Related papers: Stochastic Spread Pairs Trading in the Indian Comm…
Our research presents a new approach for forecasting the synchronization of stock prices using machine learning and non-linear time-series analysis. To capture the complex non-linear relationships between stock prices, we utilize recurrence…
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic factors. In this work, we develop the family of stochastic…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
Matching and pricing are two critical levers in two-sided marketplaces to connect demand and supply. The platform can produce more efficient matching and pricing decisions by batching the demand requests. We initiate the study of the…
In this paper we extend the known methodology for fitting stable distributions to the multivariate case and apply the suggested method to the modelling of daily cryptocurrency-return data. The investigated time period is cut into 10…
Prediction models are crucial in the stock market as they aid in forecasting future prices and trends, enabling investors to make informed decisions and manage risks more effectively. In the Indian stock market, where volatility is often…
We carry out a large-scale empirical data analysis to examine the efficiency of the so-called pairs trading. On the basis of relevant three thresholds, namely, starting, profit-taking, and stop-loss for the `first-passage process' of the…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
In energy systems with high shares of weather-driven renewable power sources, gas-fired power plants can serve as a back-up technology to ensure security of supply and provide short-term flexibility. Therefore, a tighter coordination…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and…
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex…
An important revenue stream for electric battery operators is often arbitraging the hourly price spreads in the day-ahead auction. The optimal approach to this is challenging if risk is a consideration as this requires the estimation of…
Recent researches on stock prediction using deep learning methods has been actively studied. This is the task to predict the movement of stock prices in the future based on historical trends. The approach to predicting the movement based…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also use moment matching method to obtain semi-closed form formulas…
Agriculture constitutes a primary source of food production, economic growth and employment in India, but the sector is confronted with low farm productivity and yields aggravated by increased pressure on natural resources and adverse…
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…
In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated resampling to estimate uncertainty of simultaneous…