Related papers: The prices of renewable commodities: A robust stat…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
Due to delays in the adaptation of production or delivery rates, supply chains can be dynamically unstable with respect to perturbations in the consumption rate, which is known as "bull-whip effect". Here, we study several conceivable…
Non-stationarity affects the sensitivity of change detection in correlated systems described by sets of measurable variables. We study this by projecting onto different principal components. Non-stationarity is modeled as multiple normal…
We study constant roll inflation systematically. This is a regime, in which the slow roll approximation can be violated. It has long been thought that this approximation is necessary for agreement with observations. However, recently it was…
Several research studies have shown that future sustainable electricity systems, mostly based on renewable generation and storage, are feasible with current technologies and costs. However, recent episodes of extreme weather conditions,…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
The variability and intermittency of renewable energy sources pose several challenges for power systems operations, including energy curtailment and price volatility. In power systems with considerable renewable sources, co-variability in…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
We test whether the futures prices of some commodity and energy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous fluctuations. As for the methodologies, we use the maximal Lyapunov exponents (MLE) and…
Focusing on the bipartite Stable Marriage problem, we investigate different robustness measures related to stable matchings. We analyze the computational complexity of computing them and analyze their behavior in extensive experiments on…
In this paper, the impact of stochastic load and renewable generation uncertainty on the dynamic voltage stability margin is studied. Stochastic trajectories describing the uncertainty of load, wind and solar generation have been…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
High shares of variable renewable energy necessitate substantial energy storage capacity. However, it remains unclear how to design a market that, on the one hand, ensures a stable and sufficient income for storage firms, and, on the other…
On the basis of an analysis of previous research, we present a generalized approach for measuring the difference of plans with an exemplary application to machine scheduling. Our work is motivated by the need for such measures, which are…
Price fluctuations of commodities like cotton and wheat are thought to display probability distributions of returns that follow a L\'evy stable distribution. Recent analysis of stocks and foreign exchange markets show that the probability…
A common assumption in the spatial analysis of agricultural field trials is stationarity. In practice, however, this assumption is often violated due to unaccounted field effects. For instance, in plant breeding field trials, this can lead…
A linear stability analysis of the hydrodynamic equations with respect to the homogeneous cooling state is carried out to identify the conditions for stability of a granular gas of rough hard spheres. The description is based on the results…
We propose an informal test for stationarity in a time series which checks for the compatibility of nonlinear approximations to the dynamics made in different segments of the sequence. The segments are compared directly, rather than via…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
It is pointed out that the concepts and methods introduced by Bachelier and by Mandelbrot to Finance and Economics can be used to examine the fluctuations observed in high-energy hadron production processes. Theoretical arguments and…