Stochastic models of resonating markets |
| |
Authors: | Carlo Lucheroni |
| |
Institution: | 1.Department of Mathematics and Informatics,University of Camerino,Camerino,Italy |
| |
Abstract: | This paper describes a way to model a seasonally and irregularly peaking price dynamics, as that originated in commodity and
energy markets, using a system of coupled nonlinear stochastic differential equations. The specific case of an electric power
market is used to show which microeconomic features this approach is able to model. Critical point analysis is used in a simple
way to show how the interaction between dynamic criticality and stochasticity can be used to develop further models, useful
to explore more deeply other types of peaking price dynamics. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|