Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

The clinical value compass: Achieving benchmarking and quality improvement in aged care

Quality measurement and benchmarking in aged cave presents several challenges. A model which addresses this by linking four dimensions of outcomes has been developed - the Clinical Value Compass (CVC). A CVC was developed for stroke rehabilitation and measured across four sites. The CVC teas well accepted by the treatment teams and proved practical to measure. The results revealed differences in practices and client groups that led to a closer analysis of process and subsequent changes in these processes. Remeasuring of the CVC is required to demonstrate improved outcomes arising from these process changes.

Phenotypic and genetic analyses of a short measure of psychosis-proneness in a large-scale Australian twin study

Previous genetic analyses of psychosis proneness have been limited by their small sample size. For the purposes of large-scale screening, a 12-item questionnaire was developed through a two-stage process of reduction from the full Chapman and Chapman scales. 3685 individuals (including 1438 complete twin pairs) aged 18–25 years and enrolled in the volunteer Australian Twin Registry returned a mail questionnaire which included this psychosis proneness scale and the Eysenck Personality Questionnaire. Despite the brevity of the questionnaire, item and factor analysis identified four unambiguous and essentially uncorrelated scales. There were (1) Perceptual Aberration – Magical Ideation; (2) Hypomania – Impulsivity/Nonconformity; (3) Social Anhedonia and (4) Physical Anhedonia. Model-fitting analyses showed additive genetic and specific environmental factors were sufficient for three of the four scales, with the Social Anhedonia scale requiring also a parameter for genetic dominance. There was no evidence for the previously hypothesised sex differences in the genetic determination of psychosis-proneness. The potential value of multivariate genetic analysis to examine the relationship between these four scales and dimensions of personality is discussed. The growing body of longitudinal evidence on psychosis-proneness suggests the value of incorporating this brief measure into developmental twin studies.

Valuing of firm's prior knowledge: A measure of knowledge distance

Knowledge, especially scientific and technological knowledge, grows according to knowledge trajectories and guideposts that make up the prior knowledge of an organization. We argue that these knowledge structures and their specific components lead to successful innovation. A firm's prior knowledge facilitates the absorption of new knowledge, thereby renewing a firm's systematic search, transfer and acquisition of knowledge and capabilities. In particular, the exponential growth in biotechnology is characterized by the convergence of disparate scientific and technological knowledge resources. This paper examines the shift from protein-based to DNA-based diagnostic technologies as an example, to quantify the value of a firm's prior knowledge using relative values of knowledge distance. The distance between core prior knowledge and the rate of transition from one knowledge system to another has been identified as a proxy for the value a firm's prior knowledge. The overall difficulty of transition from one technology paradigm to another is discussed. We argue this transition is possible when the knowledge distance is minimal and the transition process has a correspondingly high value of absorptive capacities. Our findings show knowledge distance is a determinant of the feasibility, continuity and capture of scientific and technological knowledge. Copyright © 2003 John Wiley & Sons, Ltd.

WHOQOL-BREF as a measure of quality of life in older patients with depression

Objective: To assess the reliability and validity of a brief measure of quality of life recently developed by the World Health Organization, the WHOQOL-BREF, and to examine its association with a variety of clinical and sociodemographic factors in older depressed patients. Design: Cross-sectional study. Methods: Older depressed patients (N=41) underwent diagnostic assessment using the Composite International Diagnostic Interview (CIDI) and were independently assessed on a variety of measures including the WHOQOL-BREF (a 26-item self-report questionnaire generating four domain scores), Hamilton Depression Rating Scale (HAM-D); Geriatric Depression Scale (GDS); Mini-mental State Examination (MMSE); Modified Barthel Index (MBI); Instrumental activities of daily living (IADL), and measures of physical health status and social relationships. Estimates of inter-rater and test-retest reliability, and concurrent validity were made. Results: 39 subjects completed the study. The majority of subjects (94.9%) received a diagnosis of DSM-IV Major Depressive Disorder. Levels of comorbidity were high. Three of the four domains of the WHOQOL-BREF (Physical, Psychological and Environment domains) demonstrated satisfactory reliability and validity. However, the Social Relationships domain exhibited poor validity. Quality of life scores were strongly correlated with severity of depression, number of self-reported physical symptoms and self-assessed general health status. There was no relationship between diagnostic comorbidity and quality of life scores. Conclusions: The WHOQOL-BREF was successfully administered to older depressed patients although the concurrent validity of one of its four domains was poor. Quality of life scores were strongly correlated with severity of depression, raising the issue of measurement redundancy.

