Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.

Análise crítica do consumo de energia na indústria de faiança

Com este trabalho pretende-se analisar o consumo de energia na indústria de faiança e identificar medidas de poupança energética. Em 2014, o consumo específico foi de 191 kgep/t e a intensidade carbónica 2,15 tCO2e/t, tendo havido uma redução de, respectivamente, 50,2% e 1,3%, comparativamente a 2010. O consumo total correspondeu a 1108 tep, sendo 66% relativo ao consumo de gás natural. Foi utilizado um analisador de energia eléctrica nos principais equipamentos consumidores, e na desagregação de consumos térmicos, efectuaram-se leituras no contador geral de gás natural e foram utilizados dados das auditorias ambiental e energética. O processo de cozedura é responsável por 58% do consumo térmico da instalação, seguido da pintura com 24%. A conformação é o sector com maior consumo de energia eléctrica, correspondendo a 23% do consumo total. As perdas térmicas pelos gases de exaustão dos equipamentos de combustão e pela envolvente do forno, considerando os mecanismos de convecção natural e radiação, correspondem a cerca de 6% do consumo térmico total, sendo necessário tomar medidas a nível do isolamento térmico e da redução do excesso de ar. A instalação de variadores de velocidade nos ventiladores do ar de combustão do forno poderia resultar em poupanças significativas, em particular, no consumo de gás natural – redução de 4 tep/ano e cerca de 2500€/ano– tendo um tempo de retorno do investimento inferior a 1 ano. Deverá ser, no entanto, garantida a alimentação de ar combustão a todos os queimadores, bem como, a combustão completa do gás natural. O funcionamento contínuo do forno poderia resultar no aumento da sua eficiência energética, com redução de custos de operação e manutenção, sendo necessário avaliar os custos adicionais de stock e de mão de obra. Verificou-se que as medidas relacionadas com a monitorização de consumos, eliminação de fugas de ar comprimido e a instalação de variadores de velocidade nos ventiladores do ar de combustão do forno poderiam resultar em reduções de consumo de 26 tep e de emissões de 66tCO2e, num total de quase 14 000€.

Management and Control of Water Supply Systems

The fast increase in the energy’s price has brought a growing concern about the highly expensive task of transporting water. By creating an hydraulic model of the Water Supply System’s (WSS) network and predicting its behaviour, it is possible to take advantage of the energy’s tariffs, reducing the total cost on pumping activities. This thesis was developed, in association with a technology transfer project called the E-Pumping. It focuses on finding a flexible supervision and control strategy, adaptable to any existent Water Supply System (WSS), as well as forecasting the water demand on a time period chosen by the end user, so that the pumping actions could be planned to an optimum schedule, that minimizes the total operational cost. The OPC protocol, associated to a MySQL database were used to develop a flexible tool of supervision and control, due to their adaptability to function with equipments from various manufacturers, being another integrated modular part of the E-Pumping project. Furthermore, in this thesis, through the study and performance tests of several statistical models based on time series, specifically applied to this problem, a forecasting tool adaptable to any station, and whose model parameters are automatically refreshed at runtime, was developed and added to the project as another module. Both the aforementioned modules were later integrated with an Graphical User Interface (GUI) and installed in a pilot application at the ADDP’s network. The implementation of this software on WSSs across the country will reduce the water supply companies’ running costs, improving their market competition and, ultimately, lowering the water price to the end costumer.

Wind energy resource modelling in Portugal and its future large-scale alteration due to anthropogenic induced climate changes

The high dependence of Portugal from foreign energy sources (mainly fossil fuels), together with the international commitments assumed by Portugal and the national strategy in terms of energy policy, as well as resources sustainability and climate change issues, inevitably force Portugal to invest in its energetic self-sufficiency. The 20/20/20 Strategy defined by the European Union defines that in 2020 60% of the total electricity consumption must come from renewable energy sources. Wind energy is currently a major source of electricity generation in Portugal, producing about 23% of the national total electricity consumption in 2013. The National Energy Strategy 2020 (ENE2020), which aims to ensure the national compliance of the European Strategy 20/20/20, states that about half of this 60% target will be provided by wind energy. This work aims to implement and optimise a numerical weather prediction model in the simulation and modelling of the wind energy resource in Portugal, both in offshore and onshore areas. The numerical model optimisation consisted in the determination of which initial and boundary conditions and planetary boundary layer physical parameterizations options provide wind power flux (or energy density), wind speed and direction simulations closest to in situ measured wind data. Specifically for offshore areas, it is also intended to evaluate if the numerical model, once optimised, is able to produce power flux, wind speed and direction simulations more consistent with in situ measured data than wind measurements collected by satellites. This work also aims to study and analyse possible impacts that anthropogenic climate changes may have on the future wind energetic resource in Europe. The results show that the ECMWF reanalysis ERA-Interim are those that, among all the forcing databases currently available to drive numerical weather prediction models, allow wind power flux, wind speed and direction simulations more consistent with in situ wind measurements. It was also found that the Pleim-Xiu and ACM2 planetary boundary layer parameterizations are the ones that showed the best performance in terms of wind power flux, wind speed and direction simulations. This model optimisation allowed a significant reduction of the wind power flux, wind speed and direction simulations errors and, specifically for offshore areas, wind power flux, wind speed and direction simulations more consistent with in situ wind measurements than data obtained from satellites, which is a very valuable and interesting achievement. This work also revealed that future anthropogenic climate changes can negatively impact future European wind energy resource, due to tendencies towards a reduction in future wind speeds especially by the end of the current century and under stronger radiative forcing conditions.

