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Motivated by electricity markets, this paper studies the impact of forward contracting in situations where firms have capacity constraints and heterogeneous production lead times. We consider a model with two types of firms - leaders and…
This paper examines how various categories of Ethereum stakers respond to changes in the consensus issuance schedule, and the potential impact of such changes on the composition of the staking market. To this end, we have develop and…
Federated learning has become an emerging technology for data analysis for IoT applications. This paper implements centralized and decentralized federated learning frameworks for crop yield prediction based on Long Short-Term Memory…
This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in the United States, through exchange-traded funds (ETFs) with exposure…
To predict the future movements of stock markets, numerous studies concentrate on daily data and employ various machine learning (ML) models as benchmarks that often vary and lack standardization across different research works. This paper…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
In this paper, we analyze traders' behavior within both centralized exchanges (CEXs) and decentralized exchanges (DEXs), focusing on the volatility of Bitcoin prices and the trading activity of investors engaged in perpetual future…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…
Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior…
The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting the information embedded in the level, slope and curvature parameters, we develop novel investment strategies that assume short-term…
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account…
This report aims to investigate the effectiveness of using internal bar strength (IBS) as a key indicator for trading country exchange-traded funds (ETFs). The study uses a quantitative approach to analyze historical price data for a bucket…
In this paper, we propose a method for evaluating autonomous trading strategies that provides realistic expectations, regarding the strategy's long-term performance. This method addresses This method addresses many pitfalls that currently…
We propose a stylized model of production and exchange in which long-term investors set their production decision over a horizon {\tau} , the "time to produce", and are liquidity constrained, while financial investors trade over a much…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
Equiangular tight frames (ETFs) have found significant applications in signal processing and coding theory due to their robustness to noise and transmission losses. ETFs are characterized by the fact that the coherence between any two…
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
Bayesian analyses of the convergence pattern of Effective Field Theories (EFTs) enable estimation of the uncertainty induced by a truncated expansion. When an EFT that has been calibrated to data is used to make a prediction this truncation…