241 citations · 1.4k across the 54 of their papers we have counts for
6 papers · 1 filter
Change of persistence in European electricity spot prices
Leonardo Rydin Gorjão, Dirk Witthaut, Pedro G. Lind +1
The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed t…
Stochastic modelling of non-stationary financial assets
Joana Estevens, Paulo Rocha, Joao Boto +1
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown…
Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations
Paulo Rocha, Frank Raischel, João P. Boto +1
We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices fr…
Optimal models of extreme volume-prices are time-dependent
Paulo Rocha, Frank Raischel, João Pedro Boto +1
We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that…
Stochastic Evolution of Stock Market Volume-Price Distributions
Paulo Rocha, Frank Raischel, João P. da Cruz +1
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each -minute lag:…
The bounds of heavy-tailed return distributions in evolving complex networks
João P. da Cruz, Pedro G. Lind
We consider the evolution of scale-free networks according to preferential attachment schemes and show the conditions for which the exponent characterizing the degree distribution…