Reality check for volatility models

Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark.

Do police reduce crime? Estimates using the allocation of police forces after a terrorist attack

An important challenge in the crime literature is to isolate causal effects of police on crime. Following a terrorist attack on the main Jewish center in the city of Buenos Aires, Argentina, in July 1994, all Jewish institutions (including schools, synagogues, and clubs) were given 24-hour police protection. Thus, this hideous event induced a geographical allocation of police forces that can be presumed to be exogenous in a crime regression. Using data on the location of car thefts before and after the terrorist attack, we find a large deterrent effect of observable police presence on crime. The effect is local, with little or no appreciable impact outside the narrow area in which the police are deployed.

Melhoria da segurança pública: uma proposta para alocação de unidades policiais utilizando o modelo das p-medianas e do caixeiro viajante

The decrease in crime is one of the core issues that cause concern in society today. This study aims to propose improvements to public safety from the choice of points to the location of police units, ie the points which support the car and the police. For this, three models were developed in order to assist decision making regarding the best placement of these bases. The Model of Police Units Routing has the intention to analyze the current configuration of a given region and develop optimal routes for round preventative. The Model of Allocation and Routing for New Police Units (MARNUP) used the model of facility location called p-median weighted and traveling salesman problem (TSP) combined aiming an ideal setting for regions that do not yet have support points or to assess how far the distribution is present in relation to that found in solution. The Model Redefinition and Routing Unit Police (MRRUP) seek to change the current positioning taking into account the budgetary constraints of the decision maker. To verify the applicability of these models we used data from 602 points to instances of police command that is responsible for the capital city of Natal. The city currently has 31 police units for 36 of these 19 districts and police have some assistance. This reality can lead to higher costs and higher response times for answering emergency calls. The results of the models showed that in an ideal situation it is possible to define a distance of 500 km/round, whereas in this 900 km are covered by approximately round. However, a change from three-point lead reduced to 700 km / round which represents a decrease of 22% in the route. This reduction should help improve response time to emergency care, improving the level of service provided by the increase of solved cases, reducing police shifts and routing preventive patrols

Evaluation of the influence of location of osseointegrated implants associated with mandibular removable partial dentures

Purpose: The aim of this research was to assess, by means of, the bi-dimensional finite element method, the best implant location in the alveolar edge, through stress distribution and support structure displacement of a distal extension removable partial denture associated with an osseointegrated implant of 10.0 x .75 mm, acting as abutment for the denture base.Methods and Materials: Five models in sagittal cut were used to represent: model A-hemi arch containing natural tooth 33 and the distal alveolar edge; model B-similar to model A, but with a conventional removable partial denture to replace the absent teeth; model C (MC)-similar to the previous one, with an implant in the distal region of the edge under the denture base; model D-similar to MC, with the implant in the central region of the edge; model E-similar to MC, with an implant in the mesial region of the edge. With the aid of the finite element program ANSYS 8.0, the models were loaded with strictly vertical forces of 50 N on each cusp tip. Displacement and von Mises Maps were plotted for visualization of results.Results: The introduction of implant diminished the tendency of intrusion of the removable partial denture in all situations. The maximum stress was observed on implant in all situations. Approximating implant in direction of support teeth was benefit for stress distribution.Conclusion: Model D presented the lowest value for maximum tendency to displacement when compared with those found in the other models; model E demonstrated better relief with regard to demand from the abutment tooth; locating the implant near of the abutment tooth influenced positively the distribution of stresses on the analyzed structures.

Allocation of the costs of transmission losses

An analysis of the performance of six major methods of loss allocation for generators and demands was conducted, based on pro-rata (two), on incremental factors (two), on proportional sharing (PS) (one), and on electric circuit theory (one). Using relatively simple examples which can easily be checked, the advantages and disadvantages of each were ascertained and the results confirmed using a larger sample system (IEEE-118). The discussion considers the location and size of generators and demands, as well as the merits of the location of these agents for each configuration based on an analysis of the effect of various network modifications. Furthermore, an application in the South-Southeastern Brazilian Systems is performed. Conclusions and recommendations are presented. (C) 2004 Elsevier B.V. All rights reserved.

