7 papers
Trading Electrons: Predicting DART Spread Spikes in ISO Electricity Markets
Emma Hubert, Dimitrios Lolas, Ronnie Sircar
We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarn…
Fare Game: A Mean Field Model of Stochastic Intensity Control in Dynamic Ticket Pricing
Burak Aydin, Emre Parmaksiz, Ronnie Sircar
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model w…
Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
Patrick Chan, Ronnie Sircar, Iosif Zimbidis
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the…
A Mean Field Game for Capacity Expansion Modeling
Emma Hubert, Dimitrios Lolas, Ronnie Sircar
This paper studies the optimal investment behavior of renewable electricity producers in a competitive market, where both prices and installation costs are influenced by aggregate…
Mean Field Games of Control and Cryptocurrency Mining
Nicolas Garcia, Ronnie Sircar, H. Mete Soner
This paper studies Mean Field Games (MFGs) in which agent dynamics are given by jump processes of controlled intensity, with mean-field interaction via the controls and affecting t…
Formation of Optimal Interbank Networks under Liquidity Shocks
Daniel E. Rigobon, Ronnie Sircar
We study the formation of an optimal interbank network in a model where banks control both their supply of liquidity, through cash reserves, and their exposures to other banks' ris…