Related papers: Commodity futures and market efficiency
In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…
As large language models (LLMs) and vision-language-action models (VLAs) become widely deployed, the tokens consumed by AI inference are evolving into a new type of commodity. This paper systematically analyzes the commodity attributes of…
Among the auxiliary loads in light-duty vehicles, the air conditioning system is the single largest energy consumer. For electrified vehicles, the impact of heating and cooling loads becomes even more significant, as they compete with the…
Molecular motors are known to have the high efficiency of energy transformation in the presence of thermal fluctuation. Motivated by the surprising fact, recent studies of thermal ratchet models are showing how and when work should be…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…
Accurate short-term energy consumption forecasting for commercial buildings is crucial for smart grid operations. While smart meters and deep learning models enable forecasting using past data from multiple buildings, data heterogeneity…
The paper predicts an Efficient Market Property for the equity market, where stocks, when denominated in units of the growth optimal portfolio (GP), have zero instantaneous expected returns. Well-diversified equity portfolios are shown to…
We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures markets of WTI crude oil and gasoline for the past decade, and…
Over the past decades industries have had to tackle the issue of sustainability as a matter of increasing urgency to mitigate greenhouse gas emissions and abide by government regulation policies. The semiconductor industry has come under…
The recently established connection between stochastic thermodynamics and fluctuating hydrodynamics is applied to a study of efficiencies in the coupled transport of heat and matter on a small scale. A stochastic model for a mesoscopic cell…
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…
Economic model predictive control has been proposed as a means for solving the unit loading and unit allocation problem in multi-chiller cooling plants. The adjective economic stems from the use of financial cost due to electricity…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
The joint management of heat and power systems is believed to be key to the integration of renewables into energy systems with a large penetration of district heating. Determining the day-ahead unit commitment and production schedules for…
This paper proposes a general and practical approach to estimate the economic benefits of optimally controlling deferrable loads in a Distribution System Operator's (DSO) grid, without relying on historical observations. We achieve this by…
This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = \mu dt + \sigma dW_t, and to be efficient in the following sense: we do not expect a prespecified trading…
With billions of people facing moderate or severe food insecurity, the resilience of the global food supply will be of increasing concern due to the effects of climate change and geopolitical events. In this paper we describe a framework to…
Power and efficiency are fundamental criteria for evaluating the performance of thermodynamic cycles. However, it is generally impossible to maximize both simultaneously. In particular, achieving maximum efficiency inevitably leads to…
The traditional multi-commodity flow problem assumes a given flow network in which multiple commodities are to be maximally routed in response to given demands. This paper considers the multi-commodity flow network-design problem: given a…
A robust thermodynamic relation between inflation corrected monetary valuation and energy emerges from existing work. This is based on the energy used, the aggregate efficiency of all production processes ($\Lambda(t)$) in terms of Joules…