Relevant bibliographies by topics / Markets – Mathematical models

Academic literature on the topic 'Markets – Mathematical models'

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Published: 10 March 2023

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Journal articles on the topic "Markets – Mathematical models"

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Caulkins, Jonathan P. "Mathematical models of drug markets and drug policy." Mathematical and Computer Modelling 17, no. 2 (January 1993): ix—xi. http://dx.doi.org/10.1016/0895-7177(93)90235-q.

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Yarygina, I. Z., V. B. Gisin, and B. A. Putko. "Fractal Asset Pricing Models for Financial Risk Management." Finance: Theory and Practice 23, no. 6 (December 24, 2019): 117–30. http://dx.doi.org/10.26794/2587-5671-2019-23-6-117-130.

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The article presents the analysis findings of the problems and prospects of using the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The aim of the article is to find out the features of value of bank assets and to develop recommendations for assessing financial risks based on mathematical methods for forecasting economic processes. Theoretical and empirical research methods were used to achieve the aim. The article reveals the features of mathematical modeling of economic processes related to asset pricing in a volatile market. It was proved that using financial mathematics in banking contributes to the stable development of the economy. Mathematical modeling of the price dynamics of financial assets is based on a substantive hypothesis and supported by an adequate apparatus of fractal pair pricing models in order to reveal specific market relations of business entities. According to the authors, the prospects of using forecast models to minimize the financial risks of derivative financial instruments are positive. The authors concluded that the considered methods contribute to managing financial risks and improving forecasts, including operations with derivatives. Besides, the studied fractal volatility parameters proved the predictive power regarding extreme events in financial markets, such as the bankruptcy of Lehman Brothers investment bank in 2008. The relevance of the article is due to the fact that the favorable investment climate and the use of modern financing methods largely depend on the effective financial risk management.
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Kekytė, Ieva, and Viktorija Stasytytė. "Comparative Analysis of Investment Decision Models." Mokslas - Lietuvos ateitis 9, no. 2 (June 2, 2017): 197–208. http://dx.doi.org/10.3846/mla.2017.1023.

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Rapid development of financial markets resulted new challenges for both investors and investment issues. This increased demand for innovative, modern investment and portfolio management decisions adequate for market conditions. Financial market receives special attention, creating new models, includes financial risk management and investment decision support systems.Researchers recognize the need to deal with financial problems using models consistent with the reality and based on sophisticated quantitative analysis technique. Thus, role mathematical modeling in finance becomes important. This article deals with various investments decision-making models, which include forecasting, optimization, stochatic processes, artificial intelligence, etc., and become useful tools for investment decisions.
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Kovalenko, Aleksey. "Mathematical modeling of a multi-product dispersed market in the system of the world economy." Economics and the Mathematical Methods 58, no. 3 (2022): 102. http://dx.doi.org/10.31857/s042473880021698-6.

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Mathematical models are built that is the development of the Walras model of the economy, both centralized and decentralized spatially dispersed economic system with the interactions of subjects of perfect and imperfect competition. The novelty of this model is determined by the introduction into the model of market entities: households, with a description of their functioning using utility functions, these households consume resources for their existence - various types of goods and produce various types of labor to obtain goods;multi-product enterprises that buy various types of commodity and labor resources; resellers who distribute products between local markets and carry out the movement of various types of labor along with the transport network from households to enterprises. When searching for an equilibrium state, the tasks of market subjects in extreme formulations are used. By organizing various types of interactions between subjects in commodity markets, markets of both perfect and imperfect competition are built. Numerical methods for the analysis of the described models have been developed. Numerical methods for finding the equilibrium state of the considered models are based on vector optimization methods.
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Xue, Zhaojie, Shuqing Cheng, Mingzhu Yu, and Liang Zou. "Pricing models of two-sided markets incorporating service quality." Kybernetes 48, no. 8 (September 2, 2019): 1827–50. http://dx.doi.org/10.1108/k-06-2018-0287.

