Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.

A new control strategy with saturation effect compensation for an autonomous induction generator drivenby wide speed range turbines

This paper presents a variable speed autonomous squirrel cage generator excited by a current-controlled voltage source inverter to be used in stand-alone micro-hydro power plants. The paper proposes a system control strategy aiming to properly excite the machine as well as to achieve the load voltage control. A feed-forward control sets the appropriate generator flux by taking into account the actual speed and the desired load voltage. A load voltage control loop is used to adjust the generated active power in order to sustain the load voltage at a reference value. The control system is based on a rotor flux oriented vector control technique which takes into account the machine saturation effect. The proposed control strategy and the adopted system models were validated both by numerical simulation and by experimental results obtained from a laboratory prototype. Results covering the prototype start-up, as well as its steady-state and dynamical behavior are presented. (C) 2011 Elsevier Ltd. All rights reserved.

Long-term price range forecast applied to risk management using regression models

Long-term contractual decisions are the basis of an efficient risk management. However those types of decisions have to be supported with a robust price forecast methodology. This paper reports a different approach for long-term price forecast which tries to give answers to that need. Making use of regression models, the proposed methodology has as main objective to find the maximum and a minimum Market Clearing Price (MCP) for a specific programming period, and with a desired confidence level α. Due to the problem complexity, the meta-heuristic Particle Swarm Optimization (PSO) was used to find the best regression parameters and the results compared with the obtained by using a Genetic Algorithm (GA). To validate these models, results from realistic data are presented and discussed in detail.

Microstrip antenna array for multiband dedicated short range communications systems

Dedicated Short Range Communications (DSRC) is the key enabling technology for the present and future vehicular communication for various applications, such as safety improvement and traffic jam mitigation. This paper describes the development of a microstrip antenna array for the roadside equipment of a DSRC system, whose characteristics are according with the vehicular communications standards. The proposed antenna, with circular polarization, has a wide bandwidth, enough to cover the current European DSRC 5.8 GHz band and the future 5.9 GHz band for next generation DSRC communications. (C) 2011 Wiley Periodicals, Inc. Microwave Opt Technol Lett 53: 2794-2796, 2011; View this article online at wileyonlinelibrary.com. DOI 10.1002/mop.26394

Semiconductor Device as Optical Demultiplexer for Short Range Optical Communications

In this paper we present results on the use of a multilayered a-SiC:H heterostructure as a wavelength-division demultiplexing device for the visible light spectrum. The proposed device is composed of two stacked p-i-n photodiodes with intrinsic absorber regions adjusted to short and long wavelength absorption and carrier collection. An optoelectronic characterisation of the device was performed in the visible spectrum. Demonstration of the device functionality for WDM applications was done with three different input channels covering the long, the medium and the short wavelengths in the visible range. The recovery of the input channels is explained using the photocurrent spectral dependence on the applied voltage. An electrical model of the WDM device is proposed and supported by the solution of the respective circuit equations. Short range optical communications constitute the major application field, however other applications are also foreseen.

A decision-support system based on particle swarm optimization for multiperiod hedging in electricity markets

This paper proposes a particle swarm optimization (PSO) approach to support electricity producers for multiperiod optimal contract allocation. The producer risk preference is stated by a utility function (U) expressing the tradeoff between the expectation and variance of the return. Variance estimation and expected return are based on a forecasted scenario interval determined by a price range forecasting model developed by the authors. A certain confidence level is associated to each forecasted scenario interval. The proposed model makes use of contracts with physical (spot and forward) and financial (options) settlement. PSO performance was evaluated by comparing it with a genetic algorithm-based approach. This model can be used by producers in deregulated electricity markets but can easily be adapted to load serving entities and retailers. Moreover, it can easily be adapted to the use of other type of contracts.

A long-term swarm intelligence hedging tool applied to electricity markets

This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated by a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance estimation and the expected return are based on a forecasted scenario interval determined by a long-term price range forecast model, developed by the authors, whose explanation is outside the scope of this paper. The proposed tool makes use of Particle Swarm Optimization (PSO) and its performance has been evaluated by comparing it with a Genetic Algorithm (GA) based approach. To validate the risk management tool a case study, using real price historical data for mainland Spanish market, is presented to demonstrate the effectiveness of the proposed methodology.

