arXiv subjects

R. Weron

Publications and source records attributed to R. Weron.

3 recordsLinked to original sources

arXiv2002

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.

cond-mat.stat-mech↗

arXiv2001

A simple model of price formation

A simple Ising spin model which can describe the mechanism of price formation in financial markets 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 traders. It is shown via standard Monte Carlo simulations that very simple rules lead to dynamics that duplicate those of asset prices.

cond-mat.stat-mech↗

arXiv2001

Modeling electricity loads in California: ARMA models with hyperbolic noise

In this paper we address the issue of modeling electricity loads. After analyzing properties of the deseasonalized loads from the California power market we fit an ARMA(1,6) model to the data. The obtained residuals seem to be independent but with tails heavier than Gaussian. It turns out that the hyperbolic distribution provides an excellent fit.

cond-mat.stat-mech↗