72,179 research outputs found
The virtues and vices of equilibrium and the future of financial economics
The use of equilibrium models in economics springs from the desire for
parsimonious models of economic phenomena that take human reasoning into
account. This approach has been the cornerstone of modern economic theory. We
explain why this is so, extolling the virtues of equilibrium theory; then we
present a critique and describe why this approach is inherently limited, and
why economics needs to move in new directions if it is to continue to make
progress. We stress that this shouldn't be a question of dogma, but should be
resolved empirically. There are situations where equilibrium models provide
useful predictions and there are situations where they can never provide useful
predictions. There are also many situations where the jury is still out, i.e.,
where so far they fail to provide a good description of the world, but where
proper extensions might change this. Our goal is to convince the skeptics that
equilibrium models can be useful, but also to make traditional economists more
aware of the limitations of equilibrium models. We sketch some alternative
approaches and discuss why they should play an important role in future
research in economics.Comment: 68 pages, one figur
Frontiers of finance: Evolution and efficient markets
In this review article we explore several recent advances in the quantitative
modeling of financial markets. We begin with the Efficient Markets Hypothesis
and describe how this controversial idea has stimulated a number of new
directions of research, some focusing on more elaborate mathematical models
that are captable of rationalizing the empirical facrts, others taking a
completely different different tack in rejecting rationality altogether. One of
the most promising directions is to view financial markets from a biological
perspective and, specifically, with an evolutionary framework in which markets,
instruments, institutions, and investors interact and evolve dynamically
according to the "law" of economic selection. Under this view, financial agents
compete and adapt, but they do not necessarily do so in an optimal fashion.
Evolutionary and ecological models of financial markets is truly a new frontier
whose exploration has just begun.Comment: 2 page
Characterization and Modeling of Spectrum Trading Markets
Telecommunication regulators are facing increasing pressure to make spectrum resources more widely available to new wireless services and providers. In spectrum trading markets, buyers and sellers determine the assignments of spectrum and, possibly, its uses. These markets are being considered or implemented by the regulatory bodies of many countries as a way to provide increasing efficiency in the use of spectrum and attend the demand for this resource. This work describes a classification for the implementation of spectrum trading markets and a way to model them and identify the conditions for their viability. Specifically, we make use of Agent-Based Computational Economics (ACE) to model the participants in these markets, analyze the behaviors that emerge from the interactions of its participants and determine the conditions for viable markets. Our results, provide guidelines that can be used by regulators and wireless service providers for the design and implementation of these markets
Q-Strategy: A Bidding Strategy for Market-Based Allocation of Grid Services
The application of autonomous agents by the provisioning and usage of computational services is an attractive research field. Various methods and technologies in the area of artificial intelligence, statistics and economics are playing together to achieve i) autonomic service provisioning and usage of Grid services, to invent ii) competitive bidding strategies for widely used market mechanisms and to iii) incentivize consumers and providers to use such market-based systems.
The contributions of the paper are threefold. First, we present a bidding agent framework for implementing artificial bidding agents, supporting consumers and providers in technical and economic preference elicitation as well as automated bid generation by the requesting and provisioning of Grid services. Secondly, we introduce a novel consumer-side bidding strategy, which enables a goal-oriented and strategic behavior by the generation and submission of consumer service requests and selection of provider offers. Thirdly, we evaluate and compare the Q-strategy, implemented within the presented framework, against the Truth-Telling bidding strategy in three mechanisms β a centralized CDA, a decentralized on-line machine scheduling and a FIFO-scheduling mechanisms
Hysteresis and economics - taking the economic past into account
The goal of this article is to discuss the rationale underlying the application of hysteresis to economic models. In particular, we explain why many aspects of real economic systems are hysteretic is plausible. The aim is to be explicit about the difficulties encountered when trying to incorporate hysteretic effects into models that can be validated and then used as possible tools for macroeconomic control. The growing appreciation of the ways that memory effects influence the functioning of economic systems is a significant advance in economic thought and, by removing distortions that result from oversimplifying specifications of input-output relations in economics, has the potential to narrow the gap between economic modeling and economic reality
An Exchange Mechanism to Coordinate Flexibility in Residential Energy Cooperatives
Energy cooperatives (ECs) such as residential and industrial microgrids have
the potential to mitigate increasing fluctuations in renewable electricity
generation, but only if their joint response is coordinated. However, the
coordination and control of independently operated flexible resources (e.g.,
storage, demand response) imposes critical challenges arising from the
heterogeneity of the resources, conflict of interests, and impact on the grid.
Correspondingly, overcoming these challenges with a general and fair yet
efficient exchange mechanism that coordinates these distributed resources will
accommodate renewable fluctuations on a local level, thereby supporting the
energy transition. In this paper, we introduce such an exchange mechanism. It
incorporates a payment structure that encourages prosumers to participate in
the exchange by increasing their utility above baseline alternatives. The
allocation from the proposed mechanism increases the system efficiency
(utilitarian social welfare) and distributes profits more fairly (measured by
Nash social welfare) than individual flexibility activation. A case study
analyzing the mechanism performance and resulting payments in numerical
experiments over real demand and generation profiles of the Pecan Street
dataset elucidates the efficacy to promote cooperation between co-located
flexibilities in residential cooperatives through local exchange.Comment: Accepted in IEEE ICIT 201
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