5 papers
Regularisation for PCA- and SVD-type matrix factorisations
Abdolrahman Khoshrou, Eric J. Pauwels
Singular Value Decomposition (SVD) and its close relative, Principal Component Analysis (PCA), are well-known linear matrix decomposition techniques that are widely used in applica…
To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders
Somayeh Kokabisaghi, Eric J Pauwels, Andre B Dorsman
In this paper we extend the investigation into the transition from sure to probabilistic sniping as introduced in Menkveld and Zoican \cite{mz2017}. In that paper, the authors intr…
Quantifying Volatility Reduction in German Day-ahead Spot Market in the Period 2006 through 2016
Abdolrahman Khoshrou, Eric J. Pauwels
In Europe, Germany is taking the lead in the switch from the conventional to renewable energy. This poses new challenges as wind and solar energy are fundamentally intermittent, we…
SVD-based Visualisation and Approximation for Time Series Data in Smart Energy Systems
Abdolrahman Khoshrou, Andre B. Dorsman, Eric. J. Pauwels
Many time series in smart energy systems exhibit two different timescales. On the one hand there are patterns linked to daily human activities. On the other hand, there are relativ…
Data-driven pattern identification and outlier detection in time series
Abdolrahman Khoshrou, Eric J. Pauwels
We address the problem of data-driven pattern identification and outlier detection in time series. To this end, we use singular value decomposition (SVD) which is a well-known tech…