Results 31 to 40 of about 52,168 (223)

Low‐Carbon Optimal Scheduling of Multiple Virtual Power Plants Based on Asymmetric Nash Bargaining

Energy Science &Engineering, EarlyView.
ABSTRACT To effectively investigate the structural discrepancies and complementary energy characteristics among multiple virtual power plants (VPPs), and to improve the economic efficiency, low‐carbon performance, and operational reliability of the multi‐agent system, this paper proposes a low‐carbon collaborative optimal operation strategy for ...
Junjie Qiu, Min Liu, Yang Peng, Haiqiang Zhao, Yuanda Wu, Yongyuan Tian   +5 more
wiley   +1 more source

On pricing kernels, information and risk [PDF]

, 2013
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the ...
Gebbie, T. J., Wilcox, D. L.
core   +1 more source

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

Non Parametric Estimates of Option Prices Using Superhedging

, 2015
We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections.
Cassese, Gianluca
core   +1 more source

Electricity Price Prediction Using Multikernel Gaussian Process Regression Combined With Kernel‐Based Support Vector Regression

Journal of Forecasting, EarlyView.
ABSTRACT This paper presents a new hybrid model for predicting German electricity prices. The algorithm is based on a combination of Gaussian process regression (GPR) and support vector regression (SVR). Although GPR is a competent model for learning stochastic patterns within data and for interpolation, its performance for out‐of‐sample data is not ...
Abhinav Das, Stephan Schlüter, Lorenz Schneider   +2 more
wiley   +1 more source

Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence From Markov‐Switching Multifractal Models

Journal of Forecasting, EarlyView.
ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu, Mawuli Segnon, Oguzhan Cepni, Rangan Gupta   +3 more
wiley   +1 more source

A Theory of Pricing Private Data [PDF]

, 2012
Personal data has value to both its owner and to institutions who would like to analyze it. Privacy mechanisms protect the owner's data while releasing to analysts noisy versions of aggregate query results.
Li, Chao, Li, Daniel Yang, Miklau, Gerome, Suciu, Dan   +3 more
core   +5 more sources

Advanced statistical arbitrage with reinforcement learning

International Journal of Financial Engineering
Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on model assumption. In this study, we introduce an innovative model-free and reinforcement learning (RL)-based framework for statistical arbitrage.
Boming Ning, Kiseop Lee
openaire   +2 more sources

Towards climate‐conscious corporate restructuring: A comparative exploration of English and Bhutanese legal frameworks

International Insolvency Review, EarlyView.
Abstract This paper conducts a comparative legal analysis of corporate restructuring frameworks in England and Bhutan, examining their capacity to integrate climate variability considerations and promote sustainable business practices. It discusses the procedural mechanisms for restructuring financially distressed enterprises available under the law of
Eugenio Vaccari, Migmar Lham
wiley   +1 more source

The fractional volatility model : no-arbitrage, leverage and completeness [PDF]

, 2015
When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions ...
Mendes, Rui Vilela, Oliveira, Maria João, Rodrigues, A. M.   +2 more
core   +1 more source