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Demand response control structure in imperfectly competitive power markets: independent or integrated?
No full textThis article interrogates the effects of different types of actors controlling load-shifting operations and the subsequent market impacts under Cournot competition. Analytical results linking load-shifting capacity and market equilibrium are obtained for independently triggered load-shifting by a regulated, price-taker, or price-maker actor and for an integrated generator. An application to a 2035 French power system with a bottom-up description of demand response constraints is also proposed.This paper has two main results. Firstly, at the initial deployment stages, prices are smoothed and lowered with load-shifting (LS), whatever the control structure of LS is. Secondly, at larger installed LS capacity, we find an ordering of the structures regarding market power exercise. Sorting by increasing market power, regulated pure LS players, private pure players are close ; then LS integrated to peak generation, then uniformly spread across all generators. Integrated LS-base generation induces the most market power through LS capacity withholding
A kinetic model for polyatomic gas with quasi-resonant collisions leading to bi-temperature relaxation processes
No full textIn this article, we extend the Boltzmann framework for polyatomic gases by introducing quasi-resonant kernels, which relax resonant interactions, for which kinetic and internal energies are separately conserved and lead to equilibrium states with two temperatures. We establish an H-theorem and analyze the quasi-resonant model's asymptotic behaviour, demonstrating a two-phase relaxation process: an initial convergence towards a two-temperature Maxwellian state followed by gradual relaxation of the two temperatures towards each other. Numerical simulations validate our theoretical predictions. The notion of quasi-resonance provides the first rigorous framework of a Boltzmann dynamics for which the distribution is at all times close to a multi-temperature Maxwellian, relaxing towards a one-temperature Maxwellian
Random Zero-Sum Dynamic Games on Infinite Directed Graphs
No full textNational audienceWe consider random two-player zero-sum dynamic games with perfect information on a class of infinite directed graphs. Starting from a fixed vertex, the players take turns to move a token along the edges of the graph. Every vertex is assigned a payoff known in advance by both players. Every time the token visits a vertex, Player 2 pays Player 1 the corresponding payoff. We consider a distribution over such games by assigning i.i.d. payoffs to the vertices. On the one hand, for acyclic directed graphs of bounded degree and sub-exponential expansion, we show that, when the duration of the game tends to infinity, the value converges almost surely to a constant at an exponential rate dominated in terms of the expansion. On the other hand, for the infinite d-ary tree (that does not fall into the previous class of graphs), we show convergence at a double-exponential rate
Doctrine – Le nouveau registre des sûretés mobilières et autres opérations connexes au service des commissaires de justice
No full textInternational audienc
Identifying solutions to face groundwater overexploitation and degradation: A policy design experiment in Tunisia
No full textInternational audienceGroundwater plays an important role in achieving sustainable development goals, particularly in the Maghreb. There, groundwater management policies have been unable to stop groundwater degradation and overexploitation. In this context, it is urgent to propose concrete methodologies allowing local stakeholders to identify solutions that (1) take into account water issues but also energy and food production (i.e. solutions that are "bundled"); (2) are innovative; and (3) create a sense of collective belonging among participants. This article analyses to what extent the P-KCP method, derived from policy design, can tackle this challenge. P-KCP was used in the Lymaoua area in Tunisia. The article analyses the 39 solutions identified by Lymaoua participants and discusses the limitations and lessons learnt from this experiment. These concern the choice of the geographical area, farmers' engagement, gender representation and the use of models. The conclusion includes recommendations for coupling P-KCP with participatory planning to detail how the solutions can be concretely implemented and monitored, as well as the governance arrangements needed. Another recommendation is to expand the scope of collective groundwater organizations to encompass energy, agricultural production, land use, social equity and ecosystem preservation issues. Finally, avenues for future research are suggested
Online Episodic Convex Reinforcement Learning
No full textInternational audienceWe study online learning in episodic finite-horizon Markov decision processes (MDPs) with convex objective functions, known as the concave utility reinforcement learning (CURL) problem. This setting generalizes RL from linear to convex losses on the state-action distribution induced by the agent’s policy. The non-linearity of CURL invalidates classical Bellman equations and requires new algorithmic approaches. We introduce the first algorithm achieving near-optimal regret bounds for online CURL without any prior knowledge on the transition function. To achieve this, we use an online mirror descent algorithm with varying constraint sets and a carefully designed exploration bonus. We then address for the first time a bandit version of CURL, where the only feedback is the value of the objective function on the state-action distribution induced by the agent's policy. We achieve a sub-linear regret bound for this more challenging problem by adapting techniques from bandit convex optimization to the MDP setting
Why is the volatility of single stocks so much rougher than that of the S&P500?
