We compare volatility forecasts using daily data and intraday data at different frequencies from the Chinese commodity futures market. Focusing on aluminium, copper and fuel oil futures contracts with 3 months to maturity, our empirical results suggest that in the out-of-sample forecasting...

In this paper, we first determine the existence of structural changes in the dependence between time series of equity index returns of two markets using the change point testing method. The method is based on Archimedean copula functions, which are able to comprehensively describe dependence...

In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by...

Forecasting price spikes is a timely issue for the deregulated electricity market. Traditional price forecasting techniques show poor performance in handling price spikes, which usually follow a pattern different from the prices under normal market conditions. Therefore, novel approaches are...

For geothermal applications, a study in forced convection of water in a single uneven planar rock fracture is conducted in the laboratory, using actual rock samples that have been artificially fractured. The results show that, over tha range of experimental data collected, the heat transfer...

Takagi-Sugeno fuzzy models may contain redundant rules. The use of genetic algorithms for optimizing a performance index, which combines a modelling error and the number of rules in the model, allows the elimination of redundant rules and a subsequent adjustment of the weights of the rules...

Microscopic bouncing balls, i.e., particles confined within a positive one-half-dimensional gravitational potential, display Bose–Einstein condensation (BEC) not only in the thermodynamic limit but also in the case of a finite number of particles, and the critical temperature with a finite...