Prognosis of after spot volumes at the Scandinavian electricity market

The Thesis is dedicated to development of an operative tool to support decision making in after spot trading on the Nordic electricity market. The basics of the Nordic electricity market, trading mechanisms on the spot and after spot markets are presented in the Thesis. Mathematical equations that describe electricity balance condition in the power system are offered. The main driving factors that impact deviation of actual electricity balance from the scheduled one (object) in the power system have been explored and mathematically defined. The behavioral model of the object and principal trends in change of state of the object under an impact of the driving factors are determined with the help of regression analysis made in Microsoft Office Excel. The behavioral model gives an indication for the total regulation volume (Elbas trades volume, volume of regulation market, balance power) for a certain hour that serves as the base input in estimating prices on the after spot markets. Proposals for development of methodologies of forecasting the after spot electricity prices are offered.

A comparison of electricity spot prices simulation using ARMA-GARCH and mean-reverting models

The aim of this work is to compare two families of mathematical models for their respective capability to capture the statistical properties of real electricity spot market time series. The first model family is ARMA-GARCH models and the second model family is mean-reverting Ornstein-Uhlenbeck models. These two models have been applied to two price series of Nordic Nord Pool spot market for electricity namely to the System prices and to the DenmarkW prices. The parameters of both models were calibrated from the real time series. After carrying out simulation with optimal models from both families we conclude that neither ARMA-GARCH models, nor conventional mean-reverting Ornstein-Uhlenbeck models, even when calibrated optimally with real electricity spot market price or return series, capture the statistical characteristics of the real series. But in the case of less spiky behavior (System prices), the mean-reverting Ornstein-Uhlenbeck model could be seen to partially succeeded in this task.

Analysis of Patterns in Electricity Spot Market Time Series

Due to its non-storability, electricity must be produced at the same time that it is consumed, as a result prices are determined on an hourly basis and thus analysis becomes more challenging. Moreover, the seasonal fluctuations in demand and supply lead to a seasonal behavior of electricity spot prices. The purpose of this thesis is to seek and remove all causal effects from electricity spot prices and remain with pure prices for modeling purposes. To achieve this we use Qlucore Omics Explorer (QOE) for the visualization and the exploration of the data set and Time Series Decomposition method to estimate and extract the deterministic components from the series. To obtain the target series we use regression based on the background variables (water reservoir and temperature). The result obtained is three price series (for Sweden, Norway and System prices) with no apparent pattern.

Roal Oy:n käyttöhyödykejärjestelmän arviointi, optimointi ja raportointi

Prosessiteollisuudessa tarvitaan usein erilaisia apujärjestelmiä pääprosessin tueksi. Tyypillisiä tällaisia järjestelmiä ovat jäähdytys-, höyry- ja ilmajärjestelmät. Hyödykejärjestelmien kehitys jää helposti pääprosessin varjoon, joka usein johtaa tarpeettoman suuriin hyödykekustannuksiin ja järjestelmien teknisen tilan laskuun. Työn kirjallisuusosassa käsitellään Roal Oy:n fermentointiprosessin kannalta olennaisimpia hyödykevaatimuksia, niiden laskennallista ilmaisua ja vuorovaikutuksia sekä PINCH-menetelmää lämpöenergian hyötykäyttöön. Jäähdytysjärjestelmän osalta käydään läpi merkittävimmät laitetekniset ratkaisut, jäähdytystorni ja lämpöpumppu, toimintaperiaatteineen sekä luonnonvesien käyttö jäähdytykseen. Työn soveltavassa osassa seurattiin Aspergillus, Trichoderma ja Bacillus fermentointeja, joiden pohjalta luotiin kasvatuskohtainen empiirinen malli jäähdytystarpeen arviointiin perustuen sekoitustehoon, kasvatuksen hiilidioksidituottoon ja haihtumisen vaikutukseen. Kasvatuksien aikana seurattiin myös tilavuusperusteista lämmönsiirtokerrointa. Mitattujen lämmönsiirtokertoimien perustella laskettiin ominaislämmöntuottoon perustuva maksimilämpötila käytettävälle jäähdytysvedelle ja fermentorien maksimitilavuudet tunnetuilla kasvatusparametreilla eri lämpöisille jäähdytysvesille. Soveltavassa osassa käydään myös läpi Roalin höyry- ja kuumavesikulutukset ja tärkeimmät käyttökohteet. Mittaustulosten ja mallien perusteella on tehtiin kehitysehdotukset hyödykejärjestelmän optimoimiseksi.

