HouSI: Heuristic for delimitation of housing submarkets and price homogeneous areas

This paper seeks to address the problem of the empirical identification of housing market segmentation,once we assume that submarkets exist. The typical difficulty in identifying housing submarkets when dealing with many locations is the vast number of potential solutions and, in such cases, the use of the Chow test for hedonic functions is not a practical solution. Here, we solve this problem by undertaking an identification process with a heuristic for spatially constrained clustering, the"Housing Submarket Identifier" (HouSI). The solution is applied to the housing market in the city of Barcelona (Spain), where we estimate a hedonic model for fifty thousand dwellings aggregated into ten groups. In order to determine the utility of the procedure we seek to verify whether the final solution provided by the heuristic is comparable with the division of the city into ten administrative districts.

Stereoselective sodium borohydride reductions of cyclopentanones: influence of ceric chloride on the stereochemistry of reaction

In this paper we describe the reduction by NaBH4 of some cyclopentanones containing an oxygenated function at the side chain position beta to the carbonyl group, both in the presence and in the absence of CeCl3. Some suggestions for the rationalization of the results are discussed, considering the stereochemical course of the reactions.

Comovement of stock price risk in strategic alliance — Case: mobile internet

The focus of this study has been comovement of stock price risk level between two companies as they form strategic alliance. Thus the main reason has been to shed more light to possible increased risk level that the stockholder confronts when a company he owns forms a strategic alliance with another company. This study has centralized to interfirm cooperation between mobile and internet companies, which have furthered the development of mobile internet. The study has been divided into theoretical and empirical part. In theoretical part the main concepts riskiness of a stock (volatility), comovement and strategic alliance have been run through. In empirical part seven strategic alliances formed by mobile internet companies have been examined. Based on this, strategic alliance seems to increase comovement of stock price risk in some degree. This comovement seems to be stronger when core businesses or operating environments of cooperating companies differ more from each other.

Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin con- volution of functions de ned on (0;1), and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-di usion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.

Commodity Price Driven Risk Management from Viewpoint of High Grade Steel Alloys

The study of price risk management concerning high grade steel alloys and their components was conducted. This study was focused in metal commodities, of which nickel, chrome and molybdenum were in a central role. Also possible hedging instruments and strategies for referred metals were studied. In the literature part main themes are price formation of Ni, Cr and Mo, the functioning of metal exchanges and main hedging instruments for metal commodities. This section also covers how micro and macro variables may affect metal prices from the viewpoint of short as well as longer time period. The experimental part consists of three sections. In the first part, multiple regression model with seven explanatory variables was constructed to describe price behavior of nickel. Results were compared after this with information created with comparable simple regression model. Additionally, long time mean price reversion of nickel was studied. In the second part, theoretical price of CF8M alloy was studied by using nickel, ferro-chrome and ferro-molybdenum as explanatory variables. In the last section, cross hedging possibilities for illiquid FeCr -metal was studied with five LME futures. Also this section covers new information concerning possible forthcoming molybdenum future contracts as well. The results of this study confirm, that linear regression models which are based on the assumption of market rationality, are not able to reliably describe price development of metals at issue. Models fulfilling assumptions for linear regression may though include useful information of statistical significant variables which have effect on metal prices. According to the experimental part, short futures were found to incorporate the most accurate information concerning the price movements in the future. However, not even 3M futures were able to predict turning point in the market before the faced slump. Cross hedging seemed to be very doubtful risk management strategy for illiquid metals, because correlations coefficients were found to be very sensitive for the chosen time span.

