Modeling electricity loads in California: a continuous-time approach

In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.Comment: To be published in Physica A (2001): Proceedings of the NATO ARW on Application of Physics in Economic Modelling, Prague, Feb. 8-10, 200

Relaxation under outflow dynamics with random sequential updating

In this paper we compare the relaxation in several versions of the Sznajd model (SM) with random sequential updating on the chain and square lattice. We start by reviewing briefly all proposed one dimensional versions of SM. Next, we compare the results obtained from Monte Carlo simulations with the mean field results obtained by Slanina and Lavicka . Finally, we investigate the relaxation on the square lattice and compare two generalizations of SM, one suggested by Stauffer and another by Galam. We show that there are no qualitative differences between these two approaches, although the relaxation within the Galam rule is faster than within the well known Stauffer rule.Comment: 9 figure

How effective is advertising in duopoly markets?

A simple Ising spin model which can describe the mechanism of advertising in a duopoly market is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site, but spreads outward from the center to the neighbors. The model thus describes the spread of opinions among customers. It is shown via standard Monte Carlo simulations that very simple rules and inclusion of an external field -- an advertising campaign -- lead to phase transitions.Comment: 7 pages, 6 figures; v2: cosmetic change

Continuous Opinions and Discrete Actions in Opinion Dynamics Problems

A model where agents show discrete behavior regarding their actions, but have continuous opinions that are updated by interacting with other agents is presented. This new updating rule is applied to both the voter and Sznajd models for interaction between neighbors and its consequences are discussed. The appearance of extremists is naturally observed and it seems to be a characteristic of this model.Comment: 10 pages, 4 figures, minor changes for improved clarit

Time dependence of the survival probability of an opinion in a closed community

The time dependence of the survival probability of an opinion in a closed community has been investigated in accordance with social temperature by using the Kawasaki-exchange dynamics based on previous study in Ref. [1]. It is shown that the survival probability of opinion decays with stretched exponential law consistent with previous static model. However, the crossover regime in the decay of the survival probability has been observed in this dynamic model unlike previous model. The decay characteristics of both two regimes obey to stretched exponential.Comment: Revised version of the paper (9 page, 5 Figures). Submitted to Int. J. Mod. Phys.

Black swans or dragon kings? A simple test for deviations from the power law

We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or 'only' as black swans

Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion

The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative (commodity) markets like, for instance, data clustering and mean reversion. We apply the diffusion entropy analysis (DEA) to the Nordic spot electricity market (Nord Pool). We study the waiting time statistics between consecutive spot price spikes and find it to show anomalous scaling characterized by a decaying power-law. The exponent observed in data follows a quite robust relationship with the one implied by the DEA analysis. We also in terms of the DEA revisit topics like clustering, mean-reversion and periodicities. We finally propose a GARCH inspired model but for the price itself. Models in the context of stochastic volatility processes appear under this scope to have a feasible description.Comment: 16 pages, 7 figure

Universal relaxation function in nonextensive systems

We have derived the dipolar relaxation function for a cluster model whose volume distribution was obtained from the generalized maximum Tsallis nonextensive entropy principle. The power law exponents of the relaxation function are simply related to a global fractal parameter $\alpha$ and for large time to the entropy nonextensivity parameter $q$. For intermediate times the relaxation follows a stretched exponential behavior. The asymptotic power law behaviors both in the time and the frequency domains coincide with those of the Weron generalized dielectric function derived from an extension of the Levy central limit theorem. They are in full agreement with the Jonscher universality principle. Moreover our model gives a physical interpretation of the mathematical parameters of the Weron stochastic theory and opens new paths to understand the ubiquity of self-similarity and power laws in the relaxation of large classes of materials in terms of their fractal and nonextensive properties.Comment: Two figures. Submitted for publicatio

Charged particle dynamics in the presence of non-Gaussian L\'evy electrostatic fluctuations

Full orbit dynamics of charged particles in a $3$-dimensional helical magnetic field in the presence of $\alpha$-stable L\'evy electrostatic fluctuations and linear friction modeling collisional Coulomb drag is studied via Monte Carlo numerical simulations. The L\'evy fluctuations are introduced to model the effect of non-local transport due to fractional diffusion in velocity space resulting from intermittent electrostatic turbulence. The probability distribution functions of energy, particle displacements, and Larmor radii are computed and showed to exhibit a transition from exponential decay, in the case of Gaussian fluctuations, to power law decay in the case of L\'evy fluctuations. The absolute value of the power law decay exponents are linearly proportional to the L\'evy index $\alpha$. The observed anomalous non-Gaussian statistics of the particles' Larmor radii (resulting from outlier transport events) indicate that, when electrostatic turbulent fluctuations exhibit non-Gaussian L\'evy statistics, gyro-averaging and guiding centre approximations might face limitations and full particle orbit effects should be taken into account.Comment: 5 pages, 5 figures. Accepted as a letter in Physics of Plasma