Related papers: Detecting Edgeworth Cycles
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non-)stationarity. The most frequently used error-correction…
Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…
In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson…
Cycles in graphs often signify interesting processes. For example, cyclic trading patterns can indicate inefficiencies or economic dependencies in trade networks, cycles in food webs can identify fragile dependencies in ecosystems, and…
A principled approach to cyclicality and intransitivity in paired comparison data is developed. The proposed methodology enables more precise estimation of the underlying preference profile and facilitates the identification of all cyclic…
We present a new solution for fundamental problems in nonlinear dynamical systems: finding, verifying, and stabilizing cycles. The solution we propose consists of a new control method based on mixing previous states of the system (or the…
This paper addresses the problem of testing for persistence in the effects of the shocks affecting the prices of renewable commodities, which have potential implications on stabilization policies and economic forecasting, among other areas.…
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…
In ridesharing platforms such as Uber and Lyft, it is observed that drivers sometimes collaboratively go offline when the price is low, and then return after the price has risen due to the perceived lack of supply. This collective strategy…
In safety-critical domains such as autonomous driving and medical diagnosis, the reliability of machine learning models is crucial. One significant challenge to reliability is concept drift, which can cause model deterioration over time.…
We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an…
Given n observations, we study the consistency of a batch of k new observations, in terms of their distribution function. We propose a non-parametric, non-likelihood test based on Edgeworth expansion of the distribution function. The…
Online marketplaces execute large volume of price updates that are initiated by individual marketplace sellers each day on the platform. This price democratization comes with increasing challenges with data quality. Lack of centralized…
Online retailers execute a very large number of price updates when compared to brick-and-mortar stores. Even a few mis-priced items can have a significant business impact and result in a loss of customer trust. Early detection of anomalies…
In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the…
While the field of electricity price forecasting has benefited from plenty of contributions in the last two decades, it arguably lacks a rigorous approach to evaluating new predictive algorithms. The latter are often compared using unique,…
We study the change detection problem with an unknown post-change distribution. Under this constraint, the unknown change in the distribution of observations may occur in many ways without much structure on the observations, whereas, before…
Group synchronization plays a crucial role in global pipelines for Structure from Motion (SfM). Its formulation is nonconvex and it is faced with highly corrupted measurements. Cycle consistency has been effective in addressing these…
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio…
We employ a recently proposed change-point detection algorithm, the Narrowest-Over-Threshold (NOT) method, to select subperiods of past observations that are similar to the currently recorded values. Then, contrarily to the traditional time…