arXiv research

The study assesses how market competitiveness affects electricity price forecasting.

Speculation leads to power law price changes.

Derives pricing formulae for power binary and normal distribution standard options.

Two new models for forward power prices capture clustering jumps.

The paper analyzes Reliability Options in electricity markets, deriving pricing formulas and simulating real market scenarios.

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a 27-year period from January …

Polynomial processes model energy prices with rich dynamics.

LSTM neural network improves power market price forecasting.

We derive the implied volatility estimation formula in European power call options pricing, where the payoff functions are in the form of $V=(S^α_T-K)^{+}$ and $V=(S^α_T-K^α)^{+}$ ($α>0$)respectively. Using quadratic Taylor approximations, We develop the computing formula of implied volatility in European power call op…

The quotient of normal variables has power-law decay, applied to asset price tails.

Locational Marginal Pricing aims to free UK power markets.

Develops European power option pricing under correlated interest rate and asset processes.

I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed power law distribution of limit order prices. In the framewor…

In this paper we propose a quadratic programming model that can be used for calculating the term structure of electricity prices while explicitly modeling startup costs of power plants. In contrast to other approaches presented in the literature, we incorporate the startup costs in a mathematically rigorous manner with…

The distribution of share prices follows Zipf's law, similar to financial indicators.

Dynamic pricing aims to match power supply and demand in an energy transition.

Power-law model outperforms logarithmic model in estimating stock and warrant price impacts.

Paper introduces a model to capture power option volatility.

Analytical tools for pricing power options in Lévy models.

Study examines stock price reactions to Texas winter storm power outages.

The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices of the European Power Exchange (EPEX) which incorporates specific features like…

In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly -1.5, are modulated by the average market impact function, which describes the r…

Study classifies stock price jumps as exogenous or endogenous using news data.

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…

Methodology extends option pricing to tail regions using power laws.

Paper develops trading strategies for wind power to balance risk and revenue.

In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention on the relative price defined as $X(t) = S(t)/S(0)$, where $S(0)$ is the initial price. We selected approximately 3200 stocks traded on the Japanese Stock Exchange and formed a statistical ensem…

The importance of the power law has been well realized in econophysics over the last decade. For instance, the distribution of the rate of stock price variation and of personal assets show the power law. While these results reveal the striking scale invariance of financial markets, the behaviour of price in real econom…

The paper models intraday power prices using fundamental drivers.

In this paper we present an analysis of power law statistics on land markets. There have been no other studies that have analyzed power law statistics on land markets up to now. We analyzed a database of the assessed value of land, which is officially monitored and made available to the public by the Ministry of Land, …

Study on price-volume correlation fractal features and market type effects.

This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (EMH) in terms of the information of past price changes. The prediction …

Paper extends option spanning results for non-integrable assets.

Bitcoin price shows both chaos and order, with multi-scale correlation structure.

The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on the real-time wholesale electricity prices to the end consumers, and is shown t…

In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded electricity contracts, transaction costs and liquidity considerations. Our nume…

New pricing model identifies and values different generator attributes.

The paper studies price impacts in asset liquidation markets.

Study reveals that cryptocurrency price variations follow power-law distributions, influenced by age and market capitalization.

Study shows increased renewables lead to more extreme price spikes in balancing markets.

We consider the problem of maximizing expected power utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in Shreve and Soner [Ann. Appl. Probab. 4 (1994) 609-692]. Similar to Kallsen and Muhle-Karbe [Ann. Appl. Probab. 20 (2010) 1341-1358], we der…

In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corr…

Study on time-zero efficiency of European power derivatives markets using statistical tests and trading rules.

Study on Bitcoin price fluctuations revealing power-law behavior with 2 < α < 2.5.

Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the position size approaches infinity, the utility function's decay rate for large negative…

Develops a semi-static strategy for hedging renewable PPAs, separating price and volume risks.

We study the rank distribution, the cumulative probability, and the probability density of returns of stock prices of listed firms traded in four stock markets. We find that the rank distribution and the cumulative probability of stock prices traded in are consistent approximately with the Zipf's law or a power law. It…

We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and perform a new estimation of market impact that accounts for splitting of large ord…