A composite DOP approach to excluding bottom reflectance in mapping water parameters of shallow coastal zones from TM imagery

In this paper we proposed a composite depth of penetration (DOP) approach to excluding bottom reflectance in mapping water quality parameters from Landsat thematic mapper (TM) data in the shallow coastal zone of Moreton Bay, Queensland, Australia. Three DOPs were calculated from TM1, TM2 and TM3, in conjunction with bathymetric data, at an accuracy ranging from +/-5% to +/-23%. These depths were used to segment the image into four DOP zones. Sixteen in situ water samples were collected concurrently with the recording of the satellite image. These samples were used to establish regression models for total suspended sediment (TSS) concentration and Secchi depth with respect to a particular DOP zone. Containing identical bands and their transformations for both parameters, the models are linear for TSS concentration, logarithmic for Secchi depth. Based on these models, TSS concentration and Secchi depth were mapped from the satellite image in respective DOP zones. Their mapped patterns are consistent with the in situ observed ones. Spatially, overestimation and underestimation of the parameters are restricted to localised areas but related to the absolute value of the parameters. The mapping was accomplished more accurately using multiple DOP zones than using a single zone in shallower areas. The composite DOP approach enables the mapping to be extended to areas as shallow as <3 m. (C) 2004 Elsevier Inc. All rights reserved.

On the existence of solutions to boundary value problems on time scales

This work formulates existence theorems for solutions to two-point boundary value problems on time scales. The methods used include maximum principles, a priori bounds and topological degree theory.

Composite auction method for suppressing unreasonable electricity price spikes in a competitive electricity market

The existence of undesirable electricity price spikes in a competitive electricity market requires an efficient auction mechanism. However, many of the existing auction mechanism have difficulties in suppressing such unreasonable price spikes effectively. A new auction mechanism is proposed to suppress effectively unreasonable price spikes in a competitive electricity market. It optimally combines system marginal price auction and pay as bid auction mechanisms. A threshold value is determined to activate the switching between the marginal price auction and the proposed composite auction. Basically when the system marginal price is higher than the threshold value, the composite auction for high price electricity market is activated. The winning electricity sellers will sell their electricity at the system marginal price or their own bid prices, depending on their rights of being paid at the system marginal price and their offers' impact on suppressing undesirable price spikes. Such economic stimuli discourage sellers from practising economic and physical withholdings. Multiple price caps are proposed to regulate strong market power. We also compare other auction mechanisms to highlight the characteristics of the proposed one. Numerical simulation using the proposed auction mechanism is given to illustrate the procedure of this new auction mechanism.

Relative predictive value of intraventricular dysynchrony in determining long-term outcome in patients with known or suspected coronary disease

Improvement of intra-ventricular dysynchrony (IVD) in pts undergoing bi-ventricular pacing is associated with clinical improvementbut little isknownabout the relationship between IVD and prognosis.We sought whether IVD influences long-term outcome in pts with known or suspected coronary disease (CAD). Tissue Doppler imaging was performed in 184 pts (aged 61±10 years, 67% male) prior to dobutamine echo. From velocity curves the interval between QRS onset and max systolic velocity (Ts) was measured in basal septal, lateral, inferior and anterior segments. The maximal difference in Ts between segments (TsMax) was used as a measure of IVD. The standard deviation (TsSD) between all segments and the septal-lateral difference (TsSL) were also calculated. Pts were followed up for a median interval of 5 years and a Cox model used for survival analysis. The medianwall motion index (WMI) was 1.3 (IQR 1.0–1.8) at rest and 1.4 (IQR 1.3–1.9) at stress. The table shows IVD parameters. Forty-one deaths occurred during follow-up. Pts who died during follow-up, compared to survivors, showed greater IVD. WMI at rest (p = 0.03) and peak stress (p = 0.02), TsSD (p = 0.06), TsSL (p = 0.02) and TsMax (p = 0.05) but not QRS width were univariate predictors of mortality. TsSL was the only independent predictor of death (p = 0.01). Therefore, IVD is common in pts with known or suspected CAD. Pts with more IVD have reduced long-term survival, independent of WMI.

