Fast and reliable black start plays a key role in improving the ability of the power system to resist the risk of large-scale blackouts. For a black start with high voltage and long-distance transmission lines, it is much easier to cause phenomena such as self-excitation and power...

The resonance of a single-degree-of-freedom forced nonlinear system with two-frequency parametric and self-excitations is investigated. In particular, the case in which the parametric excitation terms and the excitation force with close frequencies is examined. The method of multiple scales is...

We propose a “reflexivity” index that quantifies the relative importance of short-term endogeneity for several commodity futures markets (corn, oil, soybean, sugar, and wheat) and a benchmark equity futures market (E-mini S&P 500), from mid-2000s to October 2012. Our reflexivity index is...

The paper proposes a new class of continuous-time asset pricing models where whenever there is a negative jump in asset returns, it is simultaneously passed on to diffusion variance and the jump intensity, generating co-jumps of prices and volatility and jump clustering. To properly deal with...

The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset returns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and...

The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset re- turns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and...