The case of negative day-ahead electricity prices

In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.

Back from beyond bid-ask spread: estimating liquidity in international markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid-ask spreads and the relationship between spreads and risk, return and liquidity. Intra-day data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore this paper develops an aggregate daily data-based test for liquidity and applies the test to US data in order to check for consistency with the results of prior intra-day analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.

A high-order arbitrarily unstructured finite-volume model of the global atmosphere: tests solving the shallow-water equations

Simulations of the global atmosphere for weather and climate forecasting require fast and accurate solutions and so operational models use high-order finite differences on regular structured grids. This precludes the use of local refinement; techniques allowing local refinement are either expensive (eg. high-order finite element techniques) or have reduced accuracy at changes in resolution (eg. unstructured finite-volume with linear differencing). We present solutions of the shallow-water equations for westerly flow over a mid-latitude mountain from a finite-volume model written using OpenFOAM. A second/third-order accurate differencing scheme is applied on arbitrarily unstructured meshes made up of various shapes and refinement patterns. The results are as accurate as equivalent resolution spectral methods. Using lower order differencing reduces accuracy at a refinement pattern which allows errors from refinement of the mountain to accumulate and reduces the global accuracy over a 15 day simulation. We have therefore introduced a scheme which fits a 2D cubic polynomial approximately on a stencil around each cell. Using this scheme means that refinement of the mountain improves the accuracy after a 15 day simulation. This is a more severe test of local mesh refinement for global simulations than has been presented but a realistic test if these techniques are to be used operationally. These efficient, high-order schemes may make it possible for local mesh refinement to be used by weather and climate forecast models.

Visceral tissue mass and rumen volume in dairy cows during the transition from late gestation to early lactation

The objectives were to measure the effects of transition and supplemental barley or rumen-protected protein on visceral tissue mass in dairy cows and the effects of transition and barley on rumen volume and liquid turnover. Cows were individually fed a grass silage-based gestation ration to meet energy and protein requirements for body weight stasis beginning 6 wk before expected calving. A corn silage-based lactation ration was individually fed ad libitum after calving. In the visceral mass study, 36 cows were randomly assigned to one of 3 dietary treatments: basal ration or basal ration plus either 800 g dry matter (DM) of barley meal per day or 750 g DM of rumen-protected soybean protein per day. Cows were slaughtered at 21 and 7 d before expected calving date or at 10 and 22 d postpartum. Visceral mass and rumen papillae characteristics were measured. Diets had little effect on visceral mass. The mass of the reticulo-rumen, small intestine, large intestine, and liver was, or tended to be, greater at 22 d postpartum but not at 10 d postpartum before DM intake had increased. Rumen papillae mass increased at 10 d postpartum, perhaps in response to increased concentrates. Mesenteric fat decreased after calving, reflecting body fat mobilization. Ten rumen-cannulated cows were fed the basal gestation ration alone or supplemented with 880 g of barley meal DM. Rumen volumes and liquid dilution rates were measured at 17 and 8 d before calving and at 10, 20, and 31 d postpartum. Feeding barley had no effects. After calving, rumen DM volume and liquid dilution rate increased, but liquid volume did not increase. Changes in gastrointestinal and liver mass during transition were apparently a consequence of changes in DM intake and nutrient supply and not initiation of lactation per se.

Intra-specific variation affects the structure of the natural enemy assemblage attacking pea aphid colonies

1. Intra-specific variation in plant defence traits has been shown to profoundly affect herbivore community structure. Here we describe two experiments designed to test whether similar effects occur at higher trophic levels, by studying pea aphid–natural enemy interactions in a disused pasture in southern England. 2. In the first experiment, the numbers and identity of natural enemies attacking different monoclonal pea aphid colonies were recorded in a series of assays throughout the period of pea aphid activity. 3. In the summer assay, there was a significant effect of clone on the numbers of aphidophagous hoverfly larvae and the total number of non-hoverfly natural enemies recruited. Clone also appeared to influence the attack rate suffered by the primary predator in the system, the hoverfly Episyrphus balteatus, by Diplazon laetatorius, an ichneumonid parasitoid. Colonies were generally driven to extinction by hoverfly attack, resulting in the recording of low numbers of parasitoids and entomopathogens, suggesting intense intra-guild predation. 4. To further examine the influence of clonal variation on the recruitment of natural enemies, a second experiment was performed to monitor the temporal dynamics of community development. Colonies were destructively sampled every other day and the numbers of natural enemies attacking aphid colonies were recorded. These data demonstrated that clonal variation influenced the timing, abundance, and identity of natural enemies attacking aphid colonies. 5. Taken together, these data suggest that clonal variation may have a significant influence on the patterns of interactions between aphids and their natural enemies, and that such effects are likely to affect our understanding of the ecology and biological control of these insect herbivores.