Modeling electricity price events as point processes

Energy prices are highly volatile and often feature unexpected spikes. It is the aim of this paper to examine whether the occurrence of these extreme price events displays any regularities that can be captured using an econometric model. Here we treat these price events as point processes and apply Hawkes and Poisson autoregressive models to model the dynamics in the intensity of this process.We use load and meteorological information to model the time variation in the intensity of the process. The models are applied to data from the Australian wholesale electricity market, and a forecasting exercise illustrates both the usefulness of these models and their limitations when attempting to forecast the occurrence of extreme price events.

A closed-form approximation for pricing temperature-based weather derivatives

This paper develops analytical distributions of temperature indices on which temperature derivatives are written. If the deviations of daily temperatures from their expected values are modelled as an Ornstein-Uhlenbeck process with timevarying variance, then the distributions of the temperature index on which the derivative is written is the sum of truncated, correlated Gaussian deviates. The key result of this paper is to provide an analytical approximation to the distribution of this sum, thus allowing the accurate computation of payoffs without the need for any simulation. A data set comprising average daily temperature spanning over a hundred years for four Australian cities is used to demonstrate the efficacy of this approach for estimating the payoffs to temperature derivatives. It is demonstrated that expected payoffs computed directly from historical records are a particularly poor approach to the problem when there are trends in underlying average daily temperature. It is shown that the proposed analytical approach is superior to historical pricing.

Paper, prices and politics : an evaluation of the Swedish support to the Bai Bang project in Vietnam : a Sida evaluation report

Sweden’s protest against the Vietnam War was given tangible form in 1969 through the decision to give economic aid to the Government of North Vietnam. The main outcome was an integrated pulp and paper mill in the Vinh Phu Province north-west of Hanoi. Known as Bai Bang after its location, the mill became the most costly, one of the longest lasting and the most controversial project in the history of Swedish development cooperation. In 1996 Bai Bang produced at its full capacity. Today the mill is exclusively managed and staffed by the Vietnamese and there are plans for future expansion. At the same time a substantial amount of money has been spent to reach these achievements. Looking back at the cumbersome history of the project the results are against many’s expectations. To learn more about the conditions for sustainable development Sida commissioned two studies of the Bai Bang project. Together they touch upon several important issues in development cooperation over a period of almost 30 years: the change of aid paradigms over time, the role of foreign policy in development cooperation, cultural obstacles, recipient responsibility versus donor led development etc. The two studies were commissioned by Sida’s Department for Evaluation and Internal Audit which is an independent department reporting directly to Sida’s Board of Directors. One study assesses the financial and economic viability of the pulp and paper mill and the broader development impact of the project in Vietnam. It has been carried out by the Centre for International Economics, an Australian private economic research agency. The other study analyses the decision-making processes that created and shaped the project over a period of two decades, and reflects on lessons from the project for development cooperation in general. This study has been carried out by the Chr. Michelsen Institute, a Norweigan independent research institution.

A successful strategy for supporting low socioeconomic and accelerated students studying Biosciences in their first year of study

At our regional University low socioeconomic status (SES) campus, enrolled nurses can enter into the second year of a Bachelor of Nursing. These students, hence, have their first year experience while entering directly into the degree’s second year. A third of these students withdrew from our Bioscience units, and left the University. In an attempt to improve student retention and success, we introduced a strategy involving (i) review lectures in each of the Bioscience disciplines, and subsequently, (ii) “Getting started”, a formative website activity of basic Bioscience concepts, (iii) an ‘O’-week workshop addressing study skills and online resources, and (iv) online tutor support. In addition to being well received, the introduction of the review lectures and full intervention was associated with a significant reduction in student attrition. This successful approach could be used in other low SES areas with accelerated programs for Nursing and may have application beyond this discipline.

A Strategy for supporting students given Advanced Standing into Nursing

A strategy for supporting students, given Advanced Standing into the second year of a Nursing degree in bioscience and pharmacology, is being rolled out at QUT.

Continuing success of a strategy to support accelerated nursing students at two diverse campuses

A strategy initiated in 2010 to support and improve the retention rate of diverse cohorts of accelerated nursing students at two QUT campuses continued to be successful in 2012. An additional procedure involving the formation of learning communities was trialled in 2012 to address the social dimension of learning and assist in enhancing the quality of accelerated nurse’s first year university experience. A supported formative assessment activity was planned to allow the students to collaborate in learning communities.

Surviving Bioscience and Pharmacology – an eBook for accelerated students in Nursing

An eBook to support accelerated nursing students is being developed at QUT. The first component of this is a formative activity comprising key bioscience and pharmacology concepts and self-help quizzes. This initiative has been reviewed favourably by the students. The eBook will also cover requisite academic skills and revision bioscience material.

