Principal component and second generation wavelet analysis of Treasury yield curve evolution

Prices of U.S. Treasury securities vary over time and across maturities. When the market in Treasurys is sufficiently complete and frictionless, these prices may be modeled by a function time and maturity. A cross-section of this function for time held fixed is called the yield curve; the aggregate of these sections is the evolution of the yield curve. This dissertation studies aspects of this evolution. ^ There are two complementary approaches to the study of yield curve evolution here. The first is principal components analysis; the second is wavelet analysis. In both approaches both the time and maturity variables are discretized. In principal components analysis the vectors of yield curve shifts are viewed as observations of a multivariate normal distribution. The resulting covariance matrix is diagonalized; the resulting eigenvalues and eigenvectors (the principal components) are used to draw inferences about the yield curve evolution. ^ In wavelet analysis, the vectors of shifts are resolved into hierarchies of localized fundamental shifts (wavelets) that leave specified global properties invariant (average change and duration change). The hierarchies relate to the degree of localization with movements restricted to a single maturity at the base and general movements at the apex. Second generation wavelet techniques allow better adaptation of the model to economic observables. Statistically, the wavelet approach is inherently nonparametric while the wavelets themselves are better adapted to describing a complete market. ^ Principal components analysis provides information on the dimension of the yield curve process. While there is no clear demarkation between operative factors and noise, the top six principal components pick up 99% of total interest rate variation 95% of the time. An economically justified basis of this process is hard to find; for example a simple linear model will not suffice for the first principal component and the shape of this component is nonstationary. ^ Wavelet analysis works more directly with yield curve observations than principal components analysis. In fact the complete process from bond data to multiresolution is presented, including the dedicated Perl programs and the details of the portfolio metrics and specially adapted wavelet construction. The result is more robust statistics which provide balance to the more fragile principal components analysis. ^

Next generation high density three-dimensional magnetic recording systems

This work is the first work using patterned soft underlayers in multilevel three-dimensional vertical magnetic data storage systems. The motivation stems from an exponentially growing information stockpile, and a corresponding need for more efficient storage devices with higher density. The world information stockpile currently exceeds 150EB (ExaByte=1x1018Bytes); most of which is in analog form. Among the storage technologies (semiconductor, optical and magnetic), magnetic hard disk drives are posed to occupy a big role in personal, network as well as corporate storage. However; this mode suffers from a limit known as the Superparamagnetic limit; which limits achievable areal density due to fundamental quantum mechanical stability requirements. There are many viable techniques considered to defer superparamagnetism into the 100's of Gbit/in2 such as: patterned media, Heat-Assisted Magnetic Recording (HAMR), Self Organized Magnetic Arrays (SOMA), antiferromagnetically coupled structures (AFC), and perpendicular magnetic recording. Nonetheless, these techniques utilize a single magnetic layer; and can thusly be viewed as two-dimensional in nature. In this work a novel three-dimensional vertical magnetic recording approach is proposed. This approach utilizes the entire thickness of a magnetic multilayer structure to store information; with potential areal density well into the Tbit/in2 regime. ^ There are several possible implementations for 3D magnetic recording; each presenting its own set of requirements, merits and challenges. The issues and considerations pertaining to the development of such systems will be examined, and analyzed using empirical and numerical analysis techniques. Two novel key approaches are proposed and developed: (1) Patterned soft underlayer (SUL) which allows for enhanced recording of thicker media, (2) A combinatorial approach for 3D media development that facilitates concurrent investigation of various film parameters on a predefined performance metric. A case study is presented using combinatorial overcoats of Tantalum and Zirconium Oxides for corrosion protection in magnetic media. ^ Feasibility of 3D recording is demonstrated, and an emphasis on 3D media development is emphasized as a key prerequisite. Patterned SUL shows significant enhancement over conventional "un-patterned" SUL, and shows that geometry can be used as a design tool to achieve favorable field distribution where magnetic storage and magnetic phenomena are involved. ^

