Regime Switching Models for Electricity Time Series that Capture Fat Tailed Distributions

In the power market, electricity prices play an important role at the economic level. The behavior of a price trend usually known as a structural break may change over time in terms of its mean value, its volatility, or it may change for a period of time before reverting back to its original behavior or switching to another style of behavior, and the latter is typically termed a regime shift or regime switch. Our task in this thesis is to develop an electricity price time series model that captures fat tailed distributions which can explain this behavior and analyze it for better understanding. For NordPool data used, the obtained Markov Regime-Switching model operates on two regimes: regular and non-regular. Three criteria have been considered price difference criterion, capacity/flow difference criterion and spikes in Finland criterion. The suitability of GARCH modeling to simulate multi-regime modeling is also studied.

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.

Model based analysis of the post-combustion calcium looping process for carbon dioxide capture

This thesis presents a one-dimensional, semi-empirical dynamic model for the simulation and analysis of a calcium looping process for post-combustion CO2 capture. Reduction of greenhouse emissions from fossil fuel power production requires rapid actions including the development of efficient carbon capture and sequestration technologies. The development of new carbon capture technologies can be expedited by using modelling tools. Techno-economical evaluation of new capture processes can be done quickly and cost-effectively with computational models before building expensive pilot plants. Post-combustion calcium looping is a developing carbon capture process which utilizes fluidized bed technology with lime as a sorbent. The main objective of this work was to analyse the technological feasibility of the calcium looping process at different scales with a computational model. A one-dimensional dynamic model was applied to the calcium looping process, simulating the behaviour of the interconnected circulating fluidized bed reactors. The model incorporates fundamental mass and energy balance solvers to semi-empirical models describing solid behaviour in a circulating fluidized bed and chemical reactions occurring in the calcium loop. In addition, fluidized bed combustion, heat transfer and core-wall layer effects were modelled. The calcium looping model framework was successfully applied to a 30 kWth laboratory scale and a pilot scale unit 1.7 MWth and used to design a conceptual 250 MWth industrial scale unit. Valuable information was gathered from the behaviour of a small scale laboratory device. In addition, the interconnected behaviour of pilot plant reactors and the effect of solid fluidization on the thermal and carbon dioxide balances of the system were analysed. The scale-up study provided practical information on the thermal design of an industrial sized unit, selection of particle size and operability in different load scenarios.

Computational models for and from biology : simple gene assembly and reaction systems

The advancement of science and technology makes it clear that no single perspective is any longer sufficient to describe the true nature of any phenomenon. That is why the interdisciplinary research is gaining more attention overtime. An excellent example of this type of research is natural computing which stands on the borderline between biology and computer science. The contribution of research done in natural computing is twofold: on one hand, it sheds light into how nature works and how it processes information and, on the other hand, it provides some guidelines on how to design bio-inspired technologies. The first direction in this thesis focuses on a nature-inspired process called gene assembly in ciliates. The second one studies reaction systems, as a modeling framework with its rationale built upon the biochemical interactions happening within a cell. The process of gene assembly in ciliates has attracted a lot of attention as a research topic in the past 15 years. Two main modelling frameworks have been initially proposed in the end of 1990s to capture ciliates’ gene assembly process, namely the intermolecular model and the intramolecular model. They were followed by other model proposals such as templatebased assembly and DNA rearrangement pathways recombination models. In this thesis we are interested in a variation of the intramolecular model called simple gene assembly model, which focuses on the simplest possible folds in the assembly process. We propose a new framework called directed overlap-inclusion (DOI) graphs to overcome the limitations that previously introduced models faced in capturing all the combinatorial details of the simple gene assembly process. We investigate a number of combinatorial properties of these graphs, including a necessary property in terms of forbidden induced subgraphs. We also introduce DOI graph-based rewriting rules that capture all the operations of the simple gene assembly model and prove that they are equivalent to the string-based formalization of the model. Reaction systems (RS) is another nature-inspired modeling framework that is studied in this thesis. Reaction systems’ rationale is based upon two main regulation mechanisms, facilitation and inhibition, which control the interactions between biochemical reactions. Reaction systems is a complementary modeling framework to traditional quantitative frameworks, focusing on explicit cause-effect relationships between reactions. The explicit formulation of facilitation and inhibition mechanisms behind reactions, as well as the focus on interactions between reactions (rather than dynamics of concentrations) makes their applicability potentially wide and useful beyond biological case studies. In this thesis, we construct a reaction system model corresponding to the heat shock response mechanism based on a novel concept of dominance graph that captures the competition on resources in the ODE model. We also introduce for RS various concepts inspired by biology, e.g., mass conservation, steady state, periodicity, etc., to do model checking of the reaction systems based models. We prove that the complexity of the decision problems related to these properties varies from P to NP- and coNP-complete to PSPACE-complete. We further focus on the mass conservation relation in an RS and introduce the conservation dependency graph to capture the relation between the species and also propose an algorithm to list the conserved sets of a given reaction system.

Variance reduction properties of dynamic hedging models - empirical evidence from BRICS countries

This Master’s Thesis analyses the effectiveness of different hedging models on BRICS (Brazil, Russia, India, China, and South Africa) countries. Hedging performance is examined by comparing two different dynamic hedging models to conventional OLS regression based model. The dynamic hedging models being employed are Constant Conditional Correlation (CCC) GARCH(1,1) and Dynamic Conditional Correlation (DCC) GARCH(1,1) with Student’s t-distribution. In order to capture the period of both Great Moderation and the latest financial crisis, the sample period extends from 2003 to 2014. To determine whether dynamic models outperform the conventional one, the reduction of portfolio variance for in-sample data with contemporaneous hedge ratios is first determined and then the holding period of the portfolios is extended to one and two days. In addition, the accuracy of hedge ratio forecasts is examined on the basis of out-of-sample variance reduction. The results are mixed and suggest that dynamic hedging models may not provide enough benefits to justify harder estimation and daily portfolio adjustment. In this sense, the results are consistent with the existing literature.

Long-term fertilizer field trials: comparison of three mathematical response models

Selostus: Lannoituksen pitkäaikaiset kenttäkokeet: kolmen matemaattisen mallin vertailu

Generalizing sample tree information with semiparametric and parametric models

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Predicting the growth response to thinning for Scots pine stands using individual-tree growth models

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The application of agricultural land rating and crop models to CO2 and climate change issues in Northern regions : the Mackenzie Basin case study

Selostus: Viljelyvyöhykkeiden ja kasvumallien soveltaminen ilmastonmuutoksen tutkimisessa: Mackenzien jokialue, Kanada

Individual-tree basal area growth models for scots pine, pubescent birch and Norway spruce on drained peatlands in Finland

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