Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

Supporting decision-making for self-adaptive systems:from goal models to dynamic decision networks

Context/Motivation - Different modeling techniques have been used to model requirements and decision-making of self-adaptive systems (SASs). Specifically, goal models have been prolific in supporting decision-making depending on partial and total fulfilment of functional (goals) and non-functional requirements (softgoals). Different goalrealization strategies can have different effects on softgoals which are specified with weighted contribution-links. The final decision about what strategy to use is based, among other reasons, on a utility function that takes into account the weighted sum of the different effects on softgoals. Questions/Problems - One of the main challenges about decisionmaking in self-adaptive systems is to deal with uncertainty during runtime. New techniques are needed to systematically revise the current model when empirical evidence becomes available from the deployment. Principal ideas/results - In this paper we enrich the decision-making supported by goal models by using Dynamic Decision Networks (DDNs). Goal realization strategies and their impact on softgoals have a correspondence with decision alternatives and conditional probabilities and expected utilities in the DDNs respectively. Our novel approach allows the specification of preferences over the softgoals and supports reasoning about partial satisfaction of softgoals using probabilities. We report results of the application of the approach on two different cases. Our early results suggest the decision-making process of SASs can be improved by using DDNs. © 2013 Springer-Verlag.

Analysis and representation of statistical performance of JPEG2000 encoded image over wireless channels

JPEG2000 is a new coming image standard. In this paper we analyze the performance of error resilience tools in JPEG2000, and present an analytical model to estimate the quality of JPEG2000 encoded image transmitted over wireless channels. The effectiveness of the analytical model is validated by simulation results. Furthermore, analytical model is utilized by the base station to design efficient unequally error protection schemes for JPEG2000 transmission. In the design, a utility function is denned to make a tradeoff between the image quality and the cost for transmitting the image over wireless channel. © 2002 IEEE.

Formal methods for the development and verification of autonomic IT systems

This chapter explores ways in which rigorous mathematical techniques, termed formal methods, can be employed to improve the predictability and dependability of autonomic computing. Model checking, formal specification, and quantitative verification are presented in the contexts of conflict detection in autonomic computing policies, and of implementation of goal and utility-function policies in autonomic IT systems, respectively. Each of these techniques is illustrated using a detailed case study, and analysed to establish its merits and limitations. The analysis is then used as a basis for discussing the challenges and opportunities of this endeavour to transition the development of autonomic IT systems from the current practice of using ad-hoc methods and heuristic towards a more principled approach. © 2012, IGI Global.

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.

Clinical utility of the KAMRA corneal inlay

The treatment of presbyopia has been the focus of much scientific and clinical research over recent years, not least due to an increasingly aging population but also the desire for spectacle independence. Many lens and nonlens-based approaches have been investigated, and with advances in biomaterials and improved surgical methods, removable corneal inlays have been developed. One such development is the KAMRA™ inlay where a small entrance pupil is exploited to create a pinhole-type effect that increases the depth of focus and enables improvement in near visual acuity. Short- and long-term clinical studies have all reported significant improvement in near and intermediate vision compared to preoperative measures following monocular implantation (nondominant eye), with a large proportion of patients achieving Jaeger (J) 2 to J1 (~0.00 logMAR to ~0.10 logMAR) at the final follow-up. Although distance acuity is reduced slightly in the treated eye, binocular visual acuity and function remain very good (mean 0.10 logMAR or better). The safety of the inlay is well established and easily removable, and although some patients have developed corneal changes, these are clinically insignificant and the incidence appears to reduce markedly with advancements in KAMRA design, implantation technique, and femtosecond laser technology. This review aims to summarize the currently published peer-reviewed studies on the safety and efficacy of the KAMRA inlay and discusses the surgical and clinical outcomes with respect to the patient’s visual function.