114 citations · 326 across the 19 of their papers we have counts for
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q-fin.PM2015★ 7 cited
Optimal growth trajectories with finite carrying capacity
Francesco Caravelli, Lorenzo Sindoni, Fabio Caccioli +1
We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is s…
q-fin.ST2015
Multi-scaling of wholesale electricity prices
Francesco Caravelli, James Requeima, Cozmin Ududec +3
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibi…