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.

Using a non-invasive stable isotope tracer to measure the absorption of water in humans

The development of solutions that prevent dehydration or promote adequate re-hydration play a vital role in preventing fatigue during exercise, however, the methods commonly used to assess the hydration ability of such solutions are invasive and often assess the components of absorption separately. This paper describes using a non-invasive deuterium tracer technique that assesses gastric emptying and intestinal absorption simultaneously to evaluate the uptake of water during rest and exercise. The kinetics of absorption are further examined by mathematical modelling of the data generated. For the rest group, 0.05 g/kg of body weight of deuterium, contained in gelatine capsules, was ingested with ordinary tap water and saliva samples were collected every 5 min for one hour while the subject remained seated. The deuterium was administered as above for the exercise group but sample collection was during one hour of exercise on a treadmill at 55% of the subject's maximum heart rate. The enrichment data for each subject were mathematically modelled and the parameters obtained were compared across groups using an independent samples t-test. Compared with the rest condition, the exercise group showed delayed absorption of water as indicated by significant differences for the modelling parameters t(2), t(1/2), maximum absorption rate and solution absorption amount at t(1). Labelling with a deuterium tracer is a good measure of the relative rate ingested fluids are absorbed by the body. Mathematical modelling of the data generates rates of maximum absorption and allows calculation of the percentage of the solution that is absorbed at any given time during the testing period. Copyright (C) 2004 John Wiley Sons, Ltd.

Use of real-time three-dimensional echocardiography to measure left atrial volume: Comparison with other echocardiographic techniques

Objectives: Left atrial (LA) volume (LAV) is a prognostically important biomarker for diastolic dysfunction, but its reproducibility on repeated testing is not well defined. LA assessment with 3-dimensional. (3D) echocardiography (3DE) has been validated against magnetic resonance imaging, and we sought to assess whether this was superior to existing measurements for sequential echocardiographic follow-up. Methods: Patients (n = 100; 81 men; age 56 +/- 14 years) presenting for LA evaluation were studied with M-mode (MM) echocardiography, 2-dimensional (2D) echocardiography, and 3DE. Test-retest variation was performed by a complete restudy by a separate sonographer within 1 hour without alteration of hemodynamics or therapy. In all, 20 patients were studied for interobserver and intraobserver variation. LAVs were calculated by using M-mode diameter and planimetered atrial area in the apical. 4-chamber view to calculate an assumed sphere, as were prolate ellipsoid, Simpson's biplane, and biplane area-length methods. All were compared with 3DE. Results: The average LAV was 72 +/- 27 mL by 3DE. There was significant underestimation of LAV by M-mode (35 +/- 20 mL, r = 0.66, P < .01). The 3DE and various 2D echocardiographic techniques were well correlated: LA planimetry (85 +/- 38 mL, r = 0.77, P < .01), prolate ellipsoid (73 +/- 36 mL, r = 0.73, P = .04), area-length (64 +/- 30 mL, r = 0.74, P < .01), and Simpson's biplane (69 +/- 31 mL, r = 0.78, P = .06). Test-retest variation for 3DE was most favorable (r = 0.98, P < .01), with the prolate ellipsoid method showing most variation. Interobserver agreement between measurements was best for 3DE (r = 0.99, P < .01), with M-mode the worst (r = 0.89, P < .01). Intraobserver results were similar to interobserver, the best correlation for 3DE (r = 0.99, P < .01), with LA planimetry the worst (r = 0.91, P < .01). Conclusions. The 2D measurements correlate closely with 3DE. Follow-up assessment in daily practice appears feasible and reliable with both 2D and 3D approaches.

Microsensors technology used to measure productivity and other biochemical processes in the upper regions of aquatic sediments

Carbonate sediments are dynamic three-dimensional environments where the surface layers are constantly moving and mixing due to the energy of the water column. It is also an environment of dynamic biological, chemical and physical interaction and modification. The biological community can actively influence changes to sediment characteristics and associated biochemistry. Bioturbation resulting from macrofaunal activity disrupts sediment structure and biochemical arrangements and reduces the critical shear forces required to move sediment particles, adding to the dynamic and complex physical and biogeochemical nature of the sediment. Laboratory studies using both planner optodes and glass needle microsensors were used to measure abiotic sediment characteristics such as the depth distribution and concentrations of PAR. The biochemical nature of coral reef sediment were also investigated, specifically the quantification and the distribution of dissolved oxygen within coarse and fine-grained sediments under regimes of light and darkness. Results highlighted the significant contribution microalgal productivity and bioturbation has on distribution of dissolved oxygen in the upper sediment layers. On the reef flat a shallow water lander system was employed to measure concentrations of O2, pH, S, Ca and temperature over periods of 24 to 48 hours in coarse and fine-grained sediments. Similarities between laboratory and in situ results where evident, however the in situ environment was more dynamic and the distribution and concentrations of dissolved oxygen were more complex and correlated to irradiance, temperature and biological activity. Microsensor technology provides us with the opportunity to study, at very high resolutions, the upper irradiated; photosynthetically active regions of aquatic sediments along with anoxic processes deeper in sub-euphotic regions of the sediments.