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Purpose This paper aims to study the pricing problems on the two-sided market for cases of monopoly and duopoly competition, specifically investigating the impact of platform service quality on the market. Theoretical analysis and computational studies are conducted to investigate the impact of different parameters on the system outcomes. Design/methodology/approach Mathematical formulations are proposed for cases of monopoly and duopoly competition. For monopolistic market, the optimal pricing and service quality strategies are obtained using mathematical programming method. For duopolistic market, the equilibrium outcomes are derived by game theory. Sensitivity analysis and numerical studies are also adopted to investigate the impact of different parameters. Findings For monopolistic market, the platform will provide a low service quality when the service cost parameter is large. However, when the cost parameter is small, the platform provides a higher service quality and higher registration prices. Furthermore, the sum of the optimal prices is proportional to the service quality and inversely proportional to the user price sensitivity. For duopolistic market, the competitive equilibrium prices exist under a certain condition. The determinants of equilibrium prices are the gap between the service qualities of two platforms and the cross-group externalities. Originality/value For monopolistic market, this paper specifies the role of platform service quality in determining the platform’s pricing strategy. For duopolistic market, this paper presents a market sharing mechanism between two platforms and explores the equilibrium pricing strategies for platforms with different service quality level.
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Makhova, Larisa, Mark Haykin, Irina Glazkova, and Olga Domnina. "Development of Mathematical Models for Trucks and Cargo." Infrastructures 8, no. 2 (January 28, 2023): 17. http://dx.doi.org/10.3390/infrastructures8020017.

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International trade allows countries to expand their markets and access goods and services that otherwise may not have been domestically available. As a result of international trade, the market is more competitive. This ultimately results in more competitive pricing and brings a cheaper product home to the consumer. The development of mathematical models to optimize the delivery of goods using a limited number of trucks is an urgent task for researchers around the world. The research goal was to use a developed mathematical model that allows one to optimize the performance of transportation tasks based on the selected parameters, both in terms of a particular truck and a fleet of trucks in the Russian region. The parameters (function, condition, cost, time, and quality) were set and an algorithm for the process of matching a specific truck and cargo was developed as part of the unit transportation task. A mathematical model has been developed for performing multiple freight tasks and operating a fleet of trucks, which considering such factors as cost, time, quality, and reputation, allows one to find an acceptable solution for a specific transportation task. A mathematical model was developed that considers such factors as cost, time, quality, and reputation, allowing one to find an acceptable solution for a particular transportation task. The simulation was performed in MATLAB 2018. The parameters of the simulations were a population size of 300, a maximum number of iterations of 2000, and a probability of selection of 0.85. From the 30 runs, the optional value was chosen as the best solution. The developed mathematical models have been tested for solving single and multiple transport problems under truck fleet simulation conditions. The results of the work can be used to optimize the operation of truck fleets in the Russian Federation and other countries.
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Zhang, Dong, and Shuhui Li. "Optimal Dispatch of Competitive Power Markets by Using PowerWorld Simulator." International Journal of Emerging Electric Power Systems 14, no. 6 (October 12, 2013): 535–47. http://dx.doi.org/10.1515/ijeeps-2013-0096.

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Abstract The transition to competitive and retail markets for electric utilities around the world has been a difficult and controversial process. One of the difficulties that hindered the development and growth of competitive power markets is the absence of efficient computational tools to assist the design, analysis, and operation of competitive power markets. PowerWorld simulator is a software package that has strong analytical and visualization functions suitable for extensive power flow study of an electric power system. However, like many other power flow simulators, PowerWorld cannot be used directly for analysis and evaluation of a competitive power market. This article investigates mathematical models associated with a competitive power market and how these models can be converted and transformed in such a way that makes it possible to use PowerWorld for the competitive power market study. To validate the effectiveness of the proposed strategy, models of several small-scale competitive power markets are built in MatLab by using conventional approaches. Results generated by both PowerWorld and MatLab are compared. Finally, the article demonstrates how the PowerWorld simulator is used to investigate a larger and practical competitive power system.
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Al-awci, Adel Murtda, and Noori F. Al-Mayahi. "The arbitrage In Securities Market Model And Some There Properties." Al-Qadisiyah Journal Of Pure Science 26, no. 4 (October 29, 2021): 542–49. http://dx.doi.org/10.29350/qjps.2021.26.5.1370.

