Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements

no code implementations • 12 Dec 2023 • Mike Ludkovski, Saad Mouti, Glen Swindle

We consider the construction of renewable portfolios targeting specified carbon-free (CFE) hourly performance scores.

Rough volatility: evidence from range volatility estimators

no code implementations • 3 Dec 2023 • Saad Mouti

Notably, we address the concern that rough volatility might be an artifact of microstructure noise in high-frequency return data.

A resampling approach for causal inference on novel two-point time-series with application to identify risk factors for type-2 diabetes and cardiovascular disease

no code implementations • 12 Mar 2021 • Xiaowu Dai, Saad Mouti, Marjorie Lima do Vale, Sumantra Ray, Jeffrey Bohn, Lisa Goldberg

Baseline data contain a pre-intervention health record of study participants, and health data after LCD intervention are recorded at the follow-up visit, providing a two-point time-series pattern without a parallel control group.

Methodology Applications

Sustainable Investing and the Cross-Section of Returns and Maximum Drawdown

no code implementations • 13 May 2019 • Lisa R. Goldberg, Saad Mouti

We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for stocks in the US equity market.