Volatility changes caused by the trading system:a Markov switching application

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov switching regime change model security volatility is categorized as being in a regime of either high or low volatility. It is shown that prior to the introduction of SETS securities tended to be in a low volatility regime. At the time SETS was introduced securities moved to a high volatility regime. This suggests that volatility increased when SETS was introduced.

Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

Fast response static var generator for improving the power system performance of an electric arc furnace (EAF)

Cascaded multilevel inverters-based Static Var Generators (SVGs) are FACTS equipment introduced for active and reactive power flow control. They eliminate the need for zigzag transformers and give a fast response. However, with regard to their application for flicker reduction in using Electric Arc Furnace (EAF), the existing multilevel inverter-based SVGs suffer from the following disadvantages. (1) To control the reactive power, an off-line calculation of Modulation Index (MI) is required to adjust the SVG output voltage. This slows down the transient response to the changes of reactive power; and (2) Random active power exchange may cause unbalance to the voltage of the d.c. link (HBI) capacitor when the reactive power control is done by adjusting the power angle d alone. To resolve these problems, a mathematical model of 11-level cascaded SVG, was developed. A new control strategy involving both MI (modulation index) and power angle (d) is proposed. A selected harmonics elimination method (SHEM) is taken for switching pattern calculations. To shorten the response time and simplify the controls system, feed forward neural networks are used for on-line computation of the switching patterns instead of using look-up tables. The proposed controller updates the MI and switching patterns once each line-cycle according to the sampled reactive power Qs. Meanwhile, the remainder reactive power (compensated by the MI) and the reactive power variations during the line-cycle will be continuously compensated by adjusting the power angles, d. The scheme senses both variables MI and d, and takes action through the inverter switching angle, qi. As a result, the proposed SVG is expected to give a faster and more accurate response than present designs allow. In support of the proposal there is a mathematical model for reactive powered distribution and a sensitivity matrix for voltage regulation assessment, MATLAB simulation results are provided to validate the proposed schemes. The performance with non-linear time varying loads is analysed and refers to a general review of flicker, of methods for measuring flickers due to arc furnace and means for mitigation.

Unequal OTDM channels in a 2R regenerated, dispersion managed transmission system

The dynamics of switching and transmission of an optical signal comprising individual OTDM channels of unequal amplitudes in a dispersion-managed link with in-line non-linear fibre loop mirrors is investigated for the first time.

Switching and generation of ultrashort pulses using all-fibre devices

Serial and parallel interconnection of photonic devices is integral to the construction of any all-optical data processing system. This thesis presents results from a series of experiments centering on the use of the nonlinear-optical loop mirror (NOLM) switch in architectures for the manipulation and generation of ultrashort pulses. Detailed analysis of soliton switching in a single NOLM and cascade of two NOLM's is performed, centering on primary limitations to device operation, effect of cascading on amplitude response, and impact of switching on the characteristics of incident pulses. By using relatively long input pulses, device failure due to stimulated Raman generation is postponed to demonstrate multiple-peaked switching for the first time. It is found that while cascading leads to a sharpening of the overall switching characteristic, pulse spectral and temporal integrity is not significantly degraded, and emerging pulses retain their essential soliton character. In addition, by including an asymmetrically placed in-fibre Bragg reflector as a wavelength selective loss element in the basic NOLM configuration, both soliton self-switching and dual-wavelength control-pulse switching are spectrally quantised. Results are presented from a novel dual-wavelength laser configuration generating pulse trains with an ultra-low rms inter-pulse-stream timing jitter level of 630fs enabling application in ultrafast switching environments at data rates as high as 130GBits/s. In addition, the fibre NOLM is included in architectures for all-optical memory, demonstrating storage and logical inversion of a 0.5kByte random data sequence; and ultrafast phase-locking of a gain-switched distributed feedback laser at 1.062GHz, the fourteenth harmonic of the system baseband frequency. The stringent requirements for environmental robustness of these architectures highlight the primary weaknesses of the NOLM in its fibre form and recommendations to overcome its inherent drawbacks are presented.

