Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities

In the current uncertain context that affects both the world economy and the energy sector, with the rapid increase in the prices of oil and gas and the very unstable political situation that affects some of the largest raw materials’ producers, there is a need for developing efficient and powerful quantitative tools that allow to model and forecast fossil fuel prices, CO2 emission allowances prices as well as electricity prices. This will improve decision making for all the agents involved in energy issues. Although there are papers focused on modelling fossil fuel prices, CO2 prices and electricity prices, the literature is scarce on attempts to consider all of them together. This paper focuses on both building a multivariate model for the aforementioned prices and comparing its results with those of univariate ones, in terms of prediction accuracy (univariate and multivariate models are compared for a large span of days, all in the first 4 months in 2011) as well as extracting common features in the volatilities of the prices of all these relevant magnitudes. The common features in volatility are extracted by means of a conditionally heteroskedastic dynamic factor model which allows to solve the curse of dimensionality problem that commonly arises when estimating multivariate GARCH models. Additionally, the common volatility factors obtained are useful for improving the forecasting intervals and have a nice economical interpretation. Besides, the results obtained and methodology proposed can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.

Determinant factors to discriminate the body weight loss in overweight people

Introduction. Most studies have described how the weight loss is when different treatments are compared (1-3), while others have also compared the weight loss by sex (4), or have taken into account psychosocial (5) and lifestyle (6, 7) variables. However, no studies have examined the interaction of different variables and the importance of them in the weight loss. Objective. Create a model to discriminate the range of weight loss, determining the importance of each variable. Methods. 89 overweight people (BMI: 25-29.9 kg?m-2), aged from 18 to 50 years, participated in the study. Four types of treatments were randomly assigned: strength training (S), endurance training (E), strength and endurance training (SE), and control group (C). All participants followed a 25% calorie restriction diet. Two multivariate discriminant models including the variables age, sex, height, daily energy expenditure (EE), type of treatment (T), caloric restriction (CR), initial body weight (BW), initial fat mass (FM), initial muscle mass (MM) and initial bone mineral density (BMD) were performed having into account two groups: the first and fourth quartile of the % of weight loss in the first model; the groups above and below the mean of the % of weight loss in the second model. The discriminant models were built using the inclusion method in SPSS allowing us to find a function that could predict the body weight loss range that an overweight person could achieve in a 6 months weight loss intervention.Results. The first discriminant analysis predicted that a combination of the studied variables would discriminate between the two ranges of body weight loss with 81.4% of correct classification. The discriminant function obtained was (Wilks? Lambda=0.475, p=0.003): Discriminant score=-18.266-(0.060xage)- (1.282xsex[0=female;1=male])+(14.701xheight)+(0.002xEE)- (0.006xT[1=S;2=E;3=SE;4=C])-(0.047xCR)- (0.558xBW)+(0.475xFM)+(0.398xMM)+(3.499xBMD) The second discriminant model obtained would discriminate between the two groups of body weight loss with 74.4% of correct classification. The discriminant function obtained was (Wilks? Lambda=0.725, p=0.005): Discriminant score=-5.021-(0.052xage)- (0.543xsex[0=female;1=male])+(3.530xheight)+(0.001xEE)- (0.493xT[1=S;2=E;3=SE;4=C])+(0.003xCR)- (0.365xBW)+(0.368xFM)+(0.296xMM)+(4.034xBMD) Conclusion. The first developed model could predict the percentage of weight loss in the following way: if the discriminant score is close to 1.051, the range of weight loss will be from 7.44 to -4.64% and if it is close to - 1.003, the range will be from -11.03 to -25,00% of the initial body weight. With the second model if the discriminant score is close to 0.623 the body weight loss will be above -7.93% and if it is close to -0.595 will be below - 7.93% of the initial body weight. References. 1. Brochu M, et al. Resistance training does not contribute to improving the metabolic profile after a 6-month weight loss program in overweight and obese postmenopausal women. J Clin Endocrinol Metab. 2009 Sep;94(9):3226-33. 2. Del Corral P, et al. Effect of dietary adherence with or without exercise on weight loss: a mechanistic approach to a global problem. J Clin Endocrinol Metab. 2009 May;94(5):1602-7. 3. Larson-Meyer DE, et al. Caloric Restriction with or without Exercise: The Fitness vs. Fatness Debate. Med Sci Sports Exerc. 2010;42(1):152-9. 4. Hagan RD, et al. The effects of aerobic conditioning and/or caloric restriction in overweight men and women. Medicine & Science in Sports & Exercise. 1986;18(1):87-94. 5. Teixeira PJ, et al. Mediators of weight loss and weight loss maintenance in middle-aged women. Obesity (Silver Spring). 2010 Apr;18(4):725-35. 6. Bautista-Castano I, et al. Variables predictive of adherence to diet and physical activity recommendations in the treatment of obesity and overweight, in a group of Spanish subjects. Int J Obes Relat Metab Disord. 2004 May;28(5):697-705.

On nonlinearity in neural encoding models applied to the primary visual cortex

Within the regression framework, we show how different levels of nonlinearity influence the instantaneous firing rate prediction of single neurons. Nonlinearity can be achieved in several ways. In particular, we can enrich the predictor set with basis expansions of the input variables (enlarging the number of inputs) or train a simple but different model for each area of the data domain. Spline-based models are popular within the first category. Kernel smoothing methods fall into the second category. Whereas the first choice is useful for globally characterizing complex functions, the second is very handy for temporal data and is able to include inner-state subject variations. Also, interactions among stimuli are considered. We compare state-of-the-art firing rate prediction methods with some more sophisticated spline-based nonlinear methods: multivariate adaptive regression splines and sparse additive models. We also study the impact of kernel smoothing. Finally, we explore the combination of various local models in an incremental learning procedure. Our goal is to demonstrate that appropriate nonlinearity treatment can greatly improve the results. We test our hypothesis on both synthetic data and real neuronal recordings in cat primary visual cortex, giving a plausible explanation of the results from a biological perspective.

Identifying wind power ramp causes from multivariate datasets: a methodological proposal and its application to reanalysis data.

Forecasting abrupt variations in wind power generation (the so-called ramps) helps achieve large scale wind power integration. One of the main issues to be confronted when addressing wind power ramp forecasting is the way in which relevant information is identified from large datasets to optimally feed forecasting models. To this end, an innovative methodology oriented to systematically relate multivariate datasets to ramp events is presented. The methodology comprises two stages: the identification of relevant features in the data and the assessment of the dependence between these features and ramp occurrence. As a test case, the proposed methodology was employed to explore the relationships between atmospheric dynamics at the global/synoptic scales and ramp events experienced in two wind farms located in Spain. The achieved results suggested different connection degrees between these atmospheric scales and ramp occurrence. For one of the wind farms, it was found that ramp events could be partly explained from regional circulations and zonal pressure gradients. To perform a comprehensive analysis of ramp underlying causes, the proposed methodology could be applied to datasets related to other stages of the wind-topower conversion chain.