The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. Demand and supply are balanced on a knife-edge because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid...

In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein–Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from...

The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this...

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...

Empirical mode decomposition (EMD) method can decompose any complicated data into finite ‘intrinsic mode functions’ (IMFs). In this paper, we use EMD method to analyze and discuss the structural properties of complex networks. A random-walk method is used to collect the data series of...

Axial Graphs are networks whose nodes are linear axes in urban space, and whose edges represent intersections of such axes. These graphs are used in urban planning and urban morphology studies. In this paper we analyse distance distributions between nodes in axial graphs, and show that these...

The jamming behavior of a single lane traffic model based on a cellular automaton approach is studied. Our investigations concentrate on the so-called VDR model which is a simple generalization of the well-known Nagel–Schreckenberg model. In the VDR model one finds a separation between a free...

We develop a stochastic theory for filtration of suspensions in porous media. The theory takes into account particle and pore size distributions, as well as the random character of the particle motion, which is described in the framework of the theory of continuous-time random walks (CTRW). In...

We study the average time necessary for two independent random walkers to cover a periodic one-dimensional lattice completely, as function of the lattice size and the starting positions of the walkers.

The random walk approach has recently been widely employed to study the relations between the underlying structure and dynamic of complex systems. The mean first-passage time (MFPT) for random walks is a key index to evaluate the transport efficiency in a given system. In this paper we study...