Article history: Received 20 June 2014 Received in revised form 25 September 2014 Accepted 26 September 2014 Available online 5 October 2014 This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997–February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil ...

The integration of intermittent resources of power generation, such as wind and solar, will lead to unprecedented energy price fluctuations and increasing price uncertainty. Besides improving forecasting, electricity retailers can meet this challenge by partly adopting the demand side of the electricity markets to the fluctuating supply side. The necessary communication infrastructure for this ...

For optimal operation of power-intensive plants, production scheduling and electricity procurement have to be considered simultaneously. In addition, uncertainty needs to be taken into account. For this purpose, an integrated stochastic mixed-integer linear programming model is developed that considers the two most critical sources of uncertainty: spot electricity price, and product demand. Con...

This paper develops a theory of putty-clay investment under factor price uncertainty using a Brownian motion framework. Ex ante the 4rm faces a choice of technologies that di5er by their relative factor intensities, but ex post technologies are Leontief. The presence of competing technologies and factor price uncertainty can cause delay of pro4table investments for a monopolist 4rm facing a one...

Info-gap decision theory facilitates decision making for problems in which uncertainty is large and probability distributions of uncertain variables are unknown. The info-gap framework allows the decision maker to maximize robustness to failure in the presence of uncertainty, where uncertainty is in the parameters of the model and failure is defined as the model output falling below some minima...

We describe Cümülön, a system aimed at helping users develop and deploy matrix-based data analysis programs in a public cloud. A key feature of Cümülön is its end-to-end support for the so-called spot instances—machines whose market price fluctuates over time but is usually much lower than the regular fixed price. A user sets a bid price when acquiring spot instances, and loses them as soon as ...

real-time pricing schemes make the customers to feel the energy price volatility and improve their load profiles. however, these schemes have no significant effect on demand-side uncertainty reduction. in this paper, considering smart grid infrastructures and smart building energy management system (ems), a new real-time pricing scheme is presented to reduce the uncertainty of demand-side. in t...

The goal of price optimization is to maximize total revenue by adjusting the prices of products, on the basis of predicted sales numbers that are functions of pricing strategies. Recent advances in demand modeling using machine learning raise a new challenge in price optimization, i.e., how to manage statistical errors in estimation. In this paper, we show that uncertainty in recently-proposed ...