Charles J. Gieseler | Searcharxiv

arXiv2009

Emergence of Price Divergence in a Model Short-Term Electric Power Market

A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own budget and preferences but not those of any other agent. The near-equilibrium price established mid-way through the trading session diverges to both much higher and much lower prices towards the end of the trading session. This price divergence emerges in the model without any possibility that the agents could have conspired to "game" the market. The results were weakly sensitive to the endowments but strongly sensitive to the nature of the agent's preferences and budget constraints.

q-fin.TR↗

arXiv2007

Limits on Relief through Constrained Exchange on Random Graphs

Agents are represented by nodes on a random graph (e.g., small world or truncated power law). Each agent is endowed with a zero-mean random value that may be either positive or negative. All agents attempt to find relief, i.e., to reduce the magnitude of that initial value, to zero if possible, through exchanges. The exchange occurs only between agents that are linked, a constraint that turns out to dominate the results. The exchange process continues until a Pareto equilibrium is achieved. Only 40%-90% of the agents achieved relief on small world graphs with mean degree between 2 and 40. Even fewer agents achieved relief on scale-free like graphs with a truncated power law degree distribution. The rate at which relief grew with increasing degree was slow, only at most logarithmic for all of the graphs considered; viewed in reverse, relief is resilient to the removal of links.

physics.data-an↗