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.
Paper optimizes energy trading on DA markets using RL.
Optimal energy trading strategy for intraday markets using Hawkes processes.
Dual model combines HMM and neural networks for energy trading during volatile periods.
One major hurdle in the road toward a low carbon economy is the present entanglement of developed economies with oil. This tight relationship is mirrored in the correlation between most of economic indicators with oil price. This paper addresses the role of oil compared to the other three main energy commodities -coal,…
Deep reinforcement learning improves trading performance in volatile energy markets.
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…
Hybrid approach improves probabilistic forecasts for electricity trading.
Study optimizes SREC generation and trading in solar energy markets.
Recent innovations in Information and Communication Technologies (ICT) provide new opportunities and challenges for integration of distributed energy resources (DERs) into the energy supply system as active market players. By increasing integration of DERs, novel market platform should be designed for these new market …
A framework uses deep reinforcement learning to optimize energy storage in intraday markets.
The paper analyzes profitable bidding strategies for BESS in day-ahead and intraday markets.
Optimizes intraday electricity trading to minimize costs.
Dynamic probabilistic forecasts guide optimal decisions in uncertain processes.
Paper presents a novel nonparametric method to price Asian options.
High-frequency trading strategy boosts battery storage profits.
SmartExchange trades memory for computation in neural networks.
SREC markets are a relatively novel market-based system to incentivize the production of energy from solar means. A regulator imposes a floor on the amount of energy each regulated firm must generate from solar power in a given period and provides them with certificates for each generated MWh. Firms offset these certif…
Proposes a new acquisition function for batched Bayesian optimization.
Properties of distributions of the number of trades in different intraday time intervals for five stocks traded in MICEX are studied. The dependence of the mean number of trades on the capital turnover is analyzed. Correlation analysis using factorial and moments demonstrates the multifractal nature of these dist…
Develops a new trading strategy for renewable producers to manage price volatility.
Many recent models of trade dynamics use the simple idea of wealth exchanges among economic agents in order to obtain a stable or equilibrium distribution of wealth among the agents. In particular, a plain analogy compares the wealth in a society with the energy in a physical system, and the trade between agents to the…
Robinhood users react strongly to overnight price changes and big losers, trading quickly after extreme losses.
Paper extends multivariate rank tests for robust subspace detection.
Proposes a neural network for efficient imbalance electricity price forecasting.
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional transaction costs; we show how to introduce stop-loss and leverage in an optimal t…
Short-term probabilistic forecasting of German electricity imbalance prices.
We provide an exact solution to the ideal-gas-like models studied in econophysics to understand the microscopic origin of Pareto-law. In these class of models the key ingredient necessary for having a self-organized scale-free steady-state distribution is the trading or collision rule where agents or particles save a d…
Investigates how 'green' labels affect bond market dynamics.
This paper applies quantum probability theory to model asset returns, avoiding assumptions about quantum effects.
This review compares various deep generative models.
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume gradually emerges a kurtosis near the price mean value over a trading price range …
Machine learning software accounts for a significant amount of energy consumed in data centers. These algorithms are usually optimized towards predictive performance, i.e. accuracy, and scalability. This is the case of data stream mining algorithms. Although these algorithms are adaptive to the incoming data, they have…
In this work, we introduce a new procedure for applying Restricted Boltzmann Machines (RBMs) to missing data inference tasks, based on linearization of the effective energy function governing the distribution of observations. We compare the performance of our proposed procedure with those obtained using existing recons…
The free energy functional has recently been proposed as a variational principle for bounded rational decision-making, since it instantiates a natural trade-off between utility gains and information processing costs that can be axiomatically derived. Here we apply the free energy principle to general decision trees tha…
Optimizes BESS for cross-market energy arbitrage to boost revenues.
This paper analyzes energy and carbon footprints in distributed and federated learning.
Paper improves DNN accelerator robustness against bit errors with energy savings.
Discriminatory trade liberalization policies are becoming more popular among world economies. Countries are motivated to enter for regional trade agreements to capture faster economic growth for alleviating poverty. In developing economies like most of the member countries of the Association of South East Asian Nations…
Trading affects grid frequency fluctuations, making them more extreme.
Inspired from recent insights into the common ground of machine learning, optimization and decision-making, this paper proposes an easy-to-implement, but effective procedure to enhance both the quality of renewable energy forecasts and the competitive edge of renewable energy producers in electricity markets with a dua…
Domain Adaptation in 6G wireless networks: When is it green?
Paper optimizes battery storage in multiple energy markets for better profits.
Machine Learning algorithms based on Brain-inspired Hyperdimensional(HD) computing imitate cognition by exploiting statistical properties of high-dimensional vector spaces. It is a promising solution for achieving high energy efficiency in different machine learning tasks, such as classification, semi-supervised learni…
"How much energy is consumed for an inference made by a convolutional neural network (CNN)?" With the increased popularity of CNNs deployed on the wide-spectrum of platforms (from mobile devices to workstations), the answer to this question has drawn significant attention. From lengthening battery life of mobile device…
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the clients minus the production from renewable energy. For a simple linear price impa…
We introduce a new online learning framework where, at each trial, the learner is required to select a subset of actions from a given known action set. Each action is associated with an energy value, a reward and a cost. The sum of the energies of the actions selected cannot exceed a given energy budget. The goal is to…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model driven by finitely many stochastic factors. The buyer of such contracts is allowed…
TradeR uses RL to execute trades in real markets, minimizing surprise and catastrophe.