A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study predicts wind energy potential in Gulf of Oman using climate models.
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 a determinism test, both based on the reconstruction of the phase space. In par…
We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets, and who has access to imperfect dynamically updated forecasts of the future production. We construct a stochastic model for the forecast evolution and deter…
In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in the short term. For each energy, the future returns are represented as the sum of volatility functions driven by motions. Under the risk neutr…
Model interest rates and energy futures with regime-switching dynamics.
New order defined for conformal classes, impacts Bartnik's conjecture.
We show that the causal-future-directed character of the energy-momentum vector of -dimensional asymptotically hyperbolic Riemannian manifolds with spherical conformal infinity, , can be traced back to that of asymptotically Euclidean general-relativistic initial data sets satisfying the dominant energy cond…
The paper shows that energy futures yield curves have an affine geometry.
In this global study of solutions to the linear wave equation on Schwarzschild de Sitter spacetimes we attend to the cosmological region of spacetime which is bounded in the past by cosmological horizons and to the future by a spacelike hypersurface at infinity. We prove an energy estimate capturing the expansion of th…
This paper applies Heath-Jarrow-Morton framework to energy markets for practical use.
Future autonomous systems need reliable world models and complex action sequences.
In recent years there has been an advent of quanto options in energy markets. The structure of the payoff is rather a different type from other markets since it is written as a product of an underlying energy index and a measure of temperature. In the HJM framework, by adopting the futures energy dynamics, we use the M…
Second part of series studying charged scalar fields on Reissner--Nordström spacetimes.
The area of building energy management has received a significant amount of interest in recent years. This area is concerned with combining advancements in sensor technologies, communications and advanced control algorithms to optimize energy utilization. Reinforcement learning is one of the most prominent machine lear…
The paradox of the energy transition is that the low marginal costs of new renewable energy sources (RES) drag electricity prices down and discourage investments in flexible productions that are needed to compensate for the lack of dispatchability of the new RES. The energy transition thus discourages the investments t…
Global properties of maximal future Cauchy developments of stationary, m-dimensional asymptotically flat initial data with an outer trapped boundary are analyzed. We prove that, whenever the matter model is well posed and satisfies the null energy condition, the future Cauchy development of the data is a black hole spa…
The paper models natural gas futures prices and volatility, using Monte Carlo and reinforcement learning.
We establish a Penrose-Like Inequality for general (not necessarily time symmetric) initial data sets of the Einstein equations which satisfy the dominant energy condition. More precisely, it is shown that the ADM energy is bounded below by an expression which is proportional to the square root of the area of the outer…
Framework uses RL and simulation for optimal microgrid energy storage planning.
Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing challenges. One challenge especially for investment decisions is to provide reliable short to mid-term forecasts despite high variation in the t…
This paper optimizes a power-to-heat system using reinforcement learning for cost minimization under uncertain conditions.
In [13], a new quasi-local energy is introduced for spacetimes with a non-zero cosmological constant. In this article, we study the small sphere limit of this newly defined quasi-local energy for spacetimes with a negative cosmological constant. For such spacetimes, the anti de-Sitter space is used as the reference for…
Synthetic proof of Gannon-Lee theorem for spacetimes.
Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are defined as the waiting times between consecutive volatilities exceeding a gi…
New relation found between ADM mass and generalized Komar energy for dynamical spacetimes.
Calibrates historical and implied correlations in energy markets.
The paper improves energy contract pricing models by incorporating jumps and varying parameters.
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil,…
Deep reinforcement learning improves trading performance in volatile energy markets.
Paper optimizes energy trading on DA markets using RL.
We study the small perturbations of the -dimensional Milne model for the Einstein-Klein-Gordon (EKG) system. We prove the nonlinear future stability, and show that the perturbed spacetimes are future causally geodesically complete. For the proof, we work within the constant mean curvature (CMC) gauge and focus on …
We develop a definitive physical-space scattering theory for the scalar wave equation on Kerr exterior backgrounds in the general subextremal case |a|<M. In particular, we prove results corresponding to "existence and uniqueness of scattering states" and "asymptotic completeness" and we show moreover that the resulting…
Future stability of FLRW solutions in expanding 3D space is shown for compact perturbations.
Zero-energy orbits in the Kepler-Heisenberg problem are self-similar and stratify into three families.
Scattering theory for linearised gravity on Schwarzschild black hole exterior.
In this paper we test for the sensitive dependence on initial conditions (the so called "butterfly effect") of energy futures time series (heating oil, natural gas), and thus the determinism of those series. This paper is distinguished from previous studies in the following points: first, we reread existent works in th…
Proves compact Cauchy horizons have constant surface gravity under null energy condition.
In this article, we study the small sphere limit of the Wang-Yau quasi-local energy defined in [18,19]. Given a point in a spacetime , we consider a canonical family of surfaces approaching along its future null cone and evaluate the limit of the Wang-Yau quasi-local energy. The evaluation relies on solving …
New method assesses energy storage value beyond cost reduction.
This paper introduces a new approach to active inference using constrained Bethe Free Energy.
The energy transition is well underway in most European countries. It has a growing impact on electric power systems as it dramatically modifies the way electricity is produced. To ensure a safe and smooth transition towards a pan-European electricity production dominated by renewable sources, it is of paramount import…
The paper establishes scattering theory for wave equations on Schwarzschild spacetime.
Study examines barriers to grid-connected battery systems in Spain, finding high cycle cost remains main obstacle.
New CMC existence result for expanding cosmological spacetimes.
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit maximization problem of an agent, producing and storing a commodity while trading…
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming any specific form of its b…
Deep Learning is applied to energy markets to predict extreme loads observed in energy grids. Forecasting energy loads and prices is challenging due to sharp peaks and troughs that arise due to supply and demand fluctuations from intraday system constraints. We propose deep spatio-temporal models and extreme value theo…
Survey of reinforcement learning for sustainable energy challenges.