This paper presents an overview of the different methodologies and mathematical optimization models developed in the framework of the EU-funded project SiNGULAR towards the optimal exploitation and efficient short-term operation of RES production in insular electricity networks. Specifically,...

This paper presents an extensive analysis of the Greek electricity market for the next 7-year period (2014–2020) based on an hour-by-hour simulation considering five different RES technologies, namely wind, PV, small hydro, biomass and CHP with emphasis on PV integration. The impact of RES...

This paper presents a fuzzy set-based approach to the evaluation of information technology (IT) projects. We assume a multi-criteria decision-making framework, where sets of general and domain-specific criteria are used to judge the relative performance of alternative technologies. The...

In this paper we investigate the application of a methodology based on fuzzy-sets theory to the selection of an optimal portfolio of Greek government bonds. Investors’ goals for the different bond market scenarios are formulated in fuzzy qualitative terms, while a model of fuzzy mathematical...

We investigate the application of cointegration techniques in designing trading portfolios that outperform a market benchmark. Of particular interest is the situation of enhanced indexation with incomplete portfolios, that is, by imposing a limit on the maximum number of assets included in the...

This paper discusses applications of nature-inspired computational techniques in optimisation problems encountered in portfolio selection and applied econometrics. By means of an empirical study, we show how particle swarm intelligence can be effectively used in the estimation of a GARCH and an...

This paper considers the task of forming a portfolio of assets that outperforms a benchmark index, while imposing a constraint on the tracking error volatility. We examine three alternative formulations of active portfolio management. The first one is a typical set up in which the fund manager...

We study intraday returns transmissions between Standard amp; Poor's 500 and three European Stock Indices (FTSE 100, CAC, DAX) Using vector autoregressive models. Our purpose is to investigate intermarket dependencies before and after the opening of the New York Stock Exchange. Causality tests...

This paper proposes an intelligent combination of neural network theory and financial statistics for the detection of statistical arbitrage opportunities in specific pairs of stocks. The proposed intelligent methodology is based on a class of neural network-GARCH autoregressive models for the...