Education policy and national income distribution: New evidence from recent cross -country data

In the mid 19th century, Horace Mann insisted that a broad provision of public schooling should take precedence over the liberal education of an elite group. In that regard, his generation constructed a state sponsored common schooling enterprise to educate the masses. More than 100 years later, the institution of public schooling fails to maintain an image fully representative of the ideals of equity and inclusion. Critical theory in educational thought associates the dominant practice of functional schooling with maintenance of the status quo, an unequal distribution of financial, political, and social resources. This study examined the empirical basis for the association of public schooling with the status quo using the most recent and comparable cross-country income inequality data. Multiple regression analysis evaluated the possible relationship between national income inequality change over the period 1985-2005 and variables representative of national measures of education supply in the prior decade. The estimated model of income inequality development attempted to quantify the relationship between education supply factors and subsequent income inequality developments by controlling for economic, demographic, and exogenous factors. The sample included all nations with comparable income inequality data over the measurement period, N = 56. Does public school supply affect national income distribution? The estimated model suggested that an increase in the average years of schooling among the population age 15 years or older, measured over the period 1975-1985, provided a mechanism that resulted in a more equal distribution of income over the period 1985-2005 among low and lower-middle income nations. The model also suggested that income inequality increased less or decreased more in smaller economies and when the percentage of the population age < 15 years grew more slowly over the period 1985-2000. In contrast, this study identified no significant relationship between school supply changes measured over prior periods and income inequality development over the period 1985-2005 among upper-middle and high income nations.

Distribution network reconfiguration validation with uncertain loads - network configuration determination and application

Automatic load transfer (ALT) on the 11 kV network is the process by which circuit breakers on the network are switched to form open points in order to feed load from different primary substations. Some of the potential benefits that may be gained from dynamically using ALT include maximising utilisation of existing assets, voltage regulation and reduced losses. One of the key issues, that has yet to be properly addressed in published research, is how to validate that the modelled benefits really exist. On an 11 kV distribution network where the load is continually changing and the load on each distribution substation is unlikely to be monitored - reduction in losses from moving the normally open point is particularly difficult to prove. This study proposes a method to overcome this problem and uses measured primary feeder data from two parts of the Western Power Distribution 11 kV Network under different configurations. The process of choosing the different configurations is based on a heuristic modelling method of locating minimum voltages to help reduce losses.

The distribution of meiofauna in surface sediments of the Fladen Ground, North Sea

A general study of structure, biomass, and dynamic estimates on meiofauna was carried out during PREFLEX (1975) and FLEX (1976), in 117- 141 m water depth. On the basis of these data an attempt was made to estimate meiofauna production, and this is discussed in relation to the energy input from the spring phytoplankton bloom. Sampling was performed at five stations, but only the stations 1, 4, and 5 were covered by a complete series from August 1975 to July 1976. At each station, from four replicate box core samples, two were withdrawn to study the abundance, distribution, and biomass of meiofauna, the content of chloroplastic pigment equivalents (CPE), and chemical and grain size analyses. At all stations grain size fell in the range of fine sand having median diameters (MD) of < 125 µm. From station 1 to 5 an increase in MD was observed. Highest values of CPE (7.81 µg m l**-1) and organic matter (4.7 %) were obtained in June and July (1976)/ August (1975), respectively. Meiofauna abundance was fairly uniform at all stations examined. Station 1 displayed maximal numbers during the whole investigation period. The abundance per 100 cm**2 varied between 15,550 and 34,900 organisms. All meiofauna studied both in total and as separate taxa showed annual cycles of abundance. Low abundance values were recorded during early summer, and maximum values during winter. High numbers of Foraminifera were obtained for August 1975 (9,460 per 100 cm**2) and July 1976 (9,710 per 100 cm**2). From December to June the values decreased from 3,280 to 1,030 per 100 cm**2. At station 1 maximum values of meiofauna biomass were recorded ranging from 1.5 to 2.7 g DWT m**-2. The mean meiofauna dry weight amounted to 2.1 g DWT m**-2. Based on minimum production, the P/B ratio for the area of station 1 might have a mean of 1.4. Taking into consideration generation times we believe that a turnover ratio of 2 is a conservative value for the Fladen Ground meiofauna. The annual production would amount to 4.2 g DWT m**-2 yr**-1. This is 27.5 % of the energy supply during the spring phytoplankton bloom, which is channelled into the meiofauna. The hypothesis is put forward that the energetic strategy of deep offshore meiofauna differs distinctively from that of shallow inshore meiofauna. While the shallow inshore meiofauna show a relatively fast response to organic matter input, the deep offshore meiofauna reacts much more slowly, the food energy consumption seems to be spread out over a longer period.

