Testing for financial crashes using the Log Periodic Power Law model

Many papers claim that a Log Periodic Power Law (LPPL) model fitted to financial market bubbles that precede large market falls or 'crashes', contains parameters that are confined within certain ranges. Further, it is claimed that the underlying model is based on influence percolation and a martingale condition. This paper examines these claims and their validity for capturing large price falls in the Hang Seng stock market index over the period 1970 to 2008. The fitted LPPLs have parameter values within the ranges specified post hoc by Johansen and Sornette (2001) for only seven of these 11 crashes. Interestingly, the LPPL fit could have predicted the substantial fall in the Hang Seng index during the recent global downturn. Overall, the mechanism posited as underlying the LPPL model does not do so, and the data used to support the fit of the LPPL model to bubbles does so only partially. © 2013.

Power spectrum model of visual masking: simulations and empirical data

In the study of the spatial characteristics of the visual channels, the power spectrum model of visual masking is one of the most widely used. When the task is to detect a signal masked by visual noise, this classical model assumes that the signal and the noise are previously processed by a bank of linear channels and that the power of the signal at threshold is proportional to the power of the noise passing through the visual channel that mediates detection. The model also assumes that this visual channel will have the highest ratio of signal power to noise power at its output. According to this, there are masking conditions where the highest signal-to-noise ratio (SNR) occurs in a channel centered in a spatial frequency different from the spatial frequency of the signal (off-frequency looking). Under these conditions the channel mediating detection could vary with the type of noise used in the masking experiment and this could affect the estimation of the shape and the bandwidth of the visual channels. It is generally believed that notched noise, white noise and double bandpass noise prevent off-frequency looking, and high-pass, low-pass and bandpass noises can promote it independently of the channel's shape. In this study, by means of a procedure that finds the channel that maximizes the SNR at its output, we performed numerical simulations using the power spectrum model to study the characteristics of masking caused by six types of one-dimensional noise (white, high-pass, low-pass, bandpass, notched, and double bandpass) for two types of channel's shape (symmetric and asymmetric). Our simulations confirm that (1) high-pass, low-pass, and bandpass noises do not prevent the off-frequency looking, (2) white noise satisfactorily prevents the off-frequency looking independently of the shape and bandwidth of the visual channel, and interestingly we proved for the first time that (3) notched and double bandpass noises prevent off-frequency looking only when the noise cutoffs around the spatial frequency of the signal match the shape of the visual channel (symmetric or asymmetric) involved in the detection. In order to test the explanatory power of the model with empirical data, we performed six visual masking experiments. We show that this model, with only two free parameters, fits the empirical masking data with high precision. Finally, we provide equations of the power spectrum model for six masking noises used in the simulations and in the experiments.

Estudo das limitações impostas ao amortecimento de oscilações eletromecânicas pelos zeros da FTMA de controladores suplementares

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Melhora da estabilidade dinâmica de sistemas elétricos de potência multimáquinas usando o dispositivo facts thyristor-controlled series capacitor - TCSC

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A comparative study of the damping oscillation function of TCSC and UPFC

The main objective of this work is to analyze the ability of FACTS devices like TCSC and UPFC to damp low frequency oscillations and a POD controller is also included. A comparative study of damping effect of those devices IS carried out. The Power Sensitivity Model (PSM) is used to the representation of the electric power system. Sensibility analysis using the residue method shows the best place for the installation of FACTS and the procedure to determine POD parameters. ©2008 IEEE.

Comparação entre modelos do dispositivo FACTS STATCOM para o estudo da estabilidade a pequenas perturbações

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

O modelo de injeção de potência do TCSC e sua aplicação no estudo da estabilidade a pequenas perturbações

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Ajuste de parâmetros de controladores suplementares (POD) através de redes neurais artificiais em dispositivos FACTS TCSC e SSSC

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estudo da estabilidade a pequenas perturbações de sistemas elétricos multimáquinas com dispositivos FACTS do tipo SSSC e controladores suplementares (POD e PSS)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estudo da estabilidade a pequenas perturbações de sistemas elétricos de potência multimáquinas sob a ação dos controladores FACTS TCSC e UPFC

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Utilização de redes neurais artificiais no ajuste de controladores suplementares e dispositivo FACTS STATCOM para a melhoria da estabilidade a pequenas perturbações do sistema elétrico de potência

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Análise dos zeros da FTMA e ajuste de parâmetros de controladores suplementares de amortecimento acoplado ao dispositivo FACTS UPFC

Pós-graduação em Engenharia Elétrica - FEIS

Modelos lineares de sistemas elétricos de potência: um estudo comparativo

Pós-graduação em Engenharia Elétrica - FEIS

Métodos de otimização aplicados no ajuste de ESPS e controladores de amortecimento inseridos no FACTS TCSC em sistemas elétricos de potência

Pós-graduação em Engenharia Elétrica - FEIS

Power buffer with model predictive control for stability of vehicular power systems with constant power loads

Electrification of vehicular systems has gained increased momentum in recent years with particular attention to constant power loads (CPLs). Since a CPL potentially threatens system stability, stability analysis of hybrid electric vehicle with CPLs becomes necessary. A new power buffer configuration with battery is introduced to mitigate the effect of instability caused by CPLs. Model predictive control (MPC) is applied to regulate the power buffer to decouple source and load dynamics. Moreover, MPC provides an optimal tradeoff between modification of load impedance, variation of dc-link voltage and battery current ripples. This is particularly important during transients or starting of system faults, since battery response is not very fast. Optimal tradeoff becomes even more significant when considering low-cost power buffer without battery. This paper analyzes system models for both voltage swell and voltage dip faults. Furthermore, a dual mode MPC algorithm is implemented in real time offering improved stability. A comprehensive set of experimental results is included to verify the efficacy of the proposed power buffer.