Transmission of non-uniform OTDM channels in nonlinearly-guided dispersion-managed fibre system

The effects of channel inequality on nonlinear signal switching in a nonlinear optical fiber loop mirror (NOLM) were investigated. It was found that the channel-to-channel amplitude differences in optical time division multiplexing (OTDM) have strong impact on swiching behavior of individual channels in a 2R regenerator. The optical pulses in different channels face either suppression of the amplitude noise or increase in noise, depending on the inter-channel amplitude difference. It was stated that appropriate control of the channel uniformity in the OTDM transmitters is required to support stable long-haul transmission in 2R regenerated systems.

Optical burst-switched SSB-OFDM using a fast switching SG-DBR laser

The application of orthogonal frequency-division multiplexing (OFDM) in an optical burst-switched system employing a single fast switching sample grating-distributed Bragg reflector (SG-DBR) laser is demonstrated experimentally. The effect of filter profiles compatible with 50, 25, and 12.5 GHz wavelength-division multiplexing grids on the system is investigated with system performance examined in terms of error vector magnitude per subcarrier for OFDM burst data beginning at various times after a switching event. Additionally the placement of the OFDM training sequence within the data burst and its effect on the system is investigated.

Effects of crosstalk in WDM optical label switching networks due to wavelength switching of a tunable laser

Crosstalk caused by switching events in fast tunable lasers in an optical label switching (OLS) system is investigated for the first time. A wavelength-division-multiplexed OLS system based on subcarrier multiplexed labels is presented which employs a 40-Gb/s duobinary payload and a 155-Mb/s label on a 40-GHz subcarrier. Degradation in system performance as the transmitters switch between different channels is then characterized in terms of the frequency drift of the tunable laser.

Reduced waiting times using a fast switching dual-polarization DDQPSK receiver in a packet switched network

In this paper, we demonstrate a fast switching dual polarization DDQPSK packet switched receiver with very short waiting times. The system employs mth power DDQPSK decoding for high frequency offset tolerance, and Stokes parameter estimation for robust polarization demultiplexing.

A multi-modular second life hybrid battery energy storage system for utility grid applications