Liikennebiokaasun tuotannon ja käytön ulkoiset kustannukset Pohjois-Karjalassa

Työn tavoitteena oli selvittää liikennebiokaasuntuotannon ja käytön vaikutus liikenteen ulkoi-siin kustannuksiin Pohjois-Karjalassa. Biokaasua tuotetaan Joensuussa Kuhasalon jäteveden-puhdistamolla sekä Kontiosuon jäteasemalla, Kiteellä biokaasua tuotetaan BioKympin yh-teismädätyslaitoksessa. Lisäksi laskennassa huomioitiin yhden maatilakokoluokan biokaasun-tuotanto. Työssä selvitettiin kaksi skenaariota liikennebiokaasun tuotantomääräksi vuodelle 2015. Liikennebiokaasua voitaisiin tuottaa optimiskenaarion mukaan 3 426 MWh ja maksimi-tuotantoskenaarion mukaan 21 532 MWh. Liikennebiokaasun käytön vaikutukset liikenteen päästöihin laskettiin vuodelle 2015 ja vuo-delle 2020, jolloin liikennebiokaasua käytettäisiin 10 % liikenteen energiantarpeesta Pohjois-Karjalassa. Hiilidioksidipäästöt vähenevät vuoden 2020 tilanteessa samassa suhteessa kuin liikennebiokaasu korvaa fossiilisia polttoaineita. Muista päästöistä merkittävimmät päästövä-hennykset saatiin kun vuoden 2010 dieselautot muutettaisiin biokaasuautoiksi, tällöin hiuk-kaspäästöt alenisivat jopa 18 % vuoden 2010 päästöistä. Lisäksi selvitettiin liikenteen päästöjen pienenemisen vaikutus liikenteen aiheuttamiin ulkoisiin kustannuksiin. Laskettavat ulkoiset kustannukset olivat ilmastonmuutos, pakokaasupäästöt sekä energiariippuvuus. Pakokaasupäästöjen aiheuttamat ulkoiset kustannukset olivat vuonna 2010 noin 7 miljoonaa euroa. Liikennebiokaasua käyttävästä ajoneuvotyypistä riippuen ulkoiset kustannukset laskevat vuoden 2020 tilanteessa 10–16 % vuoden 2010 kustannuksista. Ilmastonmuutoksen ulkoiset kustannukset vuodelle 2010 olivat 9,5 miljoonaa euroa. Biokaasun käytön avulla kustannuksissa voitaisiin säästää 910 000 euroa vuonna 2020. Ener-giariippuvuuden hinta öljynkäytöstä oli vuonna 2010 noin 4,2 miljoonaa euroa ja vuonna 2020 kustannukset voisivat laskea 450 000 euroa.

Price spike forecasting in a competitive day-ahead energy market

Electricity price forecasting has become an important area of research in the aftermath of the worldwide deregulation of the power industry that launched competitive electricity markets now embracing all market participants including generation and retail companies, transmission network providers, and market managers. Based on the needs of the market, a variety of approaches forecasting day-ahead electricity prices have been proposed over the last decades. However, most of the existing approaches are reasonably effective for normal range prices but disregard price spike events, which are caused by a number of complex factors and occur during periods of market stress. In the early research, price spikes were truncated before application of the forecasting model to reduce the influence of such observations on the estimation of the model parameters; otherwise, a very large forecast error would be generated on price spike occasions. Electricity price spikes, however, are significant for energy market participants to stay competitive in a market. Accurate price spike forecasting is important for generation companies to strategically bid into the market and to optimally manage their assets; for retailer companies, since they cannot pass the spikes onto final customers, and finally, for market managers to provide better management and planning for the energy market. This doctoral thesis aims at deriving a methodology able to accurately predict not only the day-ahead electricity prices within the normal range but also the price spikes. The Finnish day-ahead energy market of Nord Pool Spot is selected as the case market, and its structure is studied in detail. It is almost universally agreed in the forecasting literature that no single method is best in every situation. Since the real-world problems are often complex in nature, no single model is able to capture different patterns equally well. Therefore, a hybrid methodology that enhances the modeling capabilities appears to be a possibly productive strategy for practical use when electricity prices are predicted. The price forecasting methodology is proposed through a hybrid model applied to the price forecasting in the Finnish day-ahead energy market. The iterative search procedure employed within the methodology is developed to tune the model parameters and select the optimal input set of the explanatory variables. The numerical studies show that the proposed methodology has more accurate behavior than all other examined methods most recently applied to case studies of energy markets in different countries. The obtained results can be considered as providing extensive and useful information for participants of the day-ahead energy market, who have limited and uncertain information for price prediction to set up an optimal short-term operation portfolio. Although the focus of this work is primarily on the Finnish price area of Nord Pool Spot, given the result of this work, it is very likely that the same methodology will give good results when forecasting the prices on energy markets of other countries.

