A semi-Markov model with memory for price changes

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also on a memory index. The index is introduced to take into account periods of high and low volatility in the market. First of all we derive the equations governing the process and then theoretical results have been compared with empirical findings from real data. In particular we analyzed high frequency data from the Italian stock market from first of January 2007 until end of December 2010

Weighted-indexed semi-Markov models for modeling financial returns

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series as the first passage time distributions and the persistence of volatility. The model is applied to data from Italian and German stock market from first of January 2007 until end of December 2010.Comment: arXiv admin note: substantial text overlap with arXiv:1109.425

One year after on Tyrrhenian coasts: The ban of cotton buds does not reduce their dominance in beach litter composition

In January 2019, Italy banned the sale of plastic cotton buds, which is one of the most abundant litter items entering the sea and then washing ashore. However, since the ban came into force, no studies have been carried out to assess whether the measure has actually led to the reduction of plastic cotton buds accumulating on Italian coasts. Here we aim at evaluating the effectiveness of the ban in reducing the amount of cotton buds reaching sandy beaches of the Tyrrhenian coast. Specifically, we monitored the accumulation of beach litter for one year since the ban came into force. By surveying eight coastal sites from winter 2019 to winter 2020, we collected a total of 52,824 items mostly constituted by plastic debris (97.6%). We found that cotton buds were the most abundant item (42.3% of total litter), followed by plastic (28.5%) and polystyrene (5.43%) fragments. Our preliminary assessment suggests that the ban has so far not led to a sensible reduction in the amount of cotton buds entering the marine ecosystem. This was to be expected since implementation strategies are still lacking (i.e. no economic sanctions can be imposed in case of non-compliance) and bans are differently implemented among countries facing the Mediterranean Sea, calling for law enforcement and implementation at the national and international levels

Wind speed and energy forecasting at different time scales: a non parametric approach

The prediction of wind speed is one of the most important aspects when dealing with renewable energy. In this paper we show a new nonparametric model, based on semi-Markov chains, to predict wind speed and the energy produced by a commercial blade. Particularly, we use an indexed semi-Markov model, that reproduces accurately the statistical behavior of wind speed. The model is used to forecast future wind speed and the energy produced through a 10 kW Aircon wind turbine. We forecast one step ahead and for different time scales. In order to check the main features of the model we show, as indicator of goodness, the root mean square error between real data and predicted ones. We compare our forecasting results with those of a persistence model and of an autoregressive model

Performability analysis of the second order semi-Markov chains: an application to wind energy production

In this paper a general second order semi-Markov reward model is presented. Equations for the higher order moments of the reward process are presented for the first time and applied to wind energy production. The application is executed by considering a database, freely available from the web, that includes wind speed data taken from L.S.I. - Lastem station (Italy) and sampled every 10 minutes. We compute the expectation, the variance, the skewness and the kurtosis of the total energy produced by using the commercial blade Aircon HAWT - 10 kW