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.
Proposes a regularization approach to model German power derivative market, identifying significant risk spillovers.
Study on time-zero efficiency of European power derivatives markets using statistical tests and trading rules.
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability density function of market price changes has power law tails. Autocorrelation coeffic…
Predicts stock market crashes using rational bubble model.
The paper models intraday power prices using fundamental drivers.
Develops European power option pricing under correlated interest rate and asset processes.
Paper solves multi-dimensional passport option pricing problem using machine learning.
In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For example, if the market order flow is assumed to follow a nearly unstable Hawkes pr…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European optio…
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic generators participating in electricity markets with a single-price balancing mecha…
Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500…
This paper applies Heath-Jarrow-Morton framework to energy markets for practical use.
The paper finds optimal strategies for hedging in incomplete markets using derivatives.
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has two major drawbacks: one is that it is still based on the traditional hourly sche…
Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to System Operators. This paper provides a comprehensive mathematical treatment of Reliability Options. Their value is first de…
Modeling European spot power markets with game theory for Nash equilibria.
Study optimal trading strategies with expert signals in a hidden Gaussian drift market.
Method for factor analysis in short panels without assuming sphericity or Gaussianity.
The article prices exchange options using variance gamma-like models.
An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed…
DHLNN improves deep hedging for financial derivatives with faster convergence and better stability.
Study extends Lévy models to capture market propagation delays.
This paper evaluates the impact of the power extent on price in the electricity market. The competitiveness extent of the electricity market during specific times in a day is considered to achieve this. Then, the effect of competitiveness extent on the forecasting precision of the daily power price is assessed. A price…
Locational Marginal Pricing aims to free UK power markets.
The paper develops a hybrid model for optimal order execution in markets with heterogeneous market makers.
Modeling financial markets with a novel order flow model.
Develops a new class of forward performance processes for investment pools.
The authors characterize flexibility in power and energy markets considering time, spatiality, resource, and risk.
An on-going debate in the energy economics and power market community has raised the question if energy-only power markets are increasingly failing due to growing feed-in shares from subsidized renewable energy sources (RES). The short answer to this is: No, they are not failing. Energy-based power markets are, however…
Repo dealers' market power affects bond prices by up to 2 percentage points.
The Financial Chaos Index models stock market volatility across three regimes based on mutual price fluctuations.
The paper analyzes binary option markets with exogenous information and price sensitivity.
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is power utility. We provide a heuristic and a rigorous derivation of the asymptotic ex…
Study shows how heavy-tailed Hawkes processes can model rough volatility in financial markets.
In this paper, we consider a simple kinetic model of economy involving both exchanges between agents and speculative trading. We show that the kinetic model admits non trivial quasi-stationary states with power law tails of Pareto type. In order to do this we consider a suitable asymptotic limit of the model yielding a…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive notion is to dampen electric power fluctuations from fluctuating sources (as e.g. wi…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta between 0.5 and 2. Furthermore, we analyze the relation between the power-law autoco…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input, which is well-known to be a generic power-law generating process, and which coul…
Minimal model reveals power laws in financial markets.
The paper examines short-term volatilities in equity indexes using a ranking procedure.
The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time financial market framework and assuming that asset prices are modelled by semim…
Critical volatility triggers log-normal to power-law transitions in interconnected systems.
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative Lévy process ξwith unbounded variation. We also derive a Geman-Yor type formula for Asian options prices in a financial marke…
Study compares two market clearing methods for European power markets.
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic differential equations. In this contribution we address this problem by analyzing e…
As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution strategies is proposed, with particular attention to the behavior and dynamics of elect…
RL optimizes trading algorithms to reduce market impact and costs.
Study examines dynamic relationship between BRICS stocks and cryptocurrencies.