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The applications of functional analysis in economics began worked out since the by presenting theoretical studies related to the development and balance of financial markets by building mathematical models with linear topological space , describing and defining the economic balance of the stock market in mathematical formulas and terms , and then using the theorems of linear topological spaces such as Han's theorems . Banach , separation theorems , open function theorem ,closed statement theorem and so on to create the necessary and sufficient condition to make the market model achieve viability , achieve no arbitrage , and not recognize No free Lunches
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Saxena, Akash, Adel Fahad Alrasheedi, Khalid Abdulaziz Alnowibet, Ahmad M. Alshamrani, Shalini Shekhawat, and Ali Wagdy Mohamed. "Local Grey Predictor Based on Cubic Polynomial Realization for Market Clearing Price Prediction." Axioms 11, no. 11 (November 8, 2022): 627. http://dx.doi.org/10.3390/axioms11110627.

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With the development of restructured power markets, the profit-making competitive business environment has emerged. With the help of different advanced technologies, generating companies are taking decisions regarding trading electricity with imperfect information about marketing operating conditions. The forecasting of the market clearing price (MCP) is a potential issue in these markets. Early information on the MCP can be a proven beneficial tool for accumulating profit. In this work, a local grey prediction model based on a cubic polynomial function is presented to estimate the MCP with the help of historical data. The mathematical framework of this grey model was established and evaluated for different market conditions and databases. The comparison between traditional grey models and some advanced grey models reveals that the proposed model yields accurate results.
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Popovic, Zoran. "Pareto’s optimum in models of general economic equilibrium with the asset market." Ekonomski anali 52, no. 173 (2007): 36–84. http://dx.doi.org/10.2298/eka0773036p.

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A model of the general economic equilibrium of sequential structures includes the asset market, where assets are instruments of sequential income redistribution. The model should explain relative prices of commodities, on one hand, and establish the asset pricing as an instrument of income redistribution, on the other, enabling the analysis of sequential income transfers. This paper mainly researches Pareto?s optimum of a defined mathematical model of the general economic equilibrium in both complete and incomplete asset markets. The existence of the latter partly disables an economic system to transfer income through time sequences properly, which results in equilibrium allocations not reaching Pareto?s optimum. .
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Dissertations / Theses on the topic "Markets – Mathematical models"

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Putyatin, Vladislav Evgenievich. "Mathematical models for derivative securities markets." Thesis, University of Southampton, 1998. https://eprints.soton.ac.uk/50648/.

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The classical Black-Scholes analysis determines a unique, continuous, trading strategy which allows one to hedge a financial option perfectly and leads to a unique price for the option. It assumes, however, that there are no transaction costs involved in implementing this strategy, and the stock market is absolutely liquid. In this work some new results are obtained to accommodate costs of hedging, which occur in practice, and market imperfections into the option pricing framework. In Part One transaction charges are dealt with by means of the mean-variance technique, originally developed by Markowitz. This approach is based on the minimisation of the variance of the outcome at expiry subject to spending at most a given initial endowment. Since "perfect" replication is no longer possible in this case, there will always be an unavoidable element of risk associated with writing an option. Therefore, the option price is now not unique. A mean-variance approach makes option pricing relatively easy and meaningful to an investor, who is supposed to choose a point on the mean-deviation locus. In the limit of zero transaction costs, the problem naturally reduces to the Black-Scholes valuation method, unlike alternative approaches based on the utility-maximisation. The stochastic optimisation problem obtained is dealt with by means of the stochastic version of Pontryagin's maximum principle. This technique is believed to be applied to this kind of problem for the first time. In general the resulting free-boundary problem has to be solved numerically, but for a small level of proportional transaction costs an asymptotic solution is possible. Regions of short term and long term dynamics are identified and the intermediate behaviour is obtained by matching these regions. The perturbation analysis of the utility-maximisation approach is also revised in this work, and amendments are obtained. In addition, the maximum principle is applied to the Portfolio Selection problem of Markowitz. The dynamical rebalancing technique developed in this work proves more efficient than the classical static approach, and allows investors to obtain portfolios with lower levels of risk. The model presented in Part Two is an attempt to quantify the concept of liquidity and establish relations between various measures of market performance. Informational inefficiency is argued to be the main reason for the unavailability of an asset at its equilibrium price. A mathematical model to describe the asset price behaviour together with arbitrage considerations enable us to estimate the component of the bid-ask spread arising from the outstanding information. The impact of the market liquidity on hedging an option with another option as well as the underlying asset itself is also examined. Although in the last case uncertainty cannot be completely eliminated from the hedged portfolio, a unique risk-minimising strategy is found.
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Burth, Angela J. "Virtual military markets." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2005. http://library.nps.navy.mil/uhtbin/hyperion/05Sep%5FBurth.pdf.