A simplified approach for calculating the moments of action for linear reaction-diffusion equations

The mean action time is the mean of a probability density function that can be interpreted as a critical time, which is a finite estimate of the time taken for the transient solution of a reaction-diffusion equation to effectively reach steady state. For high-variance distributions, the mean action time under-approximates the critical time since it neglects to account for the spread about the mean. We can improve our estimate of the critical time by calculating the higher moments of the probability density function, called the moments of action, which provide additional information regarding the spread about the mean. Existing methods for calculating the nth moment of action require the solution of n nonhomogeneous boundary value problems which can be difficult and tedious to solve exactly. Here we present a simplified approach using Laplace transforms which allows us to calculate the nth moment of action without solving this family of boundary value problems and also without solving for the transient solution of the underlying reaction-diffusion problem. We demonstrate the generality of our method by calculating exact expressions for the moments of action for three problems from the biophysics literature. While the first problem we consider can be solved using existing methods, the second problem, which is readily solved using our approach, is intractable using previous techniques. The third problem illustrates how the Laplace transform approach can be used to study coupled linear reaction-diffusion equations.

Osteogenic differentiation of bone marrow MSCs by β-tricalcium phosphate stimulating macrophages via BMP2 signalling pathway

Immune reactions play important roles in determining the in vivo fate of bone substitute materials, either in new bone formation or inflammatory fibrous tissue encapsulation. The paradigm for the development of bone substitute materials has been shifted from inert to immunomodulatory materials, emphasizing the importance of immune cells in the material evaluation. Macrophages, the major effector cells in the immune reaction to implants, are indispensable for osteogenesis and their heterogeneity and plasticity render macrophages a primer target for immune system modulation. However, there are very few reports about the effects of macrophages on biomaterial-regulated osteogenesis. In this study, we used b-tricalcium phosphate (b-TCP) as a model biomaterial to investigate the role of macrophages on the material stimulated osteogenesis. The macrophage phenotype switched to M2 extreme in response to b-TCP extracts, which was related to the activation of calcium-sensing receptor (CaSR) pathway. Bone morphogenetic protein 2 (BMP2) was also significantly upregulated by the b-TCP stimulation, indicating that macrophage may participate in the b-TCP stimulated osteogenesis. Interestingly, when macrophageconditioned b-TCP extracts were applied to bone marrow mesenchymal stem cells (BMSCs), the osteogenic differentiation of BMSCs was significantly enhanced, indicating the important role of macrophages in biomaterial-induced osteogenesis. These findings provided valuable insights into the mechanism of material-stimulated osteogenesis, and a strategy to optimize the evaluation system for the in vitro osteogenesis capacity of bone substitute materials.

AFM study of morphological changes associated with electrochemical solid--solid transformation of three-dimensional crystals of TCNQ to metal derivatives (metal= Cu, Co, Ni; TCNQ= tetracyanoquinodimethane)

In situ atomic force microscopy (AFM) allows images from the upper face and sides of TCNQ crystals to be monitored during the course of the electrochemical solid–solid state conversion of 50 × 50 μm2 three-dimensional drop cast crystals of TCNQ to CuTCNQ or M[TCNQ]2(H2O)2 (M = Co, Ni). Ex situ images obtained by scanning electron microscopy (SEM) also allow the bottom face of the TCNQ crystals, in contact with the indium tin oxide or gold electrode surface and aqueous metal electrolyte solution, to be examined. Results show that by carefully controlling the reaction conditions, nearly mono-dispersed, rod-like phase I CuTCNQ or M[TCNQ]2(H2O)2 can be achieved on all faces. However, CuTCNQ has two different phases, and the transformation of rod-like phase 1 to rhombic-like phase 2 achieved under conditions of cyclic voltammetry was monitored in situ by AFM. The similarity of in situ AFM results with ex situ SEM studies accomplished previously implies that the morphology of the samples remains unchanged when the solvent environment is removed. In the process of crystal transformation, the triple phase solid∣electrode∣electrolyte junction is confirmed to be the initial nucleation site. Raman spectra and AFM images suggest that 100% interconversion is not always achieved, even after extended electrolysis of large 50 × 50 μm2 TCNQ crystals.

The formation of gold nanoparticles using hydroquinone as a reducing agent through a localized pH change upon addition of NaOH to a solution of HAuCl4

We demonstrate a rapid synthesis of gold nanoparticles using hydroquinone as a reducing agent under acidic conditions without the need for precursor seed particles. The nanoparticle formation process is facilitated by the addition of NaOH to a solution containing HAuCl4 and hydroquinone to locally change the pH; this enhances the reducing capability of hydroquinone to form gold nucleation centres, after which further growth of gold can take place through an autocatalytic mechanism. The stability of the nanoparticles is highly dependent on the initial solution pH, and both the concentration of added NaOH and hydroquinone present in solution. The gold nanoparticles were characterized by UV–visible spectroscopy, transmission electron microscopy, Fourier transform infrared spectroscopy, atomic force microscopy, dynamic light scattering, and zeta potential measurements. It was found that under optimal conditions that stable aqueous suspensions of 20 nm diameter nanoparticles can be achieved where benzoquinone, the oxidized product of hydroquinone, acts as a capping agent preventing nanoparticles aggregation.