Optimal generation scheduling of interconnected wind-coal intensive power systems

Large scale wind power generation complicated with restrictions on the tie line plans may lead to significant wind power curtailment and deep cycling of coal units during the valley load periods. This study proposes a dispatch strategy for interconnected wind-coal intensive power systems (WCISs). Wind power curtailment and cycling of coal units are included in the economic dispatch analysis of regional systems. Based on the day-ahead dispatch results, a tie line power plan adjustment strategy is implemented in the event of wind power curtailment or deep cycling occurring in the economic dispatch model, with the objective of reducing such effects. The dispatch strategy is designed based on the distinctive operation characteristics of interconnected WCISs, and dispatch results for regional systems in China show that the proposed strategy is feasible and can improve the overall system operation performance.

Local Storage Meets Local Demand: A Technical Solution to Future Power Distribution System

Future power systems are expected to integrate large-scale stochastic and intermittent generation and load due to reduced use of fossil fuel resources, including renewable energy sources (RES) and electric vehicles (EV). Inclusion of such resources poses challenges for the dynamic stability of synchronous transmission and distribution networks, not least in terms of generation where system inertia may not be wholly governed by large-scale generation but displaced by small-scale and localised generation. Energy storage systems (ESS) can limit the impact of dispersed and distributed generation by offering supporting reserve while accommodating large-scale EV connection; the latter (load) also participating in storage provision. In this paper, a local energy storage system (LESS) is proposed. The structure, requirement and optimal sizing of the LESS are discussed. Three operating modes are detailed, including: 1) storage pack management; 2) normal operation; and 3) contingency operation. The proposed LESS scheme is evaluated using simulation studies based on data obtained from the Northern Ireland regional and residential network.

A probabilistic approach to the estimation of regional photovoltaic power generation using meteorological data

In Germany the upscaling algorithm is currently the standard approach for evaluating the PV power produced in a region. This method involves spatially interpolating the normalized power of a set of reference PV plants to estimate the power production by another set of unknown plants. As little information on the performances of this method could be found in the literature, the first goal of this thesis is to conduct an analysis of the uncertainty associated to this method. It was found that this method can lead to large errors when the set of reference plants has different characteristics or weather conditions than the set of unknown plants and when the set of reference plants is small. Based on these preliminary findings, an alternative method is proposed for calculating the aggregate power production of a set of PV plants. A probabilistic approach has been chosen by which a power production is calculated at each PV plant from corresponding weather data. The probabilistic approach consists of evaluating the power for each frequently occurring value of the parameters and estimating the most probable value by averaging these power values weighted by their frequency of occurrence. Most frequent parameter sets (e.g. module azimuth and tilt angle) and their frequency of occurrence have been assessed on the basis of a statistical analysis of parameters of approx. 35 000 PV plants. It has been found that the plant parameters are statistically dependent on the size and location of the PV plants. Accordingly, separate statistical values have been assessed for 14 classes of nominal capacity and 95 regions in Germany (two-digit zip-code areas). The performances of the upscaling and probabilistic approaches have been compared on the basis of 15 min power measurements from 715 PV plants provided by the German distribution system operator LEW Verteilnetz. It was found that the error of the probabilistic method is smaller than that of the upscaling method when the number of reference plants is sufficiently large (>100 reference plants in the case study considered in this chapter). When the number of reference plants is limited (<50 reference plants for the considered case study), it was found that the proposed approach provides a noticeable gain in accuracy with respect to the upscaling method.