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關惠貞 and Wai-ching Josephine Kwan. "Trend models for price movements in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211513.

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Karoui, Lotfi. "Three essays on fixed income markets." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103203.

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This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps indicating some form of segmentation between long-maturity and short-maturity bonds. These results are robust to the choice of sample period, interpolation method and estimation method. In the second essay, we propose the use of the unscented Kalman filter technique for the estimation of affine term structure models using non-linear instruments. We focus on swap rates and show that the unscented Kalman filter leads to important reductions in bias and gains in precision. The use of the unscented Kalman filter results in substantial improvements in out-of-sample forecasts. Our findings suggest that the unscented Kalman filter may prove to be a good approach for a number of problems in fixed income pricing in which the relationship between the state vector and the observations is nonlinear, such as the estimation of term structure models using interest rate derivatives or coupon bonds, and the estimation of quadratic term structure models. The third essay provides a tractable framework for pricing defaultable securities with recovery risk. Pricing solutions are explored for a large family of discrete-time affine processes and a five-factor Gaussian model is estimated on BBB and B Standard and Poor's yield indices. This rich econometric setup allows the model to simultaneously capture two important stylized facts of defaultable securities: The positive correlation between the loss given default and the intensity of default, and the negative correlation between the intensity of default and the risk-free interest rate.
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Babbar, Katia Amrit. "Aspects of stochastic implied volatility in financial markets." Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.274925.

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Hasan, Ebrahim A. Rahman. "Strategic Genco offers in electric energy markets cleared by merit order." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=115916.

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In an electricity market cleared by merit-order economic dispatch we identify necessary and sufficient conditions under which the market outcomes supported by pure strategy Nash equilibria (NE) exist when generating companies (Gencos) game through continuously variable incremental cost (IC) block offers. A Genco may own any number of units, each unit having multiple blocks with each block being offered at a constant IC.
Next, a mixed-integer linear programming (MILP) scheme devoid of approximations or iterations is developed to identify all possible NE. The MILP scheme is systematic and general but computationally demanding for large systems. Thus, an alternative significantly faster lambda-iterative approach that does not require the use of MILP was also developed.
Once all NE are found, one critical question is to identify the one whose corresponding gaming strategy may be considered by all Gencos as being the most rational. To answer this, this thesis proposes the use of a measure based on the potential profit gain and loss by each Genco for each NE. The most rational offer strategy for each Genco in terms of gaming or not gaming that best meets their risk/benefit expectations is the one corresponding to the NE with the largest gain to loss ratio.
The computation of all NE is tested on several systems of up to ninety generating units, each with four incremental cost blocks. These NE are then used to examine how market power is influenced by market parameters, specifically, the number of competing Gencos, their size and true ICs, as well as the level of demand and price cap.
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Wong, Chun-mei May, and 王春美. "The statistical tests on mean reversion properties in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211975.

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董森 and Sen Dong. "Two essays on idiosyncratic volatility of stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2002. http://hub.hku.hk/bib/B31225937.

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Thai, Doan Hoang Cau Australian Graduate School of Management Australian School of Business UNSW. "Analysing tacit collusion in oligopolistic electricity markets using a co-evolutionary approach." Awarded by:University of New South Wales. Australian Graduate School of Management, 2005. http://handle.unsw.edu.au/1959.4/22478.

