Related papers: Futures market efficiency diagnostics via temporal…
This study analyzes historical data from five agricultural commodities in the Chinese futures market to explore the correlation, cointegration, and Granger causality between Peanut futures and related futures. Multivariate linear regression…
This paper introduces a new theoretical framework for analyzing lead-lag relationships between point processes, with a special focus on applications to high-frequency financial data. In particular, we are interested in lead-lag…
In recent years, there has been a significant focus on advancing the next generation of power systems. Despite these efforts, persistent challenges revolve around addressing the operational impact of uncertainty on predicted data,…
In this paper we include dependency structures for electricity price forecasting and forecasting evaluation. We work with off-peak and peak time series from the German-Austrian day-ahead price, hence we analyze bivariate data. We first…
Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability…
The online weighted matching problem is a fundamental problem in machine learning due to its numerous applications. Despite many efforts in this area, existing algorithms are either too slow or don't take $\mathrm{deadline}$ (the longest…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
Futures trading is the core of futures business, and it is considered as one of the typical complex systems. To investigate the complexity of futures trading, we employ the analytical method of complex networks. First, we use real trading…
This paper studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non-Bayesian time-varying model approach to the fundamental equation…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
This paper considers the leader-follower control problem for a linear multi-agent system with directed communication topology and linear nonidentical uncertain coupling subject to integral quadratic constraints (IQCs). A consensus-type…
The exponential growth of renewable energy capacity has brought much uncertainty to electricity prices and to electricity generation. To address this challenge, the energy exchanges have been developing further trading possibilities,…
Russia's attack on Ukraine on Thursday 24 February 2022 hitched financial markets and the increased geopolitical crisis. In this paper, we select some main economic indexes, such as Gold, Oil (WTI), NDAQ, and known currency which are…
In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…