Study of the initial stage of solid electrolyte interphase formation upon chemical reaction of lithium metal and N-Methyl-N-Propyl-Pyrrolidinium-Bis (Fluorosulfonyl) Imide

Chemical reaction studies of N-methyl-N-propyl-pyrrolidinium-bis(fluorosulfonyl)imide-based ionic liquid with the lithium metal surface were performed using ab initio molecular dynamics (aMD) simulations and X-ray Photoelectron Spectroscopy (XPS). The molecular dynamics simulations showed rapid and spontaneous decomposition of the ionic liquid anion, with subsequent formation of long-lived species such as lithium fluoride. The simulations also revealed the cation to retain its structure by generally moving away from the lithium surface. The XPS experiments showed evidence of decomposition of the anion, consistent with the aMD simulations and also of cation decomposition and it is envisaged that this is due to the longer time scale for the XPS experiment compared to the time scale of the aMD simulation. Overall experimental results confirm the majority of species suggested by the simulation. The rapid chemical decomposition of the ionic liquid was shown to form a solid electrolyte interphase composed of the breakdown products of the ionic liquid components in the absence of an applied voltage.

Volatility timing : how best to forecast portfolio exposures

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of forming portfolios from forecasts of the covariance matrix, and a novel method, where a time series of optimal portfolio weights are constructed from observed realized volatility and directly forecast. The approach proposed here of directly forecasting portfolio weights shows a great deal of merit. Resulting portfolios are of equivalent economic benefit to a number of competing approaches and are more stable across time. These findings have obvious implications for the manner in which volatility timing is undertaken in a portfolio allocation context.

Predicting invasion in grassland ecosystems: is exotic dominance the real embarrassment of richness?

Invasions have increased the size of regional species pools, but are typically assumed to reduce native diversity. However, global-scale tests of this assumption have been elusive because of the focus on exotic species richness, rather than relative abundance. This is problematic because low invader richness can indicate invasion resistance by the native community or, alternatively, dominance by a single exotic species. Here, we used a globally replicated study to quantify relationships between exotic richness and abundance in grass-dominated ecosystems in 13 countries on six continents, ranging from salt marshes to alpine tundra. We tested effects of human land use, native community diversity, herbivore pressure, and nutrient limitation on exotic plant dominance. Despite its widespread use, exotic richness was a poor proxy for exotic dominance at low exotic richness, because sites that contained few exotic species ranged from relatively pristine (low exotic richness and cover) to almost completely exotic-dominated ones (low exotic richness but high exotic cover). Both exotic cover and richness were predicted by native plant diversity (native grass richness) and land use (distance to cultivation). Although climate was important for predicting both exotic cover and richness, climatic factors predicting cover (precipitation variability) differed from those predicting richness (maximum temperature and mean temperature in the wettest quarter). Herbivory and nutrient limitation did not predict exotic richness or cover. Exotic dominance was greatest in areas with low native grass richness at the site- or regional-scale. Although this could reflect native grass displacement, a lack of biotic resistance is a more likely explanation, given that grasses comprise the most aggressive invaders. These findings underscore the need to move beyond richness as a surrogate for the extent of invasion, because this metric confounds monodominance with invasion resistance. Monitoring species' relative abundance will more rapidly advance our understanding of invasions.

An evaluation of tumor oxygenation and gene expression in patients with early stage non-small cell lung cancers

Background: To directly assess tumor oxygenation in resectable non - small cell lung cancers (NSCLC) and to correlate tumor pO2 and the selected gene and protein expression to treatment outcomes. Methods: Twenty patients with resectable NSCLC were enrolled. Intraoperative measurements of normal lung and tumor pO2 were done with the Eppendorf polarographic electrode. All patients had plasma osteopontin measurements by ELISA. Carbonic anhydrase-IX (CA IX) staining of tumor sections was done in the majority of patients (n = 16), as was gene expression profiling (n = 12) using cDNA microarrays. Tumor pO2 was correlated with CA IX staining, osteopontin levels, and treatment outcomes. Results: The median tumor pO2 ranged from 0.7 to 46 mm Hg (median, 16.6) and was lower than normal lung pO2 in all but one patient. Because both variables were affected by the completeness of lung deflation during measurement, we used the ratio of tumor/normal lung (T/L) pO2 as a reflection of tumor oxygenation. The median T/L pO 2 was 0.13. T/L pO2 correlated significantly with plasma osteopontin levels (r = 0.53, P = 0.02) and CA IX expression (P = 0.006). Gene expression profiling showed that high CD44 expression was a predictor for relapse, which was confirmed by tissue staining of CD44 variant 6 protein. Other variables associated with the risk of relapse were T stage (P = 0.02), T/L pO2 (P = 0.04), and osteopontin levels (P = 0.001). Conclusions: Tumor hypoxia exists in resectable NSCLC and is associated with elevated expression of osteopontin and CA IX. Tumor hypoxia and elevated osteopontin levels and CD44 expression correlated with poor prognosis. A larger study is needed to confirm the prognostic significance of these factors. © 2006 American Association for Cancer Research.