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Wholesale electricity markets now operate in many countries around the world. These markets determine a spot price for electricity as the clearing price when generators bid in energy at various prices. As the trading in a wholesale electricity market can be seen as a dynamic repeated game, it would be expected that profit maximising generators learn to engage in tacit collusion to profitably increase spot market prices. This thesis investigates this tacit collusion of generators in oligopolistic electricity markets. We do not follow the approach of previous work in game theory that presupposes firms' collusive strategies to enforce collusion in an oligopoly. Instead, we develop a co-evolutionary approach (extending previous work in this area) using a genetic algorithm (GA) to co-evolve strategies for all generators in some stylised models of an electricity market. The bidding strategy of each generator is modelled as a set of bidding actions, one for each possible discrete state of the state space observed by the generator. The market trading interactions are simulated to determine the fitness of a particular strategy. The tacitly collusive outcomes and strategies emerging from computational experiments are thus obtained from the learning or evolutionary process instead of from any pre-specification. Analysing many of those emergent collusive outcomes and strategies. we are able to specify the mechanism of tacit collusion and investigate how the market environment can affect it. We find that the learned collusive strategies are similar to the forgiving trigger strategies of classical supergame theory (Green and Porter, 1984). Also using computational experiments, we can determine which characteristics of the market environment encourage or hinder tacit collusion. The findings from this thesis provide insights on tacit collusion in an oligopoly and policy implications from a learning perspective. With modelling flexibility, our co-evolutionary approach can be extended to study strategic behaviour in an oligopoly considering many other market characteristics.
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Lee, Kelvin. "A study of supply function equilibria in electricity markets /." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=112573.

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Deregulation is a growing trend and the electricity industry has not escaped its reaches. With worldwide experiences spanning only thirty years, there is substantial interest in analyzing current and future market designs so that market power cannot be used to increase the price of electricity significantly.
This thesis analyzes market power in electricity markets through the notion of Nash equilibrium (NE) and, more specifically, through Supply Function Equilibrium (SFE). We will examine how SFE can be modified to incorporate capacity constraints on generators and generating companies (gencos) controlling more than one generator for a Poolco electricity market with marginal pricing.
A genco's supply function is assumed to be of the form gi=l-aibi . Gaming is done either with ai or bi only, while keeping the other parameter at true cost. Gaming with both variables cannot be analyzed since the problem would have too many degrees of freedom. For each possible generator output level (minimum output, maximum output, or in between), analytical methods are employed to determine all candidate Nash equilibria. Then, simulations are performed over the range of possible genco offers to determine whether these candidates meet the complete set of Nash equilibrium criteria, specifically whether any genco can or cannot improve its profit by gaming.
For various inelastic demand levels, study cases indicate that there are either no Nash equilibria or only one. In the multi-unit genco case, the price of electricity is found to be higher than in the case where each genco owns only one generator, illustrating the effect of market concentration on the price. Whether capacity constraints are considered or not, the price of electricity appears to be higher if gencos are allowed to game with bi instead of ai.
The inclusion of capacity constraints on generators and the consideration of the multi-unit genco case will allow for better genco modeling in a Poolco market with marginal pricing. In turn, this will lead to more accurate analysis of the effects of current and possible rules and regulations on the price of electricity.
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Books on the topic "Markets – Mathematical models"

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Security markets: Stochastic models. Boston: Academic Press, 1988.

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Krouglov, Alexei. Mathematical dynamics of economic markets. New York: Nova Science Publishers, 2005.

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1941-, Stahl Konrad, ed. Microeconomic models of housing markets. Berlin: Springer-Verlag, 1985.

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Capiński, Marek. Discrete models of financial markets. Cambridge: Cambridge University Press, 2012.

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Wiesmeth, Hans. Complete markets. Toronto: York University, Department of Economics, 1987.

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Ahmed, Ayaz. Stock market interlinkages in emerging markets. Islamabad: Pakistan Institute of Development Economics, 1998.

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Cochrane, John H. Financial markets and the real economy. Hanover, Mass: Now Publishers, 2006.

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Cochrane, John H. Financial markets and the real economy. Cambridge, MA: National Bureau of Economic Research, 2005.

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Kaplow, Louis. Why (ever) define markets. Cambridge, MA: Harvard Law School, 2010.

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Bansal, Ravi. Interpretable asset markets? Cambridge, Mass: National Bureau of Economic Research, 2002.

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Book chapters on the topic "Markets – Mathematical models"

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Gallo, Claudio. "Mathematical Models of Financial Markets." In Applications of Mathematics in Models, Artificial Neural Networks and Arts, 123–30. Dordrecht: Springer Netherlands, 2010. http://dx.doi.org/10.1007/978-90-481-8581-8_6.

