BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20250309T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20251102T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250207T120000
DTEND;TZID=America/Chicago:20250207T130000
DTSTAMP:20260411T122210
CREATED:20241216T171540Z
LAST-MODIFIED:20241216T171630Z
UID:1655-1738929600-1738933200@www.math.ttu.edu
SUMMARY:Do online attention and sentiment affect cryptocurrencies’ correlations?
DESCRIPTION:Speaker: Prof. Aurelio Bariviera\, Dept.  of Business\, Universitat Rovira i Virgili\, Reus\, Spain \nAbstract: This paper adopts a versatile conditional correlation approach to explore daily seasonality in the major cryptocurrencies. Given the lack of clear fundamental value in this market and the active online profile of investors\, the study also relates cryptocurrency cross-correlations to online market attention and sentiment. Our results highlight that while investor attention has a positive effect\, sentiment has a much stronger negative impact on the correlations. These findings can offer interesting insights for investors and regulators\, as the influence of market attention and sentiment on the correlations has important implications for portfolio diversification and market stability.
URL:https://www.math.ttu.edu/mathematicalfinance/event/do-online-attention-and-sentiment-affect-cryptocurrencies-correlations/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/bariviero-scaled.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250221T120000
DTEND;TZID=America/Chicago:20250221T130000
DTSTAMP:20260411T122210
CREATED:20241216T171945Z
LAST-MODIFIED:20241216T172028Z
UID:1662-1740139200-1740142800@www.math.ttu.edu
SUMMARY:Multi-asset return risk measures
DESCRIPTION:Speaker:
URL:https://www.math.ttu.edu/mathematicalfinance/event/multi-asset-return-risk-measures/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/Laudage.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250228T140000
DTEND;TZID=America/Chicago:20250228T150000
DTSTAMP:20260411T122210
CREATED:20241216T172519Z
LAST-MODIFIED:20241216T172544Z
UID:1669-1740751200-1740754800@www.math.ttu.edu
SUMMARY:Water as a commodity in hydropower generation
DESCRIPTION:Speaker: Prof. Eduardo Schwartz\, Beedie School of Business\, Simon Fraser Univ. \nAbstract: The increased impact of extreme weather events and draughts has prompted the rapid growth of the water market. This paper analyzes the optimal operation of a reservoir that generates electricity and manages the water by trading water rights. We extend the framework introduced in a recent paper by Figuerola-Ferretti\, Schwartz\, and Segarra (2024) to include the water price process in a model that accounts for water inventory and the electricity price as two independent price processes. The model is implemented under the stochastic optimal control approach and calibrated using monthly data for a reservoir in the estate of California. The water price process and the dynamics of inflow into the reservoir include their dependence on the California Drought Severity Index. Results show that the underlying water and electricity price dynamics exhibit a high degree of uncertainty and seasonality. They also demonstrate that\, under the calibrated model parameters on average for the parameters used\, around 25% of the revenue generated by the reservoir arises from the revenue obtained from selling water rights. The water contribution to revenue generation would increase under enhanced severity of climate change.
URL:https://www.math.ttu.edu/mathematicalfinance/event/water-as-a-commodity-in-hydropower-generation/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/schwartz.jpg
END:VEVENT
END:VCALENDAR