Saccharomycotin transcriptomics by next-generation sequencing

The non-standard decoding of the CUG codon in Candida cylindracea raises a number of questions about the evolutionary process of this organism and other species Candida clade for which the codon is ambiguous. In order to find some answers we studied the transcriptome of C. cylindracea, comparing its behavior with that of Saccharomyces cerevisiae (standard decoder) and Candida albicans (ambiguous decoder). The transcriptome characterization was performed using RNA-seq. This approach has several advantages over microarrays and its application is booming. TopHat and Cufflinks were the software used to build the protocol that allowed for gene quantification. About 95% of the reads were mapped on the genome. 3693 genes were analyzed, of which 1338 had a non-standard start codon (TTG/CTG) and the percentage of expressed genes was 99.4%. Most genes have intermediate levels of expression, some have little or no expression and a minority is highly expressed. The distribution profile of the CUG between the three species is different, but it can be significantly associated to gene expression levels: genes with fewer CUGs are the most highly expressed. However, CUG content is not related to the conservation level: more and less conserved genes have, on average, an equal number of CUGs. The most conserved genes are the most expressed. The lipase genes corroborate the results obtained for most genes of C. cylindracea since they are very rich in CUGs and nothing conserved. The reduced amount of CUG codons that was observed in highly expressed genes may be due, possibly, to an insufficient number of tRNA genes to cope with more CUGs without compromising translational efficiency. From the enrichment analysis, it was confirmed that the most conserved genes are associated with basic functions such as translation, pathogenesis and metabolism. From this set, genes with more or less CUGs seem to have different functions. The key issues on the evolutionary phenomenon remain unclear. However, the results are consistent with previous observations and shows a variety of conclusions that in future analyzes should be taken into consideration, since it was the first time that such a study was conducted.

Gaussian entanglement for quantum key distribution from a single-mode squeezing source

We report the suitability of an Einstein-Podolsky-Rosen entanglement source for Gaussian continuous-variable quantum key distribution at 1550 nm. Our source is based on a single continuous-wave squeezed vacuum mode combined with a vacuum mode at a balanced beam splitter. Extending a recent security proof, we characterize the source by quantifying the extractable length of a composable secure key from a finite number of samples under the assumption of collective attacks. We show that distances in the order of 10 km are achievable with this source for a reasonable sample size despite the fact that the entanglement was generated including a vacuum mode. Our security analysis applies to all states having an asymmetry in the field quadrature variances, including those generated by superposition of two squeezed modes with different squeezing strengths.

An Estimation of Distribution Algorithm with Intelligent Local Search for Rule-based Nurse Rostering

This paper proposes a new memetic evolutionary algorithm to achieve explicit learning in rule-based nurse rostering, which involves applying a set of heuristic rules for each nurse's assignment. The main framework of the algorithm is an estimation of distribution algorithm, in which an ant-miner methodology improves the individual solutions produced in each generation. Unlike our previous work (where learning is implicit), the learning in the memetic estimation of distribution algorithm is explicit, i.e. we are able to identify building blocks directly. The overall approach learns by building a probabilistic model, i.e. an estimation of the probability distribution of individual nurse-rule pairs that are used to construct schedules. The local search processor (i.e. the ant-miner) reinforces nurse-rule pairs that receive higher rewards. A challenging real world nurse rostering problem is used as the test problem. Computational results show that the proposed approach outperforms most existing approaches. It is suggested that the learning methodologies suggested in this paper may be applied to other scheduling problems where schedules are built systematically according to specific rules.