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Feijoo, Felipe, Sriram Sankaranarayanan, Charalampos Avraam, and Sauleh A. Siddiqui. "Mathematical Models for Evolving Natural Gas Markets." In Pursuing Sustainability, 359–86. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-58023-0_15.

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Biagini, Francesca. "A Quadratic Approach To Interest Rates Models In Incomplete Markets." In Mathematical Finance, 89–98. Basel: Birkhäuser Basel, 2001. http://dx.doi.org/10.1007/978-3-0348-8291-0_8.

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Florenzano, Monique, Pascal Gourdel, and Mário R. Páscoa. "Classical Overlapping Generations Models with Incomplete Markets." In Approximation, Optimization and Mathematical Economics, 97–108. Heidelberg: Physica-Verlag HD, 2001. http://dx.doi.org/10.1007/978-3-642-57592-1_8.

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Lando, David. "Some Lessons From CDO Markets on Mathematical Models." In Global Asset Management, 74–92. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137328878_4.

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Marsili, Matteo. "Toy Models of Markets with Heterogeneous Interacting Agents." In Lecture Notes in Economics and Mathematical Systems, 161–82. Berlin, Heidelberg: Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/978-3-642-56472-7_11.

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Schäfer, Martin. "Dynamic Models of Resource Extraction and Duopolistic Markets." In Lecture Notes in Economics and Mathematical Systems, 82–120. Berlin, Heidelberg: Springer Berlin Heidelberg, 1986. http://dx.doi.org/10.1007/978-3-642-48922-8_4.

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Cordier, Stephane, Dario Maldarella, Lorenzo Pareschi, and Cyrille Piatecki. "Microscopic and kinetic models in financial markets." In Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences, 51–80. Boston: Birkhäuser Boston, 2010. http://dx.doi.org/10.1007/978-0-8176-4946-3_3.

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Aggarwal, Shikha, and Narain Gupta. "Applications of Mathematical Programming Models for Product Mix Optimization in World Steel Industry: Challenges and Directions." In Managing in Recovering Markets, 133–42. New Delhi: Springer India, 2014. http://dx.doi.org/10.1007/978-81-322-1979-8_10.

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Schäfer, Martin. "Dynamic Models with Uncertainty and Monopolistic Markets or Pure Competition." In Lecture Notes in Economics and Mathematical Systems, 31–76. Berlin, Heidelberg: Springer Berlin Heidelberg, 1986. http://dx.doi.org/10.1007/978-3-642-48922-8_2.

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Conference papers on the topic "Markets – Mathematical models"

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Carraretto, Cristian. "Optimum Management of Cogeneration Power Plants With Thermal Storage in Day-Ahead Electricity Markets." In ASME 2003 International Mechanical Engineering Congress and Exposition. ASMEDC, 2003. http://dx.doi.org/10.1115/imece2003-43880.

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The development of proper tools for power plants production planning is becoming crucial to profitably compete in a deregulated market scenario. Two numerical techniques, the former based on the dynamic programming, the latter on an original real-coded genetic algorithm, are suggested in this paper to optimize the management of cogeneration power plants with thermal storage. Detailed mathematical models are required to simulate plant part-load performance in order to evaluate possible operation plans profitability. Electricity price trends, forecasted from market analyses, are used as input data. Technical constrains and those derived from the market characteristics are included in the optimization problem. The suggested approaches are applied to some possible market situations, typical of different seasons and competition intensities. Results obtained are compared in terms of accuracy and resolution time. Iterative analyses are also performed to assess possible management flexibility improvements resulting from different design choices of the cogeneration system.
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Jiang, Bo, Amro M. Farid, and Kamal Youcef-Toumi. "Impacts of Industrial Baseline Errors on Costs and Social Welfare in the Demand Side Management of Day-Ahead Wholesale Markets." In ASME 2015 9th International Conference on Energy Sustainability collocated with the ASME 2015 Power Conference, the ASME 2015 13th International Conference on Fuel Cell Science, Engineering and Technology, and the ASME 2015 Nuclear Forum. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/es2015-49459.

