Search results for "trading"

Adaptive and Dynamic Ant Colony Search Algorithm for Optimal Distribution Systems Reinforcement Strategy

2006

The metaheuristic technique of Ant Colony Search has been revised here in order to deal with dynamic search optimization problems having a large search space and mixed integer variables. The problem to which it has been applied is an electrical distribution systems management problem. This kind of issues is indeed getting increasingly complicated due to the introduction of new energy trading strategies, new environmental constraints and new technologies. In particular, in this paper, the problem of finding the optimal reinforcement strategy to provide reliable and economic service to customers in a given time frame is investigated. Utilities indeed need efficient software tools to take deci…

Performance Measurement and Outperformance Tests

2017

This chapter explains how to evaluate the performance of a trading strategy and how to carry out a statistical test of the hypothesis that a moving average trading strategy outperforms the corresponding buy-and-hold strategy. In particular, it argues that there is no unique performance measure, reviews the most popular performance measures, and points to the limitations of these measures. The chapter then surveys the parametric methods of testing the outperformance hypothesis and the current “state of the art” non-parametric methods.

Identità, valore, prezzo: nuove proposte di analisi e comparazione sul mercato degli schiavi a Napoli in età moderna

2017

International audience; This article aims at studying the formation process of personal identities of men forced to work at the oar in Naples at the end of the 16th century in comparison with the Kingdom of Valencia at the beginning of the 17th. At that time, Naples and Valencia were two of the most important slave markets as well as trading cities of the Spanish Empire. The research will take into account two types of sources that have remained largely unexplored by historiography to date, and especially a book dating back to 1585 detailing the biographies of 657 slaves. This will make it possible to focus in depth on slaves identities and in particular on the estimation process regarding …

Profili penali dell'Insider Trading

2012

Congestion management rules and trading strategies in the Spanish electricity market

2009

Abstract This paper analyses the economic incentives embodied in the rules governing the resolution of transmission constraints in the Spanish wholesale electricity market and the way these incentives may have influenced on the trading behaviour of both the generators and the demand side. The evidence obtained is consistent with them responding to these incentives. In particular, buyers would respond to the way congestion costs are billed to them by abandoning the daily market in favour of the intraday market as far as possible. Additionally, some strategic generators may have been prompted the system operator to require them to inject electricity into the system to solve network congestion…

An ACE Wholesale Electricity Market Framework with Bilateral Trading

2011

In this paper, an agent-based simulation model for a hybrid power market structure is presented. A bilateral transaction mechanism is combined with a uniform-pricing auction settlement in order to isolate the impact of medium-term bilateral contracts on market power and spot prices in a competitive wholesale market setting. First we describe the negotiation method for bilateral trading of energy and then introduce a new approach for bidding in the DA market based on the load duration curve. We find that, despite the conventional concerns, the foreclosure effect produced by the bilateral agreement between a generation and a retail business will not necessarily lead to higher prices, and will…

El componente de selección adversa de la horquilla de precios cotizada: una revisión de los modelos de estimación

2005

-Jose.E.Farinos@uv.es -Ana.M.Ibanez@uv.es Una de las principales preocupaciones en el área de la microestructura del mercado ha sido la estimación de los componentes no observables de la horquilla de precios a partir de las series de datos que proporcionan los mercados financieros, despertando quizá un mayor interés el de selección adversa por la implicaciones que supone la existencia del mismo. Esto ha provocado el desarrollo de numerosos modelos empíricos que, basándose en las propiedades estadísticas de las series de precios, proporcionan dichas estimaciones. La mayor disponibilidad de datos existentes en los mercados ha permitido el desarrollo en los últimos años de modelos basados en t…

Market Timing with Moving Averages: Anatomy and Performance of Trading Rules

2015

The underlying concept behind the technical trading indicators based on moving averages of prices has remained unaltered for more than half of a century. The development in this field has consisted in proposing new ad-hoc rules and using more elaborate types of moving averages in the existing rules, without any deeper analysis of commonalities and differences between miscellaneous choices for trading rules and moving averages. The first contribution of this paper is to uncover the anatomy of market timing rules with moving averages. Our analysis offers a new and very insightful reinterpretation of the existing rules and demonstrates that the computation of every trading indicator can equiva…

CO<SUB align="right">2 prices and portfolio management

2011

Since the launch of the European Union Emission Trading Scheme (EU ETS), the interest in the trade of EUAs is constantly increasing among academics and market participants. The objective of this paper is twofold: (a) a detailed description of this new market is provided for portfolio managers and (b) a comprehensive study of the implications of including Phase II EUAs in diversified portfolios is undertaken using as expected returns both historical and risk-adjusted returns. The results show that the opportunity set for investors increases when short positions in Phase II EUAs are taken.

Comparison of E-Trust and Trust Concepts in Online and Offline Dimensions

2017

Abstract In everyday lives, we more and more use different technology products to make our lives easier and faster. We often do not realise that we are switching our lifestyles to the online platform - we do everything mostly online - meet and communicate with others, watch videos and listen to favourite songs, choose and buy different things. The main question is - can we trust everything that we see on the screen? Is the explanation of “trust” the same in real life and in online sphere? Authors of the paper compare the concept of “trust” in offline trade market with that in online trading. The following methods were used - literature study and analysis, consumer survey and statistical ana…