Linking Agentive Objects in Mandarin Chinese

This paper is concerned with the problem of argument-function mismatch observed in the apparent subject-object inversion in Chinese consumption verbs, e.g., chi 'eat' and he 'drink', and accommodation verbs, e.g., zhu 'live' and shui 'sleep'. These verbs seem to allow the linking of [agent-SUBJ theme-OBJ] as well as [agent-OBJ theme-SUBJ], but only when the agent is also the semantic role denoting the measure or extent of the action. The account offered is formulated within LFG's lexical mapping theory. Under the simplest and also the strictest interpretation of the one-to-one argument-function mapping principle (or the theta-criterion), a composite role such as ag-ext receives syntactic assignment via one composing role only. One-to-one linking thus entails the suppression of the other composing role. Apparent subject-object inversion occurs when the more prominent agent role is suppressed and thus allows the less prominent extent role to dictate the linking of the entire ag-ext composite role. This LMT account also potentially facilitates a natural explanation of markedness among the competing syntactic structures.

A matching pursuit-based signal complexity measure for the analysis of newborn EEG

This paper presents a new relative measure of signal complexity, referred to here as relative structural complexity, which is based on the matching pursuit (MP) decomposition. By relative, we refer to the fact that this new measure is highly dependent on the decomposition dictionary used by MP. The structural part of the definition points to the fact that this new measure is related to the structure, or composition, of the signal under analysis. After a formal definition, the proposed relative structural complexity measure is used in the analysis of newborn EEG. To do this, firstly, a time-frequency (TF) decomposition dictionary is specifically designed to compactly represent the newborn EEG seizure state using MP. We then show, through the analysis of synthetic and real newborn EEG data, that the relative structural complexity measure can indicate changes in EEG structure as it transitions between the two EEG states; namely seizure and background (non-seizure).

Comparison of surveys used to measure physical activity

Objective: To compare the level of agreement in results obtained from four physical activity (PA) measurement instruments that are in use in Australia and around the world. Methods: 1,280 randomly selected participants answered two sets of PA questions by telephone. 428 answered the Active Australia (AA) and National Health Surveys, 427 answered the AA and CDC Behavioural Risk Factor Surveillance System surveys (BRFSS), and 425 answered the AA survey and the short International Physical Activity Questionnaire (IPAQ). Results: Among the three pairs of survey items, the difference in mean total PA time was lowest when the AA and NHS items were asked (difference=24) (SE:17) minutes, compared with 144 (SE:21) mins for AA/BRFSS and 406 (SE:27) mins for AA/IPAQ). Correspondingly, prevalence estimates for 'sufficiently active' were similar for AA and NHS (56% and 55% respectively), but about 10% higher when BRFSS data were used, and about 26% higher when the IPAQ items were used, compared with estimates from the AA survey. Conclusions: The findings clearly demonstrate that there are large differences in reported PA times and hence in prevalence estimates of 'sufficient activity' from these four measures. Implications: It is important to consistently use the same survey for population monitoring purposes. As the AA survey has now been used three times in national surveys, its continued use for population surveys is recommended so that trend data ever a longer period of time can be established.

The effects of Australian tall poppy attitudes on American value based leadership theory

A survey study of twenty-two Australian CEOs and their subordinates assessed relationships between Australian leader motives, Australian value based leader behaviour, subordinate tall poppy attitudes and subordinate commitment, effectiveness, motivation and satisfaction (CEMS). On the whole, the results showed general support for value based leadership processes. Subsequent regression analyses of the second main component of Value Based Leadership Theory, value based leader behaviour, revealed that the collectivistic, inspirational, integrity and visionary behaviour sub-scales of the construct were positively related with subordinate CEMS. Although the hypothesis that subordinate tall poppy attitudes would moderate value based leadership processes was not clearly supported, subsequent regression analyses found that subordinate tall poppy attitudes were negatively related with perceptions of value based leader behaviour and CEMS. These findings suggest complex relationships between the three constructs, and the proposed model for the Australian context is accordingly amended. Overall, the research supports the need to consider cultural-specific attitudes in management development.

Existence of Multiple Solutions for Second Order Boundary Value Problems

We give conditions on f involving pairs of lower and upper solutions which lead to the existence of at least three solutions of the two point boundary value problem y" + f(x, y, y') = 0, x epsilon [0, 1], y(0) = 0 = y(1). In the special case f(x, y, y') = f(y) greater than or equal to 0 we give growth conditions on f and apply our general result to show the existence of three positive solutions. We give an example showing this latter result is sharp. Our results extend those of Avery and of Lakshmikantham et al.

An improved novel method for solving nonlinear boundary value problems

A modified formula for the integral transform of a nonlinear function is proposed for a class of nonlinear boundary value problems. The technique presented in this paper results in analytical solutions. Iterations and initial guess, which are needed in other techniques, are not required in this novel technique. The analytical solutions are found to agree surprisingly well with the numerically exact solutions for two examples of power law reaction and Langmuir-Hinshelwood reaction in a catalyst pellet.