Extension of electrochemically active sites in SOFCs and SOECs

Solid oxide fuel (SOFCs) and electrolyzer (SOECs) cells have been promoted as promising technologies for the stabilization of fuel supply and usage in future green energy systems. SOFCs are devices that produce electricity by the oxidation of hydrogen or hydrocarbon fuels with high efficiency. Conversely, SOECs can offer the reverse reaction, where synthetic fuels can be generated by the input of renewable electricity. Due to this similar but inverse nature of SOFCs and SOECs, these devices have traditionally been constructed from comparable materials. Nonetheless, several limitations have hindered the entry of SOFCs and SOECs into the marketplace. One of the most debilitating is associated with chemical interreactions between cell components that can lead to poor longevities at high working temperatures and/or depleted electrochemcial performance. Normally such interreactions are countered by the introduction of thin, purely ionic conducting, buffer layers between the electrode and electrolyte interface. The objective of this thesis is to assess if possible improvements in electrode kinetics can also be obtained by modifying the transport properties of these buffer layers by the introduction of multivalent cations. The introduction of minor electronic conductivity in the surface of the electrolyte material has previously been shown to radically enhance the electrochemically active area for oxygen exchange, reducing polarization resistance losses. Hence, the current thesis aims to extend this knowledge to tailor a bi-functional buffer layer that can prevent chemical interreaction while also enhancing electrode kinetics.The thesis selects a typical scenario of an yttria stabilized zirconia electrolyte combined with a lanthanide containing oxygen electrode. Gadolinium, terbium and praseodymium doped cerium oxide materials have been investigated as potential buffer layers. The mixed ionic electronic conducting (MIEC) properties of the doped-cerium materials have been analyzed and collated. A detailed analysis is further presented of the impact of the buffer layers on the kinetics of the oxygen electrode in SOFC and SOEC devices. Special focus is made to assess for potential links between the transport properties of the buffer layer and subsequent electrode performance. The work also evaluates the electrochemical performance of different K2NiF4 structure cathodes deposited onto a peak performing Pr doped-cerium buffer layer, the influence of buffer layer thickness and the Pr content of the ceria buffer layer. It is shown that dramatic increases in electrode performance can be obtained by the introduction of MIEC buffer layers, where the best performances are shown to be offered by buffer layers of highest ambipolar conductivity. These buffer layers are also shown to continue to offer the bifunctional role to protect from unwanted chemical interactions at the electrode/electrolyte interface.

Microturbinas em redes de abastecimento de água

Nos dias de hoje a sociedade exige níveis qualitativos de vida cada vez mais elevados, o que torna prioritária a conceção de sistemas eficientes, não poluidores, económicos e diversificados que permitam uma gestão integrada e racionalizada de recursos tão escasso como é o da água e da energia. Em sistemas de abastecimento de água, o uso de válvulas redutoras de pressão (VRP) visa a uniformização e controlo de pressões, promovendo uma perda de carga localizada que dissipa a energia hidráulica presente através da redução dos valores de pressão a jusante. Estas são fundamentais no controlo e redução de pressão. A utilização de microturbinas é uma alternativa sustentável para o controle de pressão e, simultaneamente, para a produção de energia elétrica. Trata-se de um método de mitigação para controlar as perdas referidas convergindo no âmbito da eficiência energética. Na perspetiva de promover um aproveitamento de energia nas redes de abastecimento de água, o presente trabalho sugere a substituição de válvulas redutoras de pressão (VRP) por microturbinas. Desse modo, apresenta-se um método automático de seleção de (i) local para implementação e (ii) projeto de microturbinas para sistemas de abastecimento de água. Para a modelação do funcionamento dos sistemas hidráulicos recorre-se ao simulador hidráulico EPANET. Esta ferramenta possibilita avaliação de caudais e pressões em todos os pontos da rede durante um determinado intervalo de tempo. A metodologia desenvolvida permite selecionar o local ideal no sistema hidráulico através de uma análise de cada secção conduta-nó escolhendo-se a melhor opção baseada na produção de energia. Depois da localização procede-se à seleção do tipo de turbina (Kaplan, Francis, Pelton e Cross-flow) que vai depender das características do sistema hidráulico. Na etapa seguinte apresenta-se os resultados obtidos pela turbina nomeadamente a produção de energia elétrica anual, o investimento necessário, o tempo de retorno e a rentabilização ao final de um período de 25 anos. Na última etapa da metodologia, de forma avaliar o comportamento do sistema final, realiza-se uma nova simulação da rede mas tendo em conta a introdução da microturbina no local. Apresentam-se alguns casos de estudo que validam a ferramenta desenvolvida. A metodologia desenvolvida é comparada com um caso de estudo real. Em ambos os exemplos simulados a metodologia aplicada permite obter soluções com ganhos energéticos significativos associados ao sistema. Apenas num dos exemplos se observaram que a implementação da microturbina no sistema hidráulico não seria economicamente rentável.

