Multi-Agent Stochastic Simulation for the Electricity Spot Market Price

Jabłońska, Matylda; Kauranne, Tuomo

doi:10.1007/978-3-642-21108-9_1

Cited by 5 publications

(4 citation statements)

References 29 publications

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“…This study presented a two dimensional implementation of a population dynamics model proposed by Jabłońska (2011) and Jabłońska and Kauranne (2011). This approach stemming from a combination of fluid dynamics and animal spatial dynamics was used previously in modelling financial time series.…”

Section: Discussionmentioning

confidence: 99%

“…The aim of this study is to verify whether a specific population dynamics model can reproduce the natural fact that 5% of a population can pull the whole group towards a specific direction. This work presents an extended implementation of a model proposed by Jabłońska (2011) and Jabłońska and Kauranne (2011), which was then successfully used for simulation of electricity spot price behaviour. The model is based on the Capasso-Bianchi system of stochastic differential equations in a general form (1), used for modelling animal population dynamics by Morale et al (2005) or price herding by Bianchi et al (2003) and Capasso et al (2005).…”

Section: Population Spatial Dynamicsmentioning

confidence: 99%

“…(1) Jabłońska (2011) and Jabłońska and Kauranne (2011) extended this model with a Burgers'-type momentum component which catered for momentum in financial markets, and implemented it for one-dimensional price dynamics of an ensemble of traders. The referred model is presented in detail in Section 3 in Equations (2)-(4).…”

Section: Population Spatial Dynamicsmentioning

confidence: 99%

“…This very idea has inspired a recent study in financial market modeling by Jabłońska (2011) and Jabłońska and Kauranne (2011) where the connections of the models of interest with the Keynes' animal spirits were widely discussed. In those works, a one-dimensional model of population dynamics was used to simulate the behavior of an ensemble of traders in electricity spot markets.…”

Section: Introductionmentioning

confidence: 99%

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Animal Spirits in Population Spatial Dynamics

Jabłońska

Kauranne

2012

Lecture Notes in Computer Science

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Collective behavior of herding animals displays a balance between conservative cohesive forces and "'innovation"', or moving towards a goal, as described by Couzin in 2005Couzin in (2005. We have given these forces a quantitative mathematical form that is amenable to numerical simulation. The simulations described herein reproduce the phenomena that Couzin observed and indicate that a nearly 5 per cent critical mass is sufficient to pull the whole population along, but smaller innovative teams fail to attract a substantial following. The resulting non-linear dynamic equations have been applied also to modeling of financial market dynamics, where they are seen to produce financial catastrophes by internal population dynamics alone, without any need for external forcing. The equations can thereby also be interpreted as a model of John Maynard Keynes ' Animal Spirits (1936) that are often evoked to describe market psychology.

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Section: Discussionmentioning

confidence: 99%

Section: Population Spatial Dynamicsmentioning

confidence: 99%

Section: Population Spatial Dynamicsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations