129 citations · 587 across the 33 of their papers we have counts for
5 papers · 1 filter
Forecasting wind speed financial return
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The prediction of wind speed is very important when dealing with the production of energy through wind turbines. In this paper, we show a new nonparametric model, based on semi-Mar…
Semi-Markov Models in High Frequency Finance: A Review
G. D'Amico, F. Petroni, F. Prattico
In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The th…
Reliability measures for indexed semi-Markov chains applied to wind energy production
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The computation of the dependability measures is a crucial point in the planning and development of a wind farm. In this paper we address the issue of energy production by wind tur…
Wind speed forecasting at different time scales: a non parametric approach
Guglielmo D'Amico, Filippo Petroni, Flavio Prattico
The prediction of wind speed is one of the most important aspects when dealing with renewable energy. In this paper we show a new nonparametric model, based on semi-Markov chains,…
Multivariate high-frequency financial data via semi-Markov processes
Guglielmo D'Amico, Filippo Petroni
In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial r…