This paper proposes a novel two-stage Microgrid (MG) scheduling methodology to decide optimal location and size of MG and outputs of dispatchable and intermittent distributed generators (DGs). In the first stage, a system stability index (SSI) representing the performance of the distribution...

Finding what causes pricing anomalies is an important step towards improving market efficiency. The favourite-longshot bias is one of the longest-standing pricing anomalies in state-contingent claims markets. However, existing models are unable to capture its full complexity. We develop a...

Motivated by the seasonality found in equity returns, we create a Turn-of-the-Month (ToM) allocation strategy in the U.S. equity market and investigate its value in asset allocation. By using a wide variety of portfolio construction techniques in an attempt to address the impact of estimation...