Matches in SemOpenAlex for { <https://semopenalex.org/work/W2980123666> ?p ?o ?g. }
- W2980123666 abstract "We explore the roles of information time delay and noise correlation on the stability of electricity market by the method of mean first passage time (MFPT) and delayed Heston model. We employ the least square method of probability distribution to estimate the parameters of the proposed model with the closing price data of electricity futures daily of the European Energy Exchange. Then the probability density functions of the price returns are empirically compared between both the simulated data from the delayed Heston model and the electricity futures data, and a good agreement can be found between them. Through the stochastic simulation of the mean first passage time of returns, some results show that: (i) the phenomenon of correlation enhancing stability can be observed in MFPT versus mean reversion of volatility; (ii) we can observe that the delay time and the growth rate can induce the critical phenomenon; (iii) there are optimal values of volatility parameters matching maximum stability of electricity futures price. In addition, the increased growth rate and the delay time enhance the stability of electricity futures price." @default.
- W2980123666 created "2019-10-18" @default.
- W2980123666 creator A5004219474 @default.
- W2980123666 creator A5033571991 @default.
- W2980123666 creator A5040188842 @default.
- W2980123666 creator A5088844323 @default.
- W2980123666 date "2019-10-30" @default.
- W2980123666 modified "2023-09-24" @default.
- W2980123666 title "Correlation noise and delay time enhanced stability of electricity futures market" @default.
- W2980123666 cites W1788744250 @default.
- W2980123666 cites W1968201248 @default.
- W2980123666 cites W1978895163 @default.
- W2980123666 cites W1980065916 @default.
- W2980123666 cites W1993614159 @default.
- W2980123666 cites W1994052363 @default.
- W2980123666 cites W2005424182 @default.
- W2980123666 cites W2007449813 @default.
- W2980123666 cites W2018647960 @default.
- W2980123666 cites W2025988031 @default.
- W2980123666 cites W2031103480 @default.
- W2980123666 cites W2034497836 @default.
- W2980123666 cites W2035101409 @default.
- W2980123666 cites W2036157500 @default.
- W2980123666 cites W2039450739 @default.
- W2980123666 cites W2044854119 @default.
- W2980123666 cites W2054372907 @default.
- W2980123666 cites W2058129650 @default.
- W2980123666 cites W2061399644 @default.
- W2980123666 cites W2064978316 @default.
- W2980123666 cites W2066399359 @default.
- W2980123666 cites W2067893204 @default.
- W2980123666 cites W2073790834 @default.
- W2980123666 cites W2078600259 @default.
- W2980123666 cites W2080469462 @default.
- W2980123666 cites W2083781100 @default.
- W2980123666 cites W2085501145 @default.
- W2980123666 cites W2087773441 @default.
- W2980123666 cites W2088043399 @default.
- W2980123666 cites W2090363822 @default.
- W2980123666 cites W2093522856 @default.
- W2980123666 cites W2096097526 @default.
- W2980123666 cites W2102121807 @default.
- W2980123666 cites W2114365211 @default.
- W2980123666 cites W2152692424 @default.
- W2980123666 cites W2160838811 @default.
- W2980123666 cites W2162966966 @default.
- W2980123666 cites W2206784480 @default.
- W2980123666 cites W2218419616 @default.
- W2980123666 cites W2260971366 @default.
- W2980123666 cites W2285745680 @default.
- W2980123666 cites W2468573966 @default.
- W2980123666 cites W2516345063 @default.
- W2980123666 cites W2561777375 @default.
- W2980123666 cites W2594157262 @default.
- W2980123666 cites W2596115488 @default.
- W2980123666 cites W2624788471 @default.
- W2980123666 cites W2751989747 @default.
- W2980123666 cites W2765441655 @default.
- W2980123666 cites W2766034344 @default.
- W2980123666 cites W2792400076 @default.
- W2980123666 cites W2803788830 @default.
- W2980123666 cites W2807589353 @default.
- W2980123666 cites W2904530806 @default.
- W2980123666 cites W2909970190 @default.
- W2980123666 cites W3021444882 @default.
- W2980123666 cites W3101083750 @default.
- W2980123666 cites W3101884700 @default.
- W2980123666 cites W3124317733 @default.
- W2980123666 cites W4299993032 @default.
- W2980123666 cites W48051323 @default.
- W2980123666 cites W930211844 @default.
- W2980123666 doi "https://doi.org/10.1142/s0217984919503755" @default.
- W2980123666 hasPublicationYear "2019" @default.
- W2980123666 type Work @default.
- W2980123666 sameAs 2980123666 @default.
- W2980123666 citedByCount "3" @default.
- W2980123666 countsByYear W29801236662020 @default.
- W2980123666 countsByYear W29801236662021 @default.
- W2980123666 crossrefType "journal-article" @default.
- W2980123666 hasAuthorship W2980123666A5004219474 @default.
- W2980123666 hasAuthorship W2980123666A5033571991 @default.
- W2980123666 hasAuthorship W2980123666A5040188842 @default.
- W2980123666 hasAuthorship W2980123666A5088844323 @default.
- W2980123666 hasConcept C106159729 @default.
- W2980123666 hasConcept C106306483 @default.
- W2980123666 hasConcept C112972136 @default.
- W2980123666 hasConcept C115961682 @default.
- W2980123666 hasConcept C117220453 @default.
- W2980123666 hasConcept C119857082 @default.
- W2980123666 hasConcept C121332964 @default.
- W2980123666 hasConcept C121864883 @default.
- W2980123666 hasConcept C146733006 @default.
- W2980123666 hasConcept C154945302 @default.
- W2980123666 hasConcept C162324750 @default.
- W2980123666 hasConcept C186659197 @default.
- W2980123666 hasConcept C206658404 @default.
- W2980123666 hasConcept C2524010 @default.
- W2980123666 hasConcept C2983622608 @default.
- W2980123666 hasConcept C33923547 @default.
- W2980123666 hasConcept C41008148 @default.