Stock Price Reactions on M&A, Dividends and Game Releases. Evidence from Gaming Industry.

A rapidly growing gaming industry, which specializes on PC, console, online and other games, attracts attention of investors and analysts, who try to understand what drives changes of the gaming industry companies’ stock prices. This master thesis shows the evidence that, besides long-established types of events (M&A and dividend payments), the companies’ stock price changes depend on industry-specific events. I analyzed specific for gaming industry events - game releases with respect to its subdivisions: new games-sequels, games ratings and subdivision according to a developer of a game (self-developed by publisher or outsourced). The master thesis analyzes stock prices of 55 companies from gaming industry from all over the world. The research period covers 5 year, spreading from April 2008 to April 2013. Executed with an event study method, results of the research show that all the analyzed events types have significant influence on the stock prices of the gaming industry companies. The current master thesis suggests that acquisitions in the industry affect positively bidders’ and targets’ stock prices. Mergers events cause positive stock price reactions as well. But dividends payments and game releases events influence negatively on the stock prices. Game releases’ effect is up to -2.2% of cumulative average abnormal return (CAAR) drop during the first ten days after the game releases. Having researched different kinds of events and identified the direction of their impact, the current paper can be of high value for investors, seeking profits in the gaming industry, and other interested parties.

Economical potential of controlling charging of electric vehicles by using price signal

The number of electric vehicles grows continuously and the implementation of charging electric vehicles is an important issue for the future. Increasing amount of electric vehicles can cause problems to distribution grid by increasing peak load. Currently charging of electric vehicles is uncontrolled, but as the amount of electric vehicles grows, smart charg-ing (controlled charging) will be one possible solution to handle this situation. In this thesis smart charging of electric vehicles is examined from electricity retailers` point of view. The purpose is to find out plausible saving potentials of smart charging, when it´s controlled by price signal. Saving potential is calculated by comparing costs of price signal controlled charging and uncontrolled charging.

Towards sustainable Iron- and steelmaking with economic optimization

The iron and steelmaking industry is among the major contributors to the anthropogenic emissions of carbon dioxide in the world. The rising levels of CO2 in the atmosphere and the global concern about the greenhouse effect and climate change have brought about considerable investigations on how to reduce the energy intensity and CO2 emissions of this industrial sector. In this thesis the problem is tackled by mathematical modeling and optimization using three different approaches. The possibility to use biomass in the integrated steel plant, particularly as an auxiliary reductant in the blast furnace, is investigated. By pre-processing the biomass its heating value and carbon content can be increased at the same time as the oxygen content is decreased. As the compression strength of the preprocessed biomass is lower than that of coke, it is not suitable for replacing a major part of the coke in the blast furnace burden. Therefore the biomass is assumed to be injected at the tuyere level of the blast furnace. Carbon capture and storage is, nowadays, mostly associated with power plants but it can also be used to reduce the CO2 emissions of an integrated steel plant. In the case of a blast furnace, the effect of CCS can be further increased by recycling the carbon dioxide stripped top gas back into the process. However, this affects the economy of the integrated steel plant, as the amount of top gases available, e.g., for power and heat production is decreased. High quality raw materials are a prerequisite for smooth blast furnace operation. High quality coal is especially needed to produce coke with sufficient properties to ensure proper gas permeability and smooth burden descent. Lower quality coals as well as natural gas, which some countries have in great volumes, can be utilized with various direct and smelting reduction processes. The DRI produced with a direct reduction process can be utilized as a feed material for blast furnace, basic oxygen furnace or electric arc furnace. The liquid hot metal from a smelting reduction process can in turn be used in basic oxygen furnace or electric arc furnace. The unit sizes and investment costs of an alternative ironmaking process are also lower than those of a blast furnace. In this study, the economy of an integrated steel plant is investigated by simulation and optimization. The studied system consists of linearly described unit processes from coke plant to steel making units, with a more detailed thermodynamical model of the blast furnace. The results from the blast furnace operation with biomass injection revealed the importance of proper pre-processing of the raw biomass as the composition of the biomass as well as the heating value and the yield are all affected by the pyrolysis temperature. As for recycling of CO2 stripped blast furnace top gas, substantial reductions in the emission rates are achieved if the stripped CO2 can be stored. However, the optimal recycling degree together with other operation conditions is heavily dependent on the cost structure of CO2 emissions and stripping/storage. The economical feasibility related to the use of DRI in the blast furnace depends on the price ratio between the DRI pellets and the BF pellets. The high amount of energy needed in the rotary hearth furnace to reduce the iron ore leads to increased CO2 emissions.