Cooperative positioning for heterogeneous wireless systems

Future emerging market trends head towards positioning based services placing a new perspective on the way we obtain and exploit positioning information. On one hand, innovations in information technology and wireless communication systems enabled the development of numerous location based applications such as vehicle navigation and tracking, sensor networks applications, home automation, asset management, security and context aware location services. On the other hand, wireless networks themselves may bene t from localization information to improve the performances of di erent network layers. Location based routing, synchronization, interference cancellation are prime examples of applications where location information can be useful. Typical positioning solutions rely on measurements and exploitation of distance dependent signal metrics, such as the received signal strength, time of arrival or angle of arrival. They are cheaper and easier to implement than the dedicated positioning systems based on ngerprinting, but at the cost of accuracy. Therefore intelligent localization algorithms and signal processing techniques have to be applied to mitigate the lack of accuracy in distance estimates. Cooperation between nodes is used in cases where conventional positioning techniques do not perform well due to lack of existing infrastructure, or obstructed indoor environment. The objective is to concentrate on hybrid architecture where some nodes have points of attachment to an infrastructure, and simultaneously are interconnected via short-range ad hoc links. The availability of more capable handsets enables more innovative scenarios that take advantage of multiple radio access networks as well as peer-to-peer links for positioning. Link selection is used to optimize the tradeo between the power consumption of participating nodes and the quality of target localization. The Geometric Dilution of Precision and the Cramer-Rao Lower Bound can be used as criteria for choosing the appropriate set of anchor nodes and corresponding measurements before attempting location estimation itself. This work analyzes the existing solutions for node selection in order to improve localization performance, and proposes a novel method based on utility functions. The proposed method is then extended to mobile and heterogeneous environments. Simulations have been carried out, as well as evaluation with real measurement data. In addition, some speci c cases have been considered, such as localization in ill-conditioned scenarios and the use of negative information. The proposed approaches have shown to enhance estimation accuracy, whilst signi cantly reducing complexity, power consumption and signalling overhead.

Electromechanical properties of engineered lead free potassium sodium niobate based materials

