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Decision markets are mechanisms for selecting one among a set of actions based on forecasts about their consequences. Decision markets that are based on scoring rules have been proven to offer incentive compatibility analogous to properly…
Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…
Utilizing energy storage solutions to reduce the need for traditional transmission investments has been recognized by system planners and supported by federal policies in recent years. This work demonstrates the need for detailed…
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the…
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…
In order to develop reliable services using machine learning, it is important to understand the uncertainty of the model outputs. Often the probability distribution that the prediction target follows has a complex shape, and a mixture…
Transferability estimation metrics are used to find a high-performing pre-trained model for a given target task without fine-tuning models and without access to the source dataset. Despite the growing interest in developing such metrics,…
This article introduces a novel method for detecting distinctive structural changes in economic data, particularly within frequency distribution tables. The approach identifies significant shifts in the distribution of a variable over time…
Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation,…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
We investigate how to model exchangeability with choice functions. Exchangeability is a structural assessment on a sequence of uncertain variables. We show how such assessments are a special indifference assessment, and how that leads to a…
This paper explores the design of a balanced data-sharing marketplace for entities with heterogeneous datasets and machine learning models that they seek to refine using data from other agents. The goal of the marketplace is to encourage…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
This article shows State of the Art of techno-economic modeling for access network technologies, presents the characteristics a universal techno-economic model should have, and shows a classification and analysis of techno-economic models…
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded…
Transfer entropy is used to establish a measure of causal relationships between two variables. Symbolic transfer entropy, as an estimation method for transfer entropy, is widely applied due to its robustness against non-stationarity. This…
In this extended abstract a view on the role of Formal Methods in System Engineering is briefly presented. Then two examples of useful analysis techniques based on solid mathematical theories are discussed as well as the software tools…
In this work, we present our findings and experiments for stock-market prediction using various textual sentiment analysis tools, such as mood analysis and event extraction, as well as prediction models, such as LSTMs and specific…
Understanding the functional roles of financial institutions within interconnected markets is critical for effective supervision, systemic risk assessment, and resolution planning. We propose an interpretable role-based clustering approach…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…