A long-term risk management tool for electricity markets using swarm intelligence

This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn.

A hybrid MLS technique for room impulse response estimation

The measurement of room impulse response (RIR) when there are high background noise levels frequently means one must deal with very low signal-to-noise ratios (SNR). if such is the case, the measurement might yield unreliable results, even when synchronous averaging techniques are used. Furthermore, if there are non-linearities in the apparatus or system time variances, the final SNR can be severely degraded. The test signals used in RIR measurement are often disturbed by non-stationary ambient noise components. A novel approach based on the energy analysis of ambient noise - both in the time and in frequency - was considered. A modified maximum length sequence (MLS) measurement technique. referred to herein as the hybrid MLS technique, was developed for use in room acoustics. The technique consists of reducing the noise energy of the captured sequences before applying the averaging technique in order to improve the overall SNRs and frequency response accuracy. Experiments were conducted under real conditions with different types of underlying ambient noises. Results are shown and discussed. Advantages and disadvantages of the hybrid MLS technique over standard MLS technique are evaluated and discussed. Our findings show that the new technique leads to a significant increase in the overall SNR. (C) 2008 Elsevier Ltd. All rights reserved.

Potential distribution and cost estimation of the damage caused by Cryptotermes brevis (Isoptera: Kalotermitidae) in the Azores

Copyright © 2014 Entomological Society of America.

A procura de gasolina em Portugal no período 1960-2008 : cálculo das elasticidades de curto e longo prazo

Dissertação de Mestrado em Ciências Empresariais.

Capillary bridging and long-range attractive forces in a mean-field approach

When a mixture is confined, one of the phases can condense out. This condensate, which is otherwise metastable in the bulk, is stabilized by the presence of surfaces. In a sphere-plane geometry, routinely used in atomic force microscope and surface force apparatus, it, can form a bridge connecting the surfaces. The pressure drop in the bridge gives rise to additional long-range attractive forces between them. By minimizing the free energy of a binary mixture we obtain the force-distance curves as well as the structural phase diagram of the configuration with the bridge. Numerical results predict a discontinuous transition between the states with and without the bridge and linear force-distance curves with hysteresis. We also show that similar phenomenon can be observed in a number of different systems, e.g., liquid crystals and polymer mixtures. (C). 2004 American Institute of Physics.

Soil remediation time to achieve clean-up goals I: influence of soil water content

The current models are not simple enough to allow a quick estimation of the remediation time. This work reports the development of an easy and relatively rapid procedure for the forecasting of the remediation time using vapour extraction. Sandy soils contaminated with cyclohexane and prepared with different water contents were studied. The remediation times estimated through the mathematical fitting of experimental results were compared with those of real soils. The main objectives were: (i) to predict, through a simple mathematical fitting, the remediation time of soils with water contents different from those used in the experiments; (ii) to analyse the influence of soil water content on the: (ii1) remediation time; (ii2) remediation efficiency; and (ii3) distribution of contaminants in the different phases present into the soil matrix after the remediation process. For sandy soils with negligible contents of clay and natural organic matter, artificially contaminated with cyclohexane before vapour extraction, it was concluded that (i) if the soil water content belonged to the range considered in the experiments with the prepared soils, then the remediation time of real soils of similar characteristics could be successfully predicted, with relative differences not higher than 10%, through a simple mathematical fitting of experimental results; (ii) increasing soil water content from 0% to 6% had the following consequences: (ii1) increased remediation time (1.8–4.9 h, respectively); (ii2) decreased remediation efficiency (99–97%, respectively); and (ii3) decreased the amount of contaminant adsorbed onto the soil and in the non-aqueous liquid phase, thus increasing the amount of contaminant in the aqueous and gaseous phases.

Does diaphragmatic breathing technique really improve its range of motion? An objective assessment

Purpose - To verify the results of a diaphragmatic breathing technique (DBT) on diaphragmatic range of motion in healthy subjects. Methods - A total of 51 healthy subjects (10 male; 41 female), mean age 20 years old and a body mass index (BMI) ranging from 15.6 to 34.9 kg/m2, were enrolled in this study. Diaphragmatic range of motion was assessed by M-mode ultrasound imaging. Measurements were made before and after the DBT implementation in a standard protocol, based on 3 seconds of inspiration starting from a maximum expiration. Differences between assessments were analyzed by descriptive statistