10 resultados para volatilità implicita volatilità stocastica decomposizione semimartingala opzioni volatilità spot

em Instituto Politécnico do Porto, Portugal


Relevância:

0.00% 0.00%

Publicador:

Resumo:

In competitive electricity markets with deep concerns for the efficiency level, demand response programs gain considerable significance. As demand response levels have decreased after the introduction of competition in the power industry, new approaches are required to take full advantage of demand response opportunities. Grid operators and utilities are taking new initiatives, recognizing the value of demand response for grid reliability and for the enhancement of organized spot markets’ efficiency. This paper proposes a methodology for the selection of the consumers that participate in an event, which is the responsibility of the Portuguese transmission network operator. The proposed method is intended to be applied in the interruptibility service implemented in Portugal, in convergence with Spain, in the context of the Iberian electricity market. This method is based on the calculation of locational marginal prices (LMP) which are used to support the decision concerning the consumers to be schedule for participation. The proposed method has been computationally implemented and its application is illustrated in this paper using a 937 bus distribution network with more than 20,000 consumers.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

In competitive electricity markets with deep concerns at the efficiency level, demand response programs gain considerable significance. In the same way, distributed generation has gained increasing importance in the operation and planning of power systems. Grid operators and utilities are taking new initiatives, recognizing the value of demand response and of distributed generation for grid reliability and for the enhancement of organized spot market´s efficiency. Grid operators and utilities become able to act in both energy and reserve components of electricity markets. This paper proposes a methodology for a joint dispatch of demand response and distributed generation to provide energy and reserve by a virtual power player that operates a distribution network. The proposed method has been computationally implemented and its application is illustrated in this paper using a 32 bus distribution network with 32 medium voltage consumers.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

This paper proposes a particle swarm optimization (PSO) approach to support electricity producers for multiperiod optimal contract allocation. The producer risk preference is stated by a utility function (U) expressing the tradeoff between the expectation and variance of the return. Variance estimation and expected return are based on a forecasted scenario interval determined by a price range forecasting model developed by the authors. A certain confidence level is associated to each forecasted scenario interval. The proposed model makes use of contracts with physical (spot and forward) and financial (options) settlement. PSO performance was evaluated by comparing it with a genetic algorithm-based approach. This model can be used by producers in deregulated electricity markets but can easily be adapted to load serving entities and retailers. Moreover, it can easily be adapted to the use of other type of contracts.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

Distributed energy resources will provide a significant amount of the electricity generation and will be a normal profitable business. In the new decentralized grid, customers will be among the many decentralized players and may even help to co-produce the required energy services such as demand-side management and load shedding. So, they will gain the opportunity to be more active market players. The aggregation of DG plants gives place to a new concept: the Virtual Power Producer (VPP). VPPs can reinforce the importance of these generation technologies making them valuable in electricity markets. In this paper we propose the improvement of MASCEM, a multi-agent simulation tool to study negotiations in electricity spot markets based on different market mechanisms and behavior strategies, in order to take account of decentralized players such as VPP.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

This paper addresses the impact of the CO2 opportunity cost on the wholesale electricity price in the context of the Iberian electricity market (MIBEL), namely on the Portuguese system, for the period corresponding to the Phase II of the European Union Emission Trading Scheme (EU ETS). In the econometric analysis a vector error correction model (VECM) is specified to estimate both long–run equilibrium relations and short–run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The model is estimated using daily spot market prices and the four commodities prices are jointly modelled as endogenous variables. Moreover, a set of exogenous variables is incorporated in order to account for the electricity demand conditions (temperature) and the electricity generation mix (quantity of electricity traded according the technology used). The outcomes for the Portuguese electricity system suggest that the dynamic pass–through of carbon prices into electricity prices is strongly significant and a long–run elasticity was estimated (equilibrium relation) that is aligned with studies that have been conducted for other markets.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

Joining of components with structural adhesives is currently one of the most widespread techniques for advanced structures (e.g., aerospace or aeronautical). Adhesive bonding does not involve drilling operations and it distributes the load over a larger area than mechanical joints. However, peak stresses tend to develop near the overlap edges because of differential straining of the adherends and load asymmetry. As a result, premature failures can be expected, especially for brittle adhesives. Moreover, bonded joints are very sensitive to the surface treatment of the material, service temperature, humidity and ageing. To surpass these limitations, the combination of adhesive bonding with spot-welding is a choice to be considered, adding a few advantages like superior static strength and stiffness, higher peeling and fatigue strength and easier fabrication, as fixtures during the adhesive curing are not needed. The experimental and numerical study presented here evaluates hybrid spot-welded/bonded single-lap joints in comparison with the purely spot-welded and bonded equivalents. A parametric study on the overlap length (LO) allowed achieving different strength advantages, up to 58% compared to spot-welded joints and 24% over bonded joints. The Finite Element Method (FEM) and Cohesive Zone Models (CZM) for damage growth were also tested in Abaqus® to evaluate this technique for strength prediction, showing accurate estimations for all kinds of joints.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

Portuguese northern forests are often and severely affected by wildfires during the summer season. Some preventive actions, such as prescribed (or controlled) burnings and clear-cut logging, are often used as a measure to reduce the occurrences of wildfires. In the particular case of Serra da Cabreira forest, due to extremely difficulties in operational field work, the prescribed (or controlled) burning technique is the the most common preventive action used to reduce the existing fuel load amount. This paper focuses on a Fuzzy Boolean Nets analysis of the changes in some forest soil properties, namely pH, moisture and organic matter content, after a controlled fire, and on the difficulties found during the sampling process and how they were overcome. The monitoring process was conducted during a three-month period in Anjos, Vieira do Minho, Portugal, an area located in a contact zone between a two-mica coarse-grained porphyritic granite and a biotite with plagioclase granite. The sampling sites were located in a spot dominated by quartzphyllite with quartz veins whose bedrock is partially altered and covered by slightly thick humus, which maintains low undergrowth vegetation.

Relevância:

0.00% 0.00%

Publicador:

Resumo:

A necessidade de utilizar métodos de ligação que melhor satisfaçam as necessidades de projeto tem causado a crescente utilização das juntas adesivas, em detrimento dos métodos tradicionais tais como a soldadura, ligações aparafusadas e rebitadas. A sua utilização em diversas aplicações industriais justifica-se pela redução de peso, redução de concentrações de tensões, isolamento acústico e melhor resistência à corrosão. Contudo, também apresentam desvantagens, como a necessidade de preparação das juntas, a fraca resistência a esforços de arrancamento e a complexidade da previsão da sua resistência. As juntas híbridas são obtidas por combinação de uma técnica tradicional com uma ligação adesiva. As juntas híbridas adesivas-soldadas obtêm-se através da combinação da ligação adesiva com a ligação soldada, sendo a soldadura de resistência por pontos a técnica de soldadura mais usada no fabrico deste tipo de juntas. A sinergia entre ligação adesiva e soldadura por pontos oferece vantagens competitivas em relação às ligações adesivas, tais como superior resistência e rigidez, e maior resistência ao arrancamento e à fadiga. No presente trabalho é apresentado um estudo experimental e numérico de juntas T-peel soldadas, adesivas e híbridas (adesivas-soldadas) solicitadas ao arrancamento. Considerouse o adesivo frágil Araldite® AV138 e os adesivos dúcteis Araldite® 2015 e Sikaforce® 7752 e aderentes de aço (C45E). Foi realizada uma análise dos valores experimentais e efetuada uma comparação destes valores com os resultados obtidos pelo Método de Elementos Finitos (MEF) no software ABAQUS®, que incluiu uma análise de tensões na camada de adesivo e previsão do comportamento das juntas por MDC. Observou-se que, dos três adesivos em estudo, o adesivo Sikaforce® 7752 é o que apresenta o melhor desempenho na ligação de juntas T-peel. A boa concordância entre os resultados experimentais e numéricos permitiu validar a utilização de MDC para previsão da resistência de juntas T-peel adesivas e híbridas. Assim, o presente trabalho representa uma base para posterior aplicação no projeto deste tipo de ligação, com as vantagens decorrentes na redução do tempo de projeto e maior facilidade de otimização.