In stock markets, trading volumes serve as a crucial variable, acting as a measure for a security's liquidity level. To evaluate liquidity risk exposure, we examine the process of volume drawdown and measures of crash-recovery within fuctuating time frames. These moving time windows shield our...

In this paper, we propose a semi-Markov chain to model the salary levels of participants ina pension scheme. The aim of the models is to understand the evolution in time of the salary of activeworkers in order to implement it in the construction of the actuarial technical balance sheet. It...

In this paper, we propose a semi-Markov chain to model the salary levels of participants ina pension scheme. The aim of the models is to understand the evolution in time of the salary of activeworkers in order to implement it in the construction of the actuarial technical balance sheet. It...

Abstract In this paper we advance a nonlinear optimization problem for hedging wind power variability by using a dispatchable energy source (DES) like gas. The model considers several important aspects such as modeling of wind power production, electricity price, nonlinear penalization scheme...

We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita...

We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 until 2014. We show that it is possible to define a Daily Market Volatility $\sigma(t)$ which is directly observable from data. This quantity is usually indirectly defined by $r(t)=\sigma(t) \omega(t)$ where...