1,720,987 research outputs found
Esercizi di matematica generale per i corsi di nuovo ordinamento delle Facoltà di economia
No full textA stability result for a class of quasilinear variational inequalities connected to a financial application
No full textThe impact of Clean Spark Spread expectations on storage hydropower generation
No full textStorage hydropower generation plays a crucial role in the electric power system and energy transition because it is the most widespread power generation with low greenhouse gas emissions and, moreover, it is relatively cheap to ramp up and down. As a result, it provides flexibility to the grid and helps mitigate the short-term production uncertainty that affects most green energy technologies. However, using water in reservoirs represents an opportunity cost, which is related to the evolution of plant production capacity and production profitability. As the latter is related to a wide range of types of variables, in order to incorporate it in a large-scale prediction model it is important to select the variables that impact most on storage hydropower generation. In this paper, we investigate the impact of the variables influencing the choices of price maker producers, and, in particular we study the impact of Clean Spark Spread expectations on storage hydroelectric generation. In this connection, using entropy and machine learning tools, we present a method for embedding this expectations in a model to predict storage hydropower generation, showing that, for some time horizon, expectations on CSS have a greater impact than expectations on power prices. It is shown that, if the right mix of power price and CSS expectations is considered, the prediction error of the model is drastically reduced. This implies that it is important to incorporate CSS expectations into the storage hydropower model
Matematica Generale - Esercizi per i corsi del nuovo ordinamento della Facolta' di Economia
No full textWavelet entropy and complexity–entropy curves approach for energy commodity price predictability amid the transition to alternative energy sources
No full textIn recent years, energy commodities have emerged as pivotal and widely debated subjects, driven by their
profound influence on the global economy and their intricate interconnections. Moreover, the challenges
stemming from the predictability of energy commodity prices have become a prominent and intensifying
focus of discussion. To this aim, in this paper, we employ wavelet analysis with an entropy approach to
investigate and evaluate fluctuations, low-frequency events, and rare events in energy commodity prices
and the consequent predictability of such time series. In particular, wavelet analysis can differentiate highfrequency from low-frequency movements in a time series, and entropy is a valuable mathematical tool used
to evaluate the state of disorder, randomness, or uncertainty in a time series. Specifically, we employ Rényi
Entropy instead of the Shannon entropy because it allows for enhanced consideration of low-frequency events
and spikes in a time series. Therefore, to analyze the predictability of a series, we use Wavelet Rényi Entropy
(WRE) and the Rényi complexity–entropy curves by combining the wavelet transform with Rényi entropy.
Finally, we apply our analysis to real financial data, including energy commodities and indices that can describe
the transition to alternative energy resources
Individual Competence Evolution under Equality Bias.
No full textIn a group of individuals aiming for a collective decision, that decision is influenced by individual competences, but these are in turn subject to a reciprocal influence. Such an influence may lead to less competent agents exerting an unduly influence, a phenomenon known as equality bias. In this paper an agent-based model is proposed to investigate the evolution of competences under such a reciprocal influence. Through MonteCarlo simulation it is shown that: a) the average competence at steady state diminishes as the degree of interaction among the agents and/or the number of agents grow, both in the case of just positive influence (more competent agents increasing the competence of less competent one) and when both positive and negative influences are present; b) the convergence towards a steady state value is slow and characterized by oscillations
Chaos Versus Stochastic Paradigm in Energy Markets
No full textThe purpose of the chapter is to gain a better understanding of energy market movements and dynamics by examining two competing theories: deterministic chaos theory and stochastic paradigm.We advocate that feature of bothworldsmay coexist in the same phenomenon. In particular, we reassess the chaotic paradigm, by considering the advances that have been made in the design of estimation tools. We illustrate all the methodologies exploited in the energy finance literature and the related results
Insurance Pricing and Refund Sustainability for Cloud Outages.
No full textCloud outages may cause heavy economic losses for customers, who may ask the cloud provider for compensation. Cloud providers may therefore wish to insure themselves against that risk. Considering a scenario where outages take place according to a Poisson process and their duration follows a generalized Pareto model, we provide formulas to properly set the insurance premium under three measures of outage severity: number of outages, number of long outages, unavailability. We also assess the sustainability of refunds, by setting thresholds on unit refund per damaging events
Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns
No full textThe aim of this paper is to investigate the decoupling and recoupling of WTI and Brent prices also with respect to the debate on the regionalisation-globalisation of the two oil markets.To this purpose, we employ the Dynamic Time Warping (DTW) algorithm to identify decoupling events between the two crude oil price series. DTW has been employed for classification and clustering aims in many fields, but in this paper we make a slightly different application of DTW with respect to those provided by the literature, demonstrating how DTW can be employed also to investigate the decoupling between the two oil benchmarks. Our analysis reveals that the two oil benchmarks decouple and recouple according to WTI local market conditions. Therefore, we found evidence that WTI-Brent market is not fully integrated at all times. We also propose two DTW-based indexes: Relative-Alignment Index (RAI) and Warping Index. The first confirms that the greatest decoupling between WTI and Brent occurs because of WTI local market conditions and is useful in highlighting the main decoupling between our crude oil series over time, while the second provides information on the time window of crude oil price decoupling. Lastly, we provide some policy implications based on our results
Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis
No full textThis paper examines the flow of information and its direction between the oil volatility index (OVX) and the spot variance of WTI and Brent returns. Since OVX is an indicator of the investor sentiment about oil market performance, we aim first at evidencing whether there is an exchange of information between OVX and the spot variance of the two crudes. Moreover, since OVX is linked to WTI crude oil, it is useful to investigate whether it shares an information content with Brent. To this purpose, we propose an entropy-based approach which exploits two non-parametric methods: the mutual information and the transfer entropy. The results show an increase in the information flow between OVX and the spot variance of Brent returns and a corresponding decrease in the information flow with WTI. Furthermore, the direction of the information flow comes from OVX to both oil spot variances, thus investor sentiment about oil market performance drives uncertainty in the corresponding spot market. However, the information flow from the oil spot variances to OVX is more statistically significant for WTI than for Brent and, since transfer entropy is a measure of resolution of uncertainty, we demonstrate that the spot variance of WTI returns helps more in reducing uncertainty about OVX (than Brent)
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