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Stock market index

Related publications (83)

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A unified framework for rich routing problems with stochastic demands

Michel Bierlaire, Sacha Varone, Mohammad Yousef Maknoon, Iliya Dimitrov Markov

We introduce a unified framework for rich vehicle and inventory routing problems with complex physical and temporal constraints. Demands are stochastic, can be non-stationary, and are forecast using any model that provides the expected demands and their er ...

2017

Three Essays on Corporate Disclosure

Evgeny Petrov

Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary ...

EPFL2017

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Vincent Jean Bogousslavsky

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...

Wiley-Blackwell2016

Elliptical tempered stable distribution

Hasan Fallahgoul

Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its charac ...

Routledge Journals, Taylor & Francis Ltd2016

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

A Power System Decarbonisation Monitor for Renewables Policy Adaptation

Many countries rely on high levels of generation from Variable Renewable Energies (VREs) to decarbonise their power systems. However, scaling up VREs beyond a certain threshold generates new challenges in the already complex electricity system and renewabl ...

2016

Essays in Empirical Corporate Finance

Stefano Colonnello

This dissertation consists of three chapters. The first chapter examines whether the availability of credit default swaps (CDS) has consequences for creditor governance. CDSs offer creditors the opportunity to hedge credit risk and may impact their willing ...

EPFL2015

SigCO: Mining Significant Correlations via a Distributed Real-time Computation Engine

Karl Aberer, Jean Paul Calbimonte Perez, Tian Guo, Hao Zhuang

The dramatic rise of time-series data produced in a variety of contexts, such as stock markets, mobile sensing, sensor networks, data centre monitoring, etc., has fuelled the development of large-scale distributed real-time computation systems (e.g., Apach ...

2015

An Economic Model Predictive Control scheme with terminal penalty for continuous-time systems

Colin Neil Jones, Andrea Alessandretti

In this paper, convergence and performance properties of a sample-data continuous time model predictive control (MPC) scheme with economic performance index are developed. In particular, we provide sufficient conditions for convergence of the close loop st ...

2014

Optimal Energy Management Strategy of an Improved Elevator With Energy Storage Capacity Based on Dynamic Programming

Alfred Rufer, Philippe Barrade

Efficiency and energy consumption reduction are becoming a key issue in elevation applications. Energy Storage Systems (ESS) can play a significant role in this field, together with their associated Energy Management Strategy (EMS) to optimize the overall ...

Institute of Electrical and Electronics Engineers2014