13 citations · 17 across the 26 of their papers we have counts for
6 papers · 1 filter
CapOptix: An Options-Framework for Capacity Market Pricing
Millend Roy, Agostino Capponi, Vladimir Pyltsov +2
Electricity markets are under increasing pressure to maintain reliability amidst rising renewable penetration, demand variability, and occasional price shocks. Traditional capacity…
Auctioning Time to Mitigate Latency Races: Theory and Evidence from Blockchains
Agostino Capponi, Brian Zhu
High-frequency trading, in both traditional and decentralized markets, induces latency races and redundant order flow as traders spend resources to win time-sensitive opportunities…
DAO-AI: Evaluating Collective Decision-Making through Agentic AI in Decentralized Governance
Agostino Capponi, Alfio Gliozzo, Chunghyun Han +1
This paper presents a first empirical study of agentic AI as autonomous decision-makers in decentralized governance. Using more than 3K proposals from major protocols, we build an…
Handling Sparse Non-negative Data in Finance
Agostino Capponi, Zhaonan Qu
We show that Poisson regression, though often recommended over log-linear regression for modeling count and other non-negative variables in finance and economics, can be far from o…
Virtual Trading in Multi-Settlement Electricity Markets
Agostino Capponi, Garud Iyengar, Bo Yang +1
In the Day-Ahead (DA) market, suppliers sell and load-serving entities (LSEs) purchase energy commitments, with both sides adjusting for imbalances between contracted and actual de…
Data-Driven Dynamic Factor Modeling via Manifold Learning
Graeme Baker, Agostino Capponi, J. Antonio Sidaoui
We introduce a data-driven dynamic factor framework for modeling the joint evolution of high-dimensional covariates and responses without parametric assumptions. Standard factor mo…