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Demand Side Management (DSM) has been recognized for its potential to counteract the intermittent nature of renewable energy, increase system efficiency, and reduce system costs. While the popular approach among academia adopts a social welfare maximization formulation, the industrial practice in the United States electricity market compensates customers according to their load reduction from a predefined electricity consumption baseline that would have occurred without DSM. This paper is an extension of a previous paper studying the differences between the industrial & academic approach to dispatching demands. In the previous paper, the comparison of the two models showed that while the social welfare model uses a stochastic net load composed of two terms, the industrial DSM model uses a stochastic net load composed of three terms including the additional baseline term. That work showed that the academic and industrial optimization method have the same dispatch result in the absence of baseline errors given the proper reconciliation of their respective cost functions. DSM participants, however, and very much unfortunately, are likely to manipulate the baseline in order to receive greater financial compensation. This paper now seeks to study the impacts of erroneous industrial baselines in a day-ahead wholesale market context. Using the same system configuration and mathematical formalism, the industrial model is compared to the social welfare model. The erroneous baseline is shown to result in a different and more importantly costlier dispatch. It is also likely to require more control activity in subsequent layers of enterprise control. Thus an erroneous baseline is likely to increase system costs and overestimate the potential for social welfare improvements.
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Rezapour, Shabnam, Janet K. Allen, and Farrokh Mistree. "Uncertainty Propagation in a Supply Chain / Network With Uncertain Facility Performance." In ASME 2014 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2014. http://dx.doi.org/10.1115/detc2014-34255.

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Decentralized production systems in supply chains / networks makes them more profitable and agile than traditional enterprises with centralized production systems. However, this decentralization makes supply chains / networks more vulnerable respect to uncertainties which are unavoidable. Today’s supply chains / networks producing and supplying their products to markets are characterized by uncertain demands (called demand-side uncertainty) and uncertainties associated with the performances of their constituent production facilities (called supply-side uncertainty). Supply-side uncertainty is due to the fact that there is not any perfect production system. Sparse literature of supply-side uncertainty management in supply chains / networks is only restricted to supply chains / networks with single-echelon supply processes. However most of the real case supply chains / networks have longer production processes involving suppliers of suppliers, suppliers, component manufacturers, assemblers, etc. In this paper we fill this gap of the literature by considering a supply chain/network with multi-echelon supply process including unreliable production facilities working in markets with uncertain demands. We show that in such a complex production process in addition to investigating the local effects of the uncertainties in the performances of their corresponding facilities, it is necessary to consider their global and cumulative effect on the performance of the entire supply chain/networks by following the propagation of these uncertainties in the flow of the material and product. Not only we introduce and describe the salient features of uncertainty propagation phenomenon in supply chains/networks, but also we demonstrate its quantification approach. Finally we propose mathematical models and solution approaches that can provide robust production plans for the supply chain/network that are protected against all demand and supply side uncertainties and their propagated effects. Performances of the proposed models and solution approaches are tested with test problems and a real case problem from automotive industry.
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Sinha, Kaushik, Edoardo F. Colombo, Narek R. Shougarian, and Olivier L. de Weck. "A Simplified Mathematical Model for Two-Sided Market Systems With an Intervening Engineered Platform." In ASME 2015 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/detc2015-46657.

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A two-sided market involves two different user groups whose interactions are enabled over a platform that provides a distinct set of values to either side. In such market systems, one side’s participation depends on the value created by presence of the other side over the platform. Two-sided market platforms must acquire enough users on both sides in appropriate proportions to generate value to either side of the user market. In this paper, we present a simplified, generic mathematical model for two-sided markets with an intervening platform that enables interaction between the two different sets of users with distinct value propositions. The proposed model captures both the same side as well as cross-side effects (i.e., network externalities) and can capture any behavioral asymmetry between the different sides of the two-sided market system. The cross-side effects are captured using the notion of affinity curves while same side effects are captured using four rate parameters. We demonstrate the methodology on canonical affinity curves and comment on the attainment of stability at the equilibrium points of two-sided market systems. Subsequently a stochastic choice-based model of consumers and developers is described to simulate a two-sided market from grounds-up and the observed affinity curves are documented. Finally we discuss how the two-sided market model links with and impacts the engineering characteristics of the platform.
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Zolubak, Magda, Barbara Grochowicz, Mariusz Pelc, and Aleksandra Kawala-Sterniuk. "Stress analysis recorded in the EEG signal based on mathematical markers." In 2019 24th International Conference on Methods and Models in Automation and Robotics (MMAR). IEEE, 2019. http://dx.doi.org/10.1109/mmar.2019.8864712.

