In this paper, we model natural gas market volatility using GARCH-class models with long memory and fat …-tail distributions. First, we forecast price volatilities of spot and futures prices. Our evidence shows that none of the models can … the stylized fact of fat-tail distributions into account. Second, we forecast volatility of basis defined as the price …

Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The … daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for … most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are …

intersections on the capacity of the bus. Both the case of a bus stop with a special stopping lane and that of one without are … considered. The capacity versus the distance LB(LD) between the stop and the upstream (downstream) intersection is studied, with … as a bottleneck and cause a drop in the capacity when the LB (or LD) is below a critical point LBc1(or LDc1). However …

Abrupt changes in the stock prices, either upwards or downwards, are usually preceded by an oscillatory behavior with … characterize the likelihood of a short-time abrupt change in the stock prices. Actual data from the São Paulo Stock Exchange (Bolsa …

generalizations of the production function that include state variables, organizational structures and increasing returns to scale …

process of production as well as investments. In particular, Hamiltonian (“financial energy”) is determined by rate of return. …

leads to Riemann and Stokes integrals and to the first and second laws of production and growth. The mathematical structure … is the same as in thermodynamics, economic properties may be related to physical terms: capital to energy, production to … physical work, GDP per capita to temperature, production function to entropy. This is called econophysics. Production, trade …

Electricity prices are known to exhibit multifractal properties. We accommodate this finding by investigating … multifractal models for electricity prices. In this paper we propose a flexible Copula-MSM (Markov Switching Multifractal) approach … forecasting performance for electricity spot prices reveals that multifractal techniques are a competitive alternative to GARCH …

Market data analysis in Iran’s electricity market as a market with a pay-as-bid payment mechanism has been considered … and price indices. The experimental data from Iran’s electricity market has been employed in its real size which is long …

In this paper, we investigate the efficiency and the robustness of information transmission for real-world social … efficiency or robustness is the presence of short-time correlations across the network instances which we quantify by a novel …