Menetelmä ja laitteisto pölyävyyden mittaamiseksi

Kotimainen patentti FI 121802 B

Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

Vahingoittuneiden ulko- ja sisärenkaiden korjaus täysin käyttökelpoisiksi päng-pängol-pängit menetelmää käyttäen

kuv., 14 x 21 cm

Extraction of polymeric galactoglucomannans from spruce wood by pressurized hot water

The major type of non-cellulosic polysaccharides (hemicelluloses) in softwoods, the partly acetylated galactoglucomannans (GGMs), which comprise about 15% of spruce wood, have attracted growing interest because of their potential to become high-value products with applications in many areas. The main objective of this work was to explore the possibilities to extract galactoglucomannans in native, polymeric form in high yield from spruce wood with pressurised hot-water, and to obtain a deeper understanding of the process chemistry involved. Spruce (Picea abies) chips and ground wood particles were extracted using an accelerated solvent extractor (ASE) in the temperature range 160 – 180°C. Detailed chemical analyses were done on both the water extracts and the wood residues. As much as 80 – 90% of the GGMs in spruce wood, i.e. about 13% based on the original wood, could be extracted from ground spruce wood with pure water at 170 – 180°C with an extraction time of 60 min. GGMs comprised about 75% of the extracted carbohydrates and about 60% of the total dissolved solids. Other substances in the water extracts were xylans, arabinogalactans, pectins, lignin and acetic acid. The yields from chips were only about 60% of that from ground wood. Both the GGMs and other non-cellulosic polysaccharides were extensively hydrolysed at severe extraction conditions when pH dropped to the level of 3.5. Addition of sodium bicarbonate increased the yields of polymeric GGMs at low additions, 2.5 – 5 mM, where the end pH remained around 3.9. However, at higher addition levels the yields decreased, mainly because the acetyl groups in GGMs were split off, leading to a low solubility of GGMs. Extraction with buffered water in the pH range 3.8 – 4.4 gave similar yields as with plain water, but gave a higher yield of polymeric GGMs. Moreover, at these pH levels the hydrolysis of acetyl groups in GGMs was significantly inhibited. It was concluded that hot-water extraction of polymeric GGMs in good yields (up to 8% of wood) demands appropriate control of pH, in a narrow range about 4. These results were supported by a study of hydrolysis of GGM at constant pH in the range of 3.8 – 4.2 where a kinetic model for degradation of GGM was developed. The influence of wood particle size on hot-water extraction was studied with particles in the range of 0.1 – 2 mm. The smallest particles (< 0.1 mm) gave 20 – 40% higher total yield than the coarsest particles (1.25 – 2 mm). The difference was greatest at short extraction times. The results indicated that extraction of GGMs and other polysaccharides is limited mainly by the mass transfer in the fibre wall, and for coarse wood particles also in the wood matrix. Spruce sapwood, heartwood and thermomechnical pulp were also compared, but only small differences in yields and composition of extracts were found. Two methods for isolation and purification of polymeric GGMs, i.e. membrane filtration and precipitation in ethanol-water, were compared. Filtration through a series of membranes with different pore sizes separated GGMs of different molar masses, from polymers to oligomers. Polysaccharides with molar mass higher than 4 kDa were precipitated in ethanol-water. GGMs comprised about 80% of the precipitated polysaccharides. Other polysaccharides were mainly arabinoglucuronoxylans and pectins. The ethanol-precipitated GGMs were by 13C NMR spectroscopy verified to be very similar to GGMs extracted from spruce wood in low yield at a much lower temperature, 90°C. The obtained large body of experimental data could be utilised for further kinetic and economic calculations to optimise technical hot-water extractionof softwoods.

Modelling Long-Run Relationship between Spot and Future Prices of Different Commodities

The purpose of this study is to investigate whether there exists any kind of relationship between the spot and future prices of the different commodities or not. Commodities like cocoa, coffee, crude oil, gold, natural gas and silver are considered from January 3, 2000 to December 31, 2012. For this purpose, ADF test and KPSS test are used in testing the stationarity whereas Johansen Cointegration test is used in testing the long-run relationship. Johansen co-integration test exhibits that there at least 5 co-integrating pairs out of 6 except crude oil. Moreover, the result of Granger Causality supports the fact that if two or more than two time series tend to be co-integrated there exists either uni-directional or bi-directional relationship. However, our results reveled that although there exists the co-integration between the variable, one might not granger causes another .VAR model is also used to measure the proportion of effects. These findings will help the derivative market and arbitragers in developing the strategies to gain the maximum profit in the financial market.

