13 citations · 35 across the 24 of their papers we have counts for
27 papers
Negative Oil & Nickel Squeeze: A Feedback Model for Extreme Commodity Futures Prices
Iosif Zimbidis, Ronnie Sircar
On April 20, 2020, the May front-month WTI oil futures contract, one day before its expiration date, opened near barrel and dropped far below zero in a single trading day, r…
AI for AI: Optimizing Additional Infrastructure Build-out to Power Artificial Intelligence Data Centers
Alexander Crosier, Kyle Onghai, Ronnie Sircar
The twenty-first century's transformative technology, artificial intelligence, is increasingly constrained by the twentieth century's transformative technology, the electricity gri…
Trading Electrons: Predicting DART Spread Spikes in ISO Electricity Markets
Emma Hubert, Dimitrios Lolas, Ronnie Sircar
We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarn…
Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
Patrick Chan, Ronnie Sircar, Iosif Zimbidis
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the…
A Mean Field Game for Capacity Expansion Modeling
Emma Hubert, Dimitrios Lolas, Ronnie Sircar
This paper studies the optimal investment behavior of renewable electricity producers in a competitive market, where both prices and installation costs are influenced by aggregate…
Fare Game: A Mean Field Model of Stochastic Intensity Control in Dynamic Ticket Pricing
Burak Aydin, Emre Parmaksiz, Ronnie Sircar
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model w…