We investigate triangular arbitrage within the spot foreign exchange market using highfrequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with shorter mean durations occurring during mor...

We selected a sample of a dozen blazars which are the prime candidates for simultaneous multi-wavelength observing campaigns in their outburst phase. We searched for optical outbursts, intra-day variability and short term variability in these blazars. We carried out optical photometric monitoring of nine of these blazars in 13 observing nights during our observing run October 27, 2006 − March 2...

This paper provides an effective approach for forecasting return volatility via threshold heteroskedastic models of the daily asset price range, defined as the difference between the highest and lowest log asset price recorded throughout the day. We propose a general model specification, allowing the intra-day high-low price range to depend nonlinearly on past information, or an exogenous varia...

In this work we investigate intra-day patterns of activity on a population of 7,261 users of mobile health wearable devices and apps. We show that: (1) using intra-day step and sleep data recorded from passive trackers significantly improves classification performance on self-reported chronic conditions related to mental health and nervous system disorders, (2) Convolutional Neural Networks ach...

The aim of this paper is to address the challenges regarding safety and economics power system operation after integration a high proportion wind power. In response limitations literature, which often fails simultaneously consider both aspects, we propose solution based on stochastic optimization scheduling model. Firstly, uncertainty day-ahead forecasting errors establish multi-scenario By bal...

This paper discovers a distinct calendar anomaly on the US stock market associated with Groundhog Day prognostication tradition across 1928–2021. There are significant positive abnormal returns around “prediction” of an early spring, while buy-and-hold long winter 2.78% lower. The results robust in subsamples, to set placebo tests for international indices, and cannot be explained by January ef...