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Zeng, Lijiang. "A Basic Application of Mathematical Tool to Market Prices." In 2015 International Conference on Education Reform and Modern Management. Paris, France: Atlantis Press, 2015. http://dx.doi.org/10.2991/ermm-15.2015.102.

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Rougon, Nicolas F., and Francoise J. Preteux. "Deformable markers: mathematical morphology for active contour models control." In San Diego, '91, San Diego, CA, edited by Paul D. Gader and Edward R. Dougherty. SPIE, 1991. http://dx.doi.org/10.1117/12.49885.

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Prescott, Jonathan, Curtis Patterson, and Arfeen Najeeb. "Use of Inertial Measurement Unit In-Line Inspection Data to Support Code Stress Compliance and Integrity Evaluations." In 2022 14th International Pipeline Conference. American Society of Mechanical Engineers, 2022. http://dx.doi.org/10.1115/ipc2022-87046.

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Abstract Pipelines are an essential segment of infrastructure required to transport a variety of products to markets in our economies. The integrity and safe operation of those pipeline necessitates that pipeline operators have a thorough understanding of their pipeline systems, their configuration, and the changing operating condition within their pipeline networks. Inertial measurement unit (IMU), a technology that can measure the angular rate and acceleration and when combined with global positioning and navigation equipment such as pipeline above ground markers, can calculate position and orientation with 6 degrees of freedom: x, y, z, and pitch, roll, and yaw. IMU launched within the pipeline via in-line inspection tool trains, can be used to develop accurate three-dimensional geometry of the pipelines they inspect. This information can be used to confirm the geometry of the pipeline (i.e. degree of roping, bend angle, bend radius, and other abnormalities observed within the generated centerline from the inspection based on conventional construction practices). Therefore, the application of IMU technology within pipeline design and integrity work can be a useful tool in providing the necessary input information which can support ongoing studies such as verification of maximum operating thermal differentials which can be imposed on a pipeline to remain compliant with governing pipeline codes, and/or the information can be used to perform gap analysis studies with other integrity records (alignment sheets, as-built pipe tallies), or to support other pipeline integrity evaluations. When IMU data is processed with mathematical techniques essential information from IMU data can be obtained such as bend angle, bend radius, and degree of installed curvature. A case study showing the results of the application of processed IMU data for as-built evaluation is presented and its use to help support a variety of decision making is discussed. The IMU data is a key data input when constructing detailed finite element models for on-going stress analysis studies.
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Azad, Saeed, and Ehsan Ghotbi. "Nash Equilibrium of a Retail Electricity Market With a High Penetration of Small Renewable Suppliers." In ASME 2016 Power Conference collocated with the ASME 2016 10th International Conference on Energy Sustainability and the ASME 2016 14th International Conference on Fuel Cell Science, Engineering and Technology. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/power2016-59388.

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Increasing the level of the competition, a worldwide trend in the evolution of electricity markets, has made game theory a notably popular approach to find the market equilibrium. This paper models a retail electricity market with a high penetration of renewable resources. Using game theory, the clearing electricity prices, as well as the optimum behavior of market participants are obtained. In this model, which is inspired by the “Energy Internet” concept, consumers play an active role in managing their load demands. This highly dynamic model allows us to analyze consumers’ reaction to price fluctuations. Spot pricing, which is employed here to model the electricity market, can make consumers react to the high electricity prices. This is particularly important in the demand side management, where consumers should modify their demand through financial incentives. Two types of active players are considered in this electricity market, small electricity suppliers and consumers. Electricity grid, while present in the market, only takes the responsibility to compensate for the deficiency of power from small and mid-size suppliers. The problem is formulated mathematically, subject to a number of local and global constraints to find the Nash equilibrium.
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Hilber, Norbert, Christoph Schwab, and Christoph Winter. "Variational sensitivity analysis of parametric Markovian market models." In Advances in Mathematics of Finance. Warsaw: Institute of Mathematics Polish Academy of Sciences, 2008. http://dx.doi.org/10.4064/bc83-0-6.

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