Optimized Allocation of Control and Protective Devices in Electric Distribution Systems

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Comparison of algorithms for loss allocation in transmission networks considering power redispatch

An analysis of the performances of three important methods for generators and loads loss allocation is presented. The discussed methods are: based on pro-rata technique; based on the incremental technique; and based on matrices of circuit. The algorithms are tested considering different generation conditions, using a known electric power system: IEEE 14 bus. Presented and discussed results verify: the location and the magnitude of generators and loads; the possibility to have agents well or poorly located in each network configuration; the discriminatory behavior considering variations in the power flow in the transmission lines. © 2004 IEEE.

Network reconfiguration and loss allocation in a deregulated environment of distribution systems

Low flexibility and reliability in the operation of radial distribution networks make those systems be constructed with extra equipment as sectionalising switches in order to reconfigure the network, so the operation quality of the network can be improved. Thus, sectionalising switches are used for fault isolation and for configuration management (reconfiguration). Moreover, distribution systems are being impacted by the increasing insertion of distributed generators. Hence, distributed generation became one of the relevant parameters in the evaluation of systems reconfiguration. Distributed generation may affect distribution networks operation in various ways, causing noticeable impacts depending on its location. Thus, the loss allocation problem becomes more important considering the possibility of open access to the distribution networks. In this work, a graphic simulator for distribution networks with reconfiguration and loss allocation functions, is presented. Reconfiguration problem is solved through a heuristic methodology, using a robust power flow algorithm based on the current summation backward-forward technique, considering distributed generation. Four different loss allocation methods (Zbus, Direct Loss Coefficient, Substitution and Marginal Loss Coefficient) are implemented and compared. Results for a 32-bus medium voltage distribution network, are presented and discussed.

Optimal phasor measurement units placement for fault location on overhead electric power distribution feeders

This paper proposes a new approach for optimal phasor measurement units placement for fault location on electric power distribution systems using Greedy Randomized Adaptive Search Procedure metaheuristic and Monte Carlo simulation. The optimized placement model herein proposed is a general methodology that can be used to place devices aiming to record the voltage sag magnitudes for any fault location algorithm that uses voltage information measured at a limited set of nodes along the feeder. An overhead, three-phase, three-wire, 13.8 kV, 134-node, real-life feeder model is used to evaluate the algorithm. Tests show that the results of the fault location methodology were improved thanks to the new optimized allocation of the meters pinpointed using this methodology. © 2011 IEEE.

Modelos de programação linear inteira mista para resolver problemas de otimização de sistemas de distribuição de energia elétrica radiais

Pós-graduação em Engenharia Elétrica - FEIS

Simple agrometeorological models for estimating Guineagrass yield in Southeast Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A comparative evaluation of the CF:CS and CRS models in Pb-210 chronological studies applied to hydrographic basins in Brazil

The Constant Flux: Constant Sedimentation (CF:CS) and Constant Rate of Supply (CRS) of unsupported/excess Pb-210 models have been applied to a Pb-210 data set providing of eighteen sediments profiles sampled at four riverine systems occurring in Brazil, South America: Corumbatai River basin (S1=Site 1, Sao Paulo State), Atibaia River basin (S2=Site 2, Sao Paulo State), Ribeirao dos Bagres basin (S3=Site 3, Sao Paulo State) and Amazon River mouth. (S4=Site 4, Amapa State). These sites were chosen for a comparative evaluation of the performance of the CF:CS and CRS models due to their pronounced differences on the geographical location, geological context, soil composition, biodiversity, climate, rainfall, and water flow regime, among other variable aspects. However, all sediments cores exhibited a common denominator consisting on a database built from the use of the same techniques for acquiring the sediments major chemical composition (SiO2, Al2O3, Na2O, K2O, CaO, MgO, Fe2O3, MnO, P2O5, TiO2 and LOI-Loss on Ignition) and unsupported/excess 210Pb activity data. In terms of sedimentation rates, the performance of the CRS model was better than that of the CF:CS model as it yielded values more compatible with those expected from field evidences. Under the chronological point of view, the CRS model always provided ages within the permitted range of the Pb-210-method in the studied sites, whereas the CF:CS model predicted some values above 150 years. The SiO2 content decreased in accordance with the LOI increase in all cores analyzed and such inverse relationship was also tracked in the SiO2-LOI curves of historical trends. The SiO2-LOI concentration fluctuations in sites S1 and S3 also coincided with some Cu and Cr inputs in the drainage systems. (C) 2014 Elsevier Ltd. All rights reserved.