An Estimation of Distribution Algorithm with Intelligent Local Search for Rule-based Nurse Rostering

This paper proposes a new memetic evolutionary algorithm to achieve explicit learning in rule-based nurse rostering, which involves applying a set of heuristic rules for each nurse's assignment. The main framework of the algorithm is an estimation of distribution algorithm, in which an ant-miner methodology improves the individual solutions produced in each generation. Unlike our previous work (where learning is implicit), the learning in the memetic estimation of distribution algorithm is explicit, i.e. we are able to identify building blocks directly. The overall approach learns by building a probabilistic model, i.e. an estimation of the probability distribution of individual nurse-rule pairs that are used to construct schedules. The local search processor (i.e. the ant-miner) reinforces nurse-rule pairs that receive higher rewards. A challenging real world nurse rostering problem is used as the test problem. Computational results show that the proposed approach outperforms most existing approaches. It is suggested that the learning methodologies suggested in this paper may be applied to other scheduling problems where schedules are built systematically according to specific rules.

Hydrothermal-vent alvinellid polychaete dispersal in the eastern Pacific .1. Influence of vent site distribution, bottom currents, and biological patterns

Deep-sea hydrothermal-vent habitats are typically linear, discontinuous, and short-lived. Some of the vent fauna such as the endemic polychaete family Alvinellidae are thought to lack a planktotrophic larval stage and therefore not to broadcast-release their offspring. The genetic evidence points to exchanges on a scale that seems to contradict this type of reproductive pattern. However, the rift valley may topographically rectify the bottom currents, thereby facilitating the dispersal of propagules between active vent sites separated in some cases by 10s of kilometers or more along the ridge axis. A propagule flux model based on a matrix of intersite distances, long-term current-meter data, and information on the biology and ecology of Alvinellidae was developed to test this hypothesis. Calculations of the number of migrants exchanged between two populations per generation (N-m) allowed comparisons with estimates obtained from genetic studies. N, displays a logarithmic decrease with increasing dispersal duration and reaches the critical value of 1 after 8 d when the propagule Aux model was run in standard conditions. At most, propagule traveling time cannot reasonably exceed 15-30 d, according to the model, whereas reported distances between sites would require longer lasting dispersal abilities. Two nonexclusive explanations are proposed. First, some aspects of the biology of Alvinellidae have been overlooked and long-distance dispersal does occur. Second, such dispersal never occurs in Alvinellidae, but the spatial-temporal dynamics of vent sites over geological timescales allows short-range dispersal processes to maintain gene flow.

An Islanding Detection Method based on Impedance Estimation and Grid Identification for Grid-Tie Distributed Power Generation Systems

Power system policies are broadly on track to escalate the use of renewable energy resources in electric power generation. Integration of dispersed generation to the utility network not only intensifies the benefits of renewable generation but also introduces further advantages such as power quality enhancement and freedom of power generation for the consumers. However, issues arise from the integration of distributed generators to the existing utility grid are as significant as its benefits. The issues are aggravated as the number of grid-connected distributed generators increases. Therefore, power quality demands become stricter to ensure a safe and proper advancement towards the emerging smart grid. In this regard, system protection is the area that is highly affected as the grid-connected distributed generation share in electricity generation increases. Islanding detection, amongst all protection issues, is the most important concern for a power system with high penetration of distributed sources. Islanding occurs when a portion of the distribution network which includes one or more distributed generation units and local loads is disconnected from the remaining portion of the grid. Upon formation of a power island, it remains energized due to the presence of one or more distributed sources. This thesis introduces a new islanding detection technique based on an enhanced multi-layer scheme that shows superior performance over the existing techniques. It provides improved solutions for safety and protection of power systems and distributed sources that are capable of operating in grid-connected mode. The proposed active method offers negligible non-detection zone. It is applicable to micro-grids with a number of distributed generation sources without sacrificing the dynamic response of the system. In addition, the information obtained from the proposed scheme allows for smooth transition to stand-alone operation if required. The proposed technique paves the path towards a comprehensive protection solution for future power networks. The proposed method is converter-resident and all power conversion systems that are operating based on power electronics converters can benefit from this method. The theoretical analysis is presented, and extensive simulation results confirm the validity of the analytical work.