The increasing interest in renewable energy, particularly in wind, has given rise to the
necessity of accurate models for the generation of good synthetic wind speed data. Markov …

We introduce a new multivariate model of multiple asset returns. Our model is based on
weighted indexed semi-Markov chains to describe the single (marginals) asset returns …

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 …

Statistical analysis of high-frequency stock market order transaction data is conducted to
understand order transition dynamics. We employ a first-order time-homogeneous discrete …

We introduce a new model based on Markov renewal processes (MRP) describing the
fluctuations of a tick-by-tick single asset price. We consider a point process associated to the …

The production of energy through wind turbines is increasing enormously in the latest years.
To better design wind turbines, a good model for wind speed is needed. In a previous paper …

We address the calibration issues of the weighted-indexed semi-Markov chain (WISMC)
model applied to high-frequency financial data. Specifically, we propose to automate the …

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 …

The computation of the dependability measures is a crucial point in many engineering
problems as well as in the planning and development of a wind farm. In this paper we …

Because of the stochastic nature of wind turbines, the output power management of wind
power generation (WPG) is a fundamental challenge for the integration of wind energy …