Spatial statistical models that use flow and stream distance

We develop spatial statistical models for stream networks that can estimate relationships between a response variable and other covariates, make predictions at unsampled locations, and predict an average or total for a stream or a stream segment. There have been very few attempts to develop valid spatial covariance models that incorporate flow, stream distance, or both. The application of typical spatial autocovariance functions based on Euclidean distance, such as the spherical covariance model, are not valid when using stream distance. In this paper we develop a large class of valid models that incorporate flow and stream distance by using spatial moving averages. These methods integrate a moving average function, or kernel, against a white noise process. By running the moving average function upstream from a location, we develop models that use flow, and by construction they are valid models based on stream distance. We show that with proper weighting, many of the usual spatial models based on Euclidean distance have a counterpart for stream networks. Using sulfate concentrations from an example data set, the Maryland Biological Stream Survey (MBSS), we show that models using flow may be more appropriate than models that only use stream distance. For the MBSS data set, we use restricted maximum likelihood to fit a valid covariance matrix that uses flow and stream distance, and then we use this covariance matrix to estimate fixed effects and make kriging and block kriging predictions.

A mixed model QTL analysis for sugarcane multiple-harvest-location trial data

Sugarcane-breeding programs take at least 12 years to develop new commercial cultivars. Molecular markers offer a possibility to study the genetic architecture of quantitative traits in sugarcane, and they may be used in marker-assisted selection to speed up artificial selection. Although the performance of sugarcane progenies in breeding programs are commonly evaluated across a range of locations and harvest years, many of the QTL detection methods ignore two- and three-way interactions between QTL, harvest, and location. In this work, a strategy for QTL detection in multi-harvest-location trial data, based on interval mapping and mixed models, is proposed and applied to map QTL effects on a segregating progeny from a biparental cross of pre-commercial Brazilian cultivars, evaluated at two locations and three consecutive harvest years for cane yield (tonnes per hectare), sugar yield (tonnes per hectare), fiber percent, and sucrose content. In the mixed model, we have included appropriate (co)variance structures for modeling heterogeneity and correlation of genetic effects and non-genetic residual effects. Forty-six QTLs were found: 13 QTLs for cane yield, 14 for sugar yield, 11 for fiber percent, and 8 for sucrose content. In addition, QTL by harvest, QTL by location, and QTL by harvest by location interaction effects were significant for all evaluated traits (30 QTLs showed some interaction, and 16 none). Our results contribute to a better understanding of the genetic architecture of complex traits related to biomass production and sucrose content in sugarcane.

Genotype x location x feeding interactions in Nellore cattle calculated through three-mode principal component analysis

The main objective of this study was to apply three-mode principal component analysis to assess the triple interaction (genotype x location x feeding) on direct genetic value for weight at 205 days of age. We used 60 sires with offspring in three regions of northeastern Brazil (Maranhao, Mata and Agreste, and Reconcavo Baiano) and raised on a pasture regime or with supplementation. There was no interaction between genotype and location, but there was a correlation between genotype and direct effect of feeding. The use of sires should be dictated according to the system of rearing of their offspring.