The modern grid system or the smart grid is likely to be populated with multiple distributed energy sources, e.g. wind power, PV power, Plug-in Electric Vehicle (PEV). It will also include a variety of linear and nonlinear loads. The intermittent nature of renewable energies like PV, wind turbine and increased penetration of Electric Vehicle (EV) makes the stable operation of utility grid system challenging. In order to ensure a stable operation of the utility grid system and to support smart grid functionalities such as, fault ride-through, frequency response, reactive power support, and mitigation of power quality issues, an energy storage system (ESS) could play an important role. A fast acting bidirectional energy storage system which can rapidly provide and absorb power and/or VARs for a sufficient time is a potentially valuable tool to support this functionality. Battery energy storage systems (BESS) are one of a range suitable energy storage system because it can provide and absorb power for sufficient time as well as able to respond reasonably fast. Conventional BESS already exist on the grid system are made up primarily of new batteries. The cost of these batteries can be high which makes most BESS an expensive solution. In order to assist moving towards a low carbon economy and to reduce battery cost this work aims to research the opportunities for the re-use of batteries after their primary use in low and ultra-low carbon vehicles (EV/HEV) on the electricity grid system. This research aims to develop a new generation of second life battery energy storage systems (SLBESS) which could interface to the low/medium voltage network to provide necessary grid support in a reliable and in cost-effective manner. The reliability/performance of these batteries is not clear, but is almost certainly worse than a new battery. Manufacturers indicate that a mixture of gradual degradation and sudden failure are both possible and failure mechanisms are likely to be related to how hard the batteries were driven inside the vehicle. There are several figures from a number of sources including the DECC (Department of Energy and Climate Control) and Arup and Cenex reports indicate anything from 70,000 to 2.6 million electric and hybrid vehicles on the road by 2020. Once the vehicle battery has degraded to around 70-80% of its capacity it is considered to be at the end of its first life application. This leaves capacity available for a second life at a much cheaper cost than a new BESS Assuming a battery capability of around 5-18kWhr (MHEV 5kWh - BEV 18kWh battery) and approximate 10 year life span, this equates to a projection of battery storage capability available for second life of >1GWhrs by 2025. Moreover, each vehicle manufacturer has different specifications for battery chemistry, number and arrangement of battery cells, capacity, voltage, size etc. To enable research and investment in this area and to maximize the remaining life of these batteries, one of the design challenges is to combine these hybrid batteries into a grid-tie converter where their different performance characteristics, and parameter variation can be catered for and a hot swapping mechanism is available so that as a battery ends it second life, it can be replaced without affecting the overall system operation. This integration of either single types of batteries with vastly different performance capability or a hybrid battery system to a grid-tie 3 energy storage system is different to currently existing work on battery energy storage systems (BESS) which deals with a single type of battery with common characteristics. This thesis addresses and solves the power electronic design challenges in integrating second life hybrid batteries into a grid-tie energy storage unit for the first time. This study details a suitable multi-modular power electronic converter and its various switching strategies which can integrate widely different batteries to a grid-tie inverter irrespective of their characteristics, voltage levels and reliability. The proposed converter provides a high efficiency, enhanced control flexibility and has the capability to operate in different operational modes from the input to output. Designing an appropriate control system for this kind of hybrid battery storage system is also important because of the variation of battery types, differences in characteristics and different levels of degradations. This thesis proposes a generalised distributed power sharing strategy based on weighting function aims to optimally use a set of hybrid batteries according to their relative characteristics while providing the necessary grid support by distributing the power between the batteries. The strategy is adaptive in nature and varies as the individual battery characteristics change in real time as a result of degradation for example. A suitable bidirectional distributed control strategy or a module independent control technique has been developed corresponding to each mode of operation of the proposed modular converter. Stability is an important consideration in control of all power converters and as such this thesis investigates the control stability of the multi-modular converter in detailed. Many controllers use PI/PID based techniques with fixed control parameters. However, this is not found to be suitable from a stability point-of-view. Issues of control stability using this controller type under one of the operating modes has led to the development of an alternative adaptive and nonlinear Lyapunov based control for the modular power converter. Finally, a detailed simulation and experimental validation of the proposed power converter operation, power sharing strategy, proposed control structures and control stability issue have been undertaken using a grid connected laboratory based multi-modular hybrid battery energy storage system prototype. The experimental validation has demonstrated the feasibility of this new energy storage system operation for use in future grid applications.

Collaborative filtering and deep learning based recommendation system for cold start items

Recommender system is a specific type of intelligent systems, which exploits historical user ratings on items and/or auxiliary information to make recommendations on items to the users. It plays a critical role in a wide range of online shopping, e-commercial services and social networking applications. Collaborative filtering (CF) is the most popular approaches used for recommender systems, but it suffers from complete cold start (CCS) problem where no rating record are available and incomplete cold start (ICS) problem where only a small number of rating records are available for some new items or users in the system. In this paper, we propose two recommendation models to solve the CCS and ICS problems for new items, which are based on a framework of tightly coupled CF approach and deep learning neural network. A specific deep neural network SADE is used to extract the content features of the items. The state of the art CF model, timeSVD++, which models and utilizes temporal dynamics of user preferences and item features, is modified to take the content features into prediction of ratings for cold start items. Extensive experiments on a large Netflix rating dataset of movies are performed, which show that our proposed recommendation models largely outperform the baseline models for rating prediction of cold start items. The two proposed recommendation models are also evaluated and compared on ICS items, and a flexible scheme of model retraining and switching is proposed to deal with the transition of items from cold start to non-cold start status. The experiment results on Netflix movie recommendation show the tight coupling of CF approach and deep learning neural network is feasible and very effective for cold start item recommendation. The design is general and can be applied to many other recommender systems for online shopping and social networking applications. The solution of cold start item problem can largely improve user experience and trust of recommender systems, and effectively promote cold start items.