No full textThe Nested factor model was introduced by Chicheportiche et al. in (25) to represent nonlinear correlations between stocks. Stock returns are explained by a standard factor model, but the (log)-volatilities of factors and residuals are themselves decomposed into factor modes, with a common dominant volatility mode affecting both market and sector factors but also residuals. Here, we consider the case of a single factor where the only dominant log-volatility mode is rough, with a Hurst exponent H ≃ 0.11 and the log-volatility residuals are "super-rough", with H ≃ 0. We demonstrate that such a construction naturally accounts for the somewhat surprising stylized fact reported by Wu et al. in (24), where it has been observed that the Hurst exponents of stock indexes are large compared to those of individual stocks. We propose a statistical procedure to estimate the Hurst factor exponent from the stock returns dynamics together with theoretical guarantees of its consistency. We demonstrate the effectiveness of our approach through numerical experiments and apply it to daily stock data from the S&P500 index. The estimated roughness exponents for both the factor and idiosyncratic components validate the assumptions underlying our model.</div
A criterion on the free energy for log-Sobolev inequalities in mean-field particle systems
No full textFor a class of mean-field particle systems, we formulate a criterion in terms of the free energy that implies uniform bounds on the log-Sobolev constant of the associated Langevin dynamics. For certain double-well potentials with quadratic interaction, the criterion holds up to the critical temperature of the model, and we also obtain precise asymptotics on the decay of the log-Sobolev constant when approaching the critical point. The criterion also applies to "diluted" mean-field models defined on sufficiently dense, possibly random graphs. We further generalize the criterion to non-quadratic interactions that admit a mode decomposition. The mode decomposition is different from the scale decomposition of the Polchinski flow we used for short-range spin systems
Heterogeneous Trade Elasticity and Managerial Skills
No full textThis paper investigates the role played by firms' managerial skills in the heterogeneous reaction of exporters to common exogenous changes in their international competitiveness (here captured by changes in the real exchange rate). Relying on a simple theoretical framework, we show that firms with better managerial skills have higher profits, market power, and are able to adapt their markup more when faced with a competitiveness shock. We test this prediction relying on detailed firm-product-destination level export data from France for the period 1995-2007 matched with specific information on the firms' share of managers. Our findings show that managerial intensive firms have larger exporter price elasticity to real exchange rate variations. The effect is not trivial: in the wake of a depreciation, exporters whose management intensity is one standard deviation higher than the average, increase their prices by 51% to 73% more than the average exporter. This finding is robust to controlling for the alternative explanations suggested by the previous literature to explain the heterogeneous pass-through of firms
Martingale property and moment explosions in signature volatility models
No full textWe study the martingale property and moment explosions of a signature volatility model, where the volatility process of the log-price is given by a linear form of the signature of a time-extended Brownian motion. Excluding trivial cases, we demonstrate that the price process is a true martingale if and only if the order of the linear form is odd and a correlation parameter is negative. The proof involves a fine analysis of the explosion time of a signature stochastic differential equation. This result is of key practical relevance, as it highlights that, when used for approximation purposes, the linear combination of signature elements must be taken of odd order to preserve the martingale property. Once martingality is established, we also characterize the existence of higher moments of the price process in terms of a condition on a correlation parameter