This paper presents an extensive analysis of the Greek electricity market for the next 7-year period (2014–2020) based on an hour-by-hour simulation considering five different RES technologies, namely wind, PV, small hydro, biomass and CHP with emphasis on PV integration. The impact of RES...

This paper presents an overview of the different methodologies and mathematical optimization models developed in the framework of the EU-funded project SiNGULAR towards the optimal exploitation and efficient short-term operation of RES production in insular electricity networks. Specifically,...

Part of the accepted wisdom among financial practitioners and academics is the fact that equity returns exhibit significant time-variations in the risk and dependence structure. Recent empirical studies also report an asymmetry in the concurrence of extreme returns, i.e. stocks appear to be more...

We present a framework for designing optimal allocation strategies for large stock portfolios using dynamic factor models and multivariate volatility parametrisations. We attempt to elaborate on the fundamental structure of the Fama and French (FF) factor model with a special focus on the time...

One of the common problems with the production of wind energy is the increased uncertainty surrounding the delivered output. Wind power producers adopt various strategies to reduce production risk, one of the most popular being the dispersion of wind farms across distant locations. The purpose...

This paper proposes a hybrid computational intelligent system for the detection of statistical arbitrage opportunities in pairs of assets. The proposed methodology combines nonlinear neural network autoregressive models with GARCH parametrizations of volatility for describing the dynamics of the...