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.
A new model uses sparse Gaussian processes to hedge electricity market risks.
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in case of …
We analyze long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles -- mainly intraday and daily -- we opt for the detrended fluctuation analysis, which is well suited for such specific series. We find that …
Proposes a model for long-term electricity contracts with explicit computation and easy calibration.
Study improves electricity price forecasting accuracy using a hybrid model.
The paper analyzes the pricing of a new compute futures asset.
This research proposes a method to hedge freight rate risk in shipping markets under model uncertainty.