no code implementations • 20 May 2022 • Maria Eleni Athanasopoulou, Justina Deveikyte, Alan Mosca, Ilaria Peri, Alessandro Provetti
Currently the UK Electric market is guided by load (demand) forecasts published every thirty minutes by the regulator.
no code implementations • 6 Sep 2021 • Fabio Bellini, Ilaria Peri
Further, we present a systematic treatment of the properties of $\Lambda$-quantiles, refining some of the results of Frittelli et al. (2014) and Burzoni et al. (2017) and showing that in the case of a nonincreasing $\Lambda$ the properties of $\Lambda$-quantiles closely resemble those of the usual quantiles.
no code implementations • 28 Jun 2021 • Akif Ince, Ilaria Peri, Silvana Pesenti
We further derive the Euler decomposition of lambda quantiles for generic portfolios and show that lambda quantiles are homogeneous in the space of portfolio compositions, with a homogeneity degree that depends on the portfolio composition and the lambda function.