Search results for " Lévy process"

showing 3 items of 3 documents

Futures pricing in electricity markets based on stable CARMA spot models

2012

We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large uctuations by a non-Gaussian stable CARMA process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently. Besides standard parameter estimation, an estimation procedure is suggested, where we t the non-stationary trend using futures data with long time until delivery, and a robust L 1 -lter to nd the states of …

FOS: Computer and information sciencesEconomics and EconometricsElectricity spot pricebusiness.industryEstimation theoryRisk premium60G52 62M10 91B84 (Primary) 60G10 60G51 91B70 (Secondary)Lévy processStatistics - ApplicationsCARMA model electricity spot prices electricity forward prices continuous time linear model Lévy process stable CARMA process risk premium robust filterddc:MicroeconomicsFOS: Economics and businessGeneral EnergyBase load power plantPeak loadEconometricsEconomicsApplications (stat.AP)ElectricityPricing of Securities (q-fin.PR)businessFutures contractQuantitative Finance - Pricing of Securities
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Josephson-based Threshold Detector for Lévy-Distributed Current Fluctuations

2019

We propose a threshold detector for Lévy-distributed fluctuations based on a Josephson junction. The Lévy-noise current added to a linearly ramped bias current results in clear changes in the distribution of switching currents out of the zero-voltage state of the junction. We observe that the analysis of the cumulative distribution function of the switching currents supplies information on both the characteristics' shape parameter α of the Lévy statistics. Moreover, we discuss a theoretical model, which allows characteristic features of the Lévy fluctuations to be extracted from a measured distribution of switching currents. In view of these results, this system can effectively find an appl…

Josephson effect---Current (mathematics)NOISE; FLIGHTS; FLUORESCENCE; LIFETIME; MODEL; STATE; FIELDGeneral Physics and Astronomy02 engineering and technologyLIFETIMEFault (power engineering)01 natural sciencesNoise (electronics)Settore FIS/03 - Fisica Della MateriaNOISE0103 physical sciencesStatistical physicsSuperconducting electronicsFLUORESCENCEFIELD010306 general physicsPhysicsResistive touchscreenDetectorFLIGHTSState (functional analysis)Josephson junctions Lévy processes non-thermal noise current fluctuations021001 nanoscience & nanotechnologySTATEMODEL0210 nano-technology
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A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes

2007

In this paper we describe portfolio selection models using Lévy processes. The contribution consists in comparing some portfolio selection strategies under different distributional assumptions. We first implement portfolio models under the hypothesis the log-returns follow a particular process with independent and stationary increments. Then we compare the ex-post final wealth of optimal portfolio selection models with subordinated Lévy processes when limited short sales and transaction costs are allowed.

Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Portfolio theory Lévy processes Variance-Gamma distribution Normal Inverse Gaussian distribution
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