Uusiutuvan energian käyttömahdollisuudet Liikuntakeskus Pajulahdessa

Tämä diplomityö on tehty Lappeenrannan teknillisen yliopiston, Liikuntakeskus Pajulahden ja Nastolan Energiasäätiön yhteisprojektina. Työn tarkoituksena on tutkia aurinkosähköjärjestelmien taloudellista kannattavuutta ostosähkön korvaamisessa Liikuntakeskus Pajulahden kiinteistössä. Työssä tehdään laskelmat aurinkopaneelien tuotoista, tuotetun sähkön hinnasta, investointien takaisinmaksuajoista sekä tuotetun aurinkosähkön synnyttämistä hiilidioksidipäästövähenemistä. Lisäksi tarkastellaan energiaveron vaikutusta pientuotantolaitoksen kannattavuuteen. Tämän hetkisillä aurinkosähköjärjestelmien hinnoilla pystytään tuottamaan puhdasta, ympäristöystävällistä sähköä kilpailukykyiseen hintaan. Työssä tehdään yleiskatsaus myös muiden uusiutuviin energialähteisiin perustuvien tuotantomenetelmien käyttömahdollisuuksista. Yhtenä erityistarkastelunkohteena on Pajulahden monitoimihalliin vuonna 2008 suunniteltu vesistöä lämmönlähteenä käyttävä lämpöpumppujärjestelmä, jonka toteutukseen ei saatu tarvittavia lupia. Tarkastelussa tutkitaan myös aiemmin Suomessa toteutettuja vastaavia hankkeita ja niiden lupien saantia. Lisäksi on haettu tosiasioihin perustuvia argumentteja keskusteluun vesistölämmön hyödyntämisestä. Tarkastelun kohteena oleva vesistölämpöhanke voidaan todeta olevan erittäin kannattava, taloudellisesti sekä ympäristöllisesti. Tutkimuksen pohjalta Nastolan Energiasäätiölle tuotetaan havainnollinen ja selkeä aineisto aurinkoenergian hyödyntämismahdollisuuksista Nastolan kunnassa.

Commodity Future Price Premiums – Case EU ETS

The purpose of this thesis was to study commodity future price premiums and their nature on emission allowance markets. The EUA spot and future contracts traded on the secondary market during EU ETS Phase 2 and Phase 3 were selected for empirical testing. The cointegration of spot and future prices was examined with Johansen cointegration methodology. Daily interest rates with a similar tenor to the future contract maturity were used in the cost-of-carry model to calculate the theoretical future prices and to estimate the deviation from the fair value of future contracts, assumed to be explained by the convenience yield. The time-varying dependence of the convenience yield was studied by regression testing the correlation between convenience yield and the time to maturity of the future contract. The results indicated cointegration between spot and future prices, albeit depending on assumptions on linear trend and intercept in cointegration vector Dec-14 and Dec-15 contracts. The convenience yield correlates positively with the time-to-maturity of the future contract during Phase 2, but negatively during Phase 3. The convenience yield featured positive correlation with spot price volatility and negative correlation with future price volatility during both Phases 2 and 3.