ramsey-type equilibrium models with heterogeneous agents. To this end, we state such a model in a time-continuous and time-discrete form, which in the latter case leads to a finite-dimensional mixed complementarity problem. We prove the existence of solutions of the latter problem using the theory of variational inequalities and present further properties of its solutions. Finally, we compute the growth dynamics in a calibrated model in which households differ with respect to their relative risk aversion, their discount factors, their initial wealth, and with respect to their interest rates on savings.