K0.5Na0.5NbO3 (KNN), is the most promising lead free material for substituting lead zirconate titanate (PZT) which is still the market leader used for sensors and actuators. To make KNN a real competitor, it is necessary to understand and to improve its properties. This goal is pursued in the present work via different approaches aiming to study KNN intrinsic properties and then to identify appropriate strategies like doping and texturing for designing better KNN materials for an intended application. Hence, polycrystalline KNN ceramics (undoped, non-stoichiometric; NST and doped), high-quality KNN single crystals and textured KNN based ceramics were successfully synthesized and characterized in this work. Polycrystalline undoped, non-stoichiometric (NST) and Mn doped KNN ceramics were prepared by conventional ceramic processing. Structure, microstructure and electrical properties were measured. It was observed that the window for mono-phasic compositions was very narrow for both NST ceramics and Mn doped ceramics. For NST ceramics the variation of A/B ratio influenced the polarization (P-E) hysteresis loop and better piezoelectric and dielectric responses could be found for small stoichiometry deviations (A/B = 0.97). Regarding Mn doping, as compared to undoped KNN which showed leaky polarization (P-E) hysteresis loops, B-site Mn doped ceramics showed a well saturated, less-leaky hysteresis loop and a significant properties improvement. Impedance spectroscopy was used to assess the role of Mn and a relation between charge transport – defects and ferroelectric response in K0.5Na0.5NbO3 (KNN) and Mn doped KNN ceramics could be established. At room temperature the conduction in KNN which is associated with holes transport is suppressed by Mn doping. Hence Mn addition increases the resistivity of the ceramic, which proved to be very helpful for improving the saturation of the P-E loop. At high temperatures the conduction is dominated by the motion of ionized oxygen vacancies whose concentration increases with Mn doping. Single crystals of potassium sodium niobate (KNN) were grown by a modified high temperature flux method. A boron-modified flux was used to obtain the crystals at a relatively low temperature. XRD, EDS and ICP analysis proved the chemical and crystallographic quality of the crystals. The grown KNN crystals exhibit higher dielectric permittivity (29,100) at the tetragonal-to-cubic phase transition temperature, higher remnant polarization (19.4 μC/cm2) and piezoelectric coefficient (160 pC/N) when compared with the standard KNN ceramics. KNN single crystals domain structure was characterized for the first time by piezoforce response microscopy. It could be observed that <001> - oriented potassium sodium niobate (KNN) single crystals reveal a long range ordered domain pattern of parallel 180° domains with zig-zag 90° domains. From the comparison of KNN Single crystals to ceramics, It is argued that the presence in KNN single crystal (and absence in KNN ceramics) of such a long range order specific domain pattern that is its fingerprint accounts for the improved properties of single crystals. These results have broad implications for the expanded use of KNN materials, by establishing a relation between the domain patterns and the dielectric and ferroelectric response of single crystals and ceramics and by indicating ways of achieving maximised properties in KNN materials. Polarized Raman analysis of ferroelectric potassium sodium niobate (K0.5Na0.5)NbO3 (KNN) single crystals was performed. For the first time, an evidence is provided that supports the assignment of KNN single crystals structure to the monoclinic symmetry at room temperature. Intensities of A′, A″ and mixed A′+A″ phonons have been theoretically calculated and compared with the experimental data in dependence of crystal rotation, which allowed the precise determination of the Raman tensor coefficients for (non-leaking) modes in monoclinic KNN. In relation to the previous literature, this study clarifies that assigning monoclinic phase is more suitable than the orthorhombic one. In addition, this study is the basis for non-destructive assessments of domain distribution by Raman spectroscopy in KNN-based lead-free ferroelectrics with complex structures. Searching a deeper understanding of the electrical behaviour of both KNN single crystal and polycrystalline materials for the sake of designing optimized KNN materials, a comparative study at the level of charge transport and point defects was carried out by impedance spectroscopy. KNN single crystals showed lower conductivity than polycrystals from room temperature up to 200 ºC, but above this temperature polycrystalline KNN displays lower conductivity. The low temperature (T < 200 ºC) behaviour reflects the different processing conditions of both ceramics and single crystals, which account for less defects prone to charge transport in the case of single crystals. As temperature increases (T > 200 ºC) single crystals become more conductive than polycrystalline samples, in which grain boundaries act as barriers to charge transport. For even higher temperatures the conductivity difference between both is increased due to the contribution of ionic conduction in single crystals. Indeed the values of activation energy calculated to the high temperature range (T > 300 ºC) were 1.60 and 0.97 eV, confirming the charge transport due to ionic conduction and ionized oxygen vacancies in single crystals and polycrystalline KNN, respectively. It is suggested that single crystals with low defects content and improved electromechanical properties could be a better choice for room temperature applications, though at high temperatures less conductive ceramics may be the choice, depending on the targeted use. Aiming at engineering the properties of KNN polycrystals towards the performance of single crystals, the preparation and properties study of (001) – oriented (K0.5Na0.5)0.98Li0.02NbO3 (KNNL) ceramics obtained by templated grain growth (TGG) using KNN single crystals as templates was undertaken. The choice of KNN single crystals templates is related with their better properties and to their unique domain structure which were envisaged as a tool for templating better properties in KNN ceramics too. X-ray diffraction analysis revealed for the templated ceramics a monoclinic structure at room temperature and a Lotgering factor (f) of 40% which confirmed texture development. These textured ceramics exhibit a long range ordered domain pattern consisting of 90º and 180º domains, similar to the one observed in the single crystals. Enhanced dielectric (13017 at TC), ferroelectric (2Pr = 42.8 μC/cm2) and piezoelectric (d33 = 280 pC/N) properties are observed for textured KNNL ceramics as compared to the randomly oriented ones. This behaviour is suggested to be due to the long range ordered domain patterns observed in the textured ceramics. The obtained results as compared with the data previously reported on texture KNN based ceramics confirm that superior properties were found due to ordered repeated domain pattern. This study provides an useful approach towards properties improvement of KNN-based piezoelectric ceramics. Overall, the present results bring a significant contribution to the pool of knowledge on the properties of sodium potassium niobate materials: a relation between the domain patterns and di-, ferro-, and piezo-electric response of single crystals and ceramics was demonstrated and ways of engineering maximised properties in KNN materials, for example by texturing were established. This contribution is envisaged to have broad implications for the expanded use of KNN over the alternative lead-based materials.