Related papers: Leverage effect in energy futures
We present a novel theory of the adhesive contact of linear viscoelastic materials against rigid substrates moving at constant velocity. Despite the non-conservative behavior of the system, the closure equation of the contact problem can be…
We present a fluctuation relation for heat dissipation in a nonequilibrium system. A nonequilibrium work is known to obey the fluctuation theorem in any time interval $t$. A heat, which differs from a work by an energy change, is shown to…
The influence of the past price behaviour on the realized volatility is investigated in the present article. The results show that trending (drifting) prices lead to increased (decreased) realized volatility. This ``volatility induced by…
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss…
In this work, we investigate how flexible assets within a residential building influence the long-term impact of operation. We use a measured-peak grid tariff (MPGT) that puts a cost on the highest single-hour peak import over the month. We…
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others hitherto not clearly discussed in the literature. Our most…
Helicity is the scalar product between velocity and vorticity and, just like energy, its integral is an in-viscid invariant of the three-dimensional incompressible Navier-Stokes equations. However, space-and time-discretization methods…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
In wholesale electricity markets, prices fluctuate widely from hour to hour and electricity generators price-hedge their output using longer-term contracts, such as monthly base futures. Consequently, the incentives they face to drive up…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting results might be due to the false…
The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…
There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous…
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…
We investigate the effect of the global charge conservation on the cumulants of conserved charges observed in relativistic heavy ion collisions in a finite rapidity window, $\Delta\eta$, with a special emphasis on the time evolution of…
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. Under the HARA utility and a nonrandom interest rate, we…
There exists in nature many examples of systems presenting self-limiting behaviour: population dynamics, structure engineering, Townsend's electron breakdown, nuclear decay in radioactive equilibrium, histeresis process, meteorological…
Purpose: This study introduces a novel framework for identifying and exploiting predictive lead-lag relationships in financial markets. We propose an integrated approach that combines advanced statistical methodologies with machine learning…
We investigate the effect of nonextensive statistics as applied to the chemical fluctuations in high-energy nuclear collisions discussed recently using the event-by-event analysis of data. It turns out that very minuite nonextensitivity…
A recently proposed technique for improving ignition timing is investigated for real-gas effects. A correction to the model describing the cumulative energy effect in the presence of the shock-discontinuity interaction was done by…