Pricing in electricity markets : a mean reverting jump diffusion model with seasonality.

In this paper we present a mean-reverting jump diffusion model for the electricity spot price and derive the corresponding forward in closed-form. Based on historical spot data and forward data from England and Wales we calibrate the model and present months, quarters, and seasons–ahead forward surfacesEnergy derivatives; Electricity; Forward curve; Forward surfaces;

Floquet Fractional Chern Insulator in Doped Graphene

Fractional Chern insulators are theoretically predicted states of electronic matter with emergent topological order. They exhibit the same universal properties as the fractional quantum Hall effect, but dispose of the need to apply a strong magnetic field. However, despite intense theoretical work, an experimental realization for these exotic states of matter is still lacking. Here we show that doped graphene turns into a fractional Chern insulator, when irradiated with high-intensity circularly polarized light. We derive the effective steady state band structure of light-driven graphene using Floquet theory and subsequently study the interacting system with exact numerical diagonalization. The fractional Chern insulator state equivalent to the 1/3 Laughlin state appears at 7/12 total filling of the honeycomb lattice (1/6 filling of the upper band). The state also features spontaneous ferromagnetism and is thus an example of the spontaneous breaking of a continuous symmetry along with a topological phase transition.Comment: 10 page

Modelling electricity prices with forward looking capacity constraints.

We present a spot price model for wholesale electricity prices which incorporates forward looking information that is available to all market players. We focus on information that measures the extent to which the capacity of the England and Wales generation park will be constrained over the next 52 weeks. We propose a measure of ‘tight market conditions’, based on capacity constraints, which identifies the weeks of the year when price spikes are more likely to occur. We show that the incorporation of this type of forward looking information, not uncommon in the electricity markets, improves the modeling of spikes (timing and magnitude) and the different speeds of mean reversionCapacity constraints; Mean reversion; Electricity indicated demand; Electricity indicated generation; Regime switching model;

Order-to-disorder transition in ring-shaped colloidal stains

A colloidal dispersion droplet evaporating from a surface, such as a drying coffee drop, leaves a distinct ring-shaped stain. Although this mechanism is frequently used for particle self-assembly, the conditions for crystallization have remained unclear. Our experiments with monodisperse colloidal particles reveal a structural transition in the stain, from ordered crystals to disordered packings. We show that this sharp transition originates from a temporal singularity of the flow velocity inside the evaporating droplet at the end of its life. When the deposition speed is low, particles have time to arrange by Brownian motion, while at the end, high-speed particles are jammed into a disordered phase.Comment: accepted for PR