Efficient computation algorithm for calculating load contributions to line flows and losses

In a deregulated power system, it is usually required to determine the shares of each load and generation in line flows, to permit fair allocation of transmission costs between the interested parties. The paper presents a new method of determining the contributions of each load to line flows and losses. The method is based on power-flow topology and has the advantage of being the least computationally demanding of similar methods.

A method for determining generators’ shares in loads, line flows and losses

This paper presents a new method for calculating the individual generators’ shares in line flows, line losses and loads. The method is described and illustrated on active power flows, but it can be applied in the same way to reactive power flows. Starting from a power flow solution, the line flow matrix is formed. This matrix is used for identifying node types, tracing the power flow from generators downstream to loads, and to determine generators’ participation factors to lines and loads. Neither exhaustive search nor matrix inversion is required. Hence, the method is claimed to be the least computationally demanding amongst all of the similar methods.

International order flows: Explaining equity and exchange rate returns

Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The proportion of daily returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, we model equity price and exchange rate behavior based on a concept from microstructure – order flow. The international order flows are derived from belief changes of different investor groups in a two-country setting. We obtain a structural relationship between equity returns, exchange rate returns and their relationship to home and foreign equity market order flow. To test the model we construct daily aggregate order flow data from 800 million equity trades in the U.S. and France from 1999 to 2003. Almost 60% of the daily returns in the S&P100 index are explained jointly by exchange rate returns and aggregate order flows in both markets. As predicted by the model, daily exchange rate returns and order flow into the French market have significant incremental explanatory power for the daily S&P returns. The model implications are also validated for intraday returns.

Determining generators' contribution to loads and line flows & losses considering loop flows

This paper presents a new method for calculating the individual generators' shares in line flows, line losses and loads. The method is described and illustrated on active power flows, but it can be applied in the same way to reactive power flows.

Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.