Modelling price formation in electricity markets is a notoriously difficult process, due to physical constraints on electricity generation and flow. This difficulty has inspired the recent development of bottom-up agent-based models of electricity markets. While these have proven quite...

The Chinese economy is facing the impact of soaring energy prices, including the prices of coal, electricity and oil. The impacts of energy price fluctuations on general prices have a significant delayed effect. A novel price-temporal input-output (I-O) method is proposed to measure these...

Demonstration of the omnipresence of noise in volatilities of returns of financial instruments.Demonstration that more than 30% of SP500 securities can have percentage change in volatility of more than 10% as a result of noise filtering.In our white paper “Filtering Noise From Correlation...