Forecasting financial weather - can we foresee market sentiment? Quantitative analysis of nodal prices in the New Zealand Electricity Spot Market

Time series of hourly electricity spot prices have peculiar properties. Electricity is by its nature difficult to store and has to be available on demand. There are many reasons for wanting to understand correlations in price movements, e.g. risk management purposes. The entire analysis carried out in this thesis has been applied to the New Zealand nodal electricity prices: offer prices (from 29 May 2002 to 31 March 2009) and final prices (from 1 January 1999 to 31 March 2009). In this paper, such natural factors as location of the node and generation type in the node that effects the correlation between nodal prices have been reviewed. It was noticed that the geographical factor affects the correlation between nodes more than others. Therefore, the visualisation of correlated nodes was done. However, for the offer prices the clear separation of correlated and not correlated nodes was not obtained. Finally, it was concluded that location factor most strongly affects correlation of electricity nodal prices; problems in visualisation probably associated with power losses when the power is transmitted over long distance.

Pressurized hot water flow-through extraction of birch wood

Effective processes to fractionate the main compounds in biomass, such as wood, are a prerequisite for an effective biorefinery. Water is environmentally friendly and widely used in industry, which makes it a potential solvent also for forest biomass. At elevated temperatures over 100 °C, water can readily hydrolyse and dissolve hemicelluloses from biomass. In this work, birch sawdust was extracted using pressurized hot water (PHWE) flow-through systems. The hypothesis of the work was that it is possible to obtain polymeric, water-soluble hemicelluloses from birch sawdust using flow-through PHW extractions at both laboratory and large scale. Different extraction temperatures in the range 140–200 °C were evaluated to see the effect of temperature to the xylan yield. The yields and extracted hemicelluloses were analysed to obtain sugar ratios, the amount of acetyl groups, furfurals and the xylan yields. Higher extraction temperatures increased the xylan yield, but decreased the molar mass of the dissolved xylan. As the extraction temperature increased, more acetic acid was released from the hemicelluloses, thus further decreasing the pH of the extract. There were only trace amounts of furfurals present after the extractions, indicating that the treatment was mild enough not to degrade the sugars further. The sawdust extraction density was increased by packing more sawdust in the laboratory scale extraction vessel. The aim was to obtain extracts with higher concentration than in typical extraction densities. The extraction times and water flow rates were kept constant during these extractions. The higher sawdust packing degree decreased the water use in the extractions and the extracts had higher hemicellulose concentrations than extractions with lower sawdust degrees of packing. The molar masses of the hemicelluloses were similar in higher packing degrees and in the degrees of packing that were used in typical PHWE flow-through extractions. The structure of extracted sawdust was investigated using small angle-(SAXS) and wide angle (WAXS) x-ray scattering. The cell wall topography of birch sawdust and extracted sawdust was compared using x-ray tomography. The results showed that the structure of the cell walls of extracted birch sawdust was preserved but the cell walls were thinner after the extractions. Larger pores were opened inside the fibres and cellulose microfibrils were more tightly packed after the extraction. Acetate buffers were used to control the pH of the extracts during the extractions. The pH control prevented excessive xylan hydrolysis and increased the molar masses of the extracted xylans. The yields of buffered extractions were lower than for plain water extractions at 160–170 °C, but at 180 °C yields were similar to those from plain water and pH buffers. The pH can thus be controlled during extraction with acetate buffer to obtain xylan with higher molar mass than those obtainable using plain water. Birch sawdust was extracted both in the laboratory and pilot scale. The performance of the PHWE flow-through system was evaluated in the laboratory and the pilot scale using vessels with the same shape but different volumes, with the same relative water flow through the sawdust bed, and in the same extraction temperature. Pre-steaming improved the extraction efficiency and the water flow through the sawdust bed. The extracted birch sawdust and the extracted xylan were similar in both laboratory and pilot scale. The PHWE system was successfully scaled up by a factor of 6000 from the laboratory to pilot scale and extractions performed equally well in both scales. The results show that a flow-through system can be further scaled up and used to extract water-soluble xylans from birch sawdust. Extracted xylans can be concentrated, purified, and then used in e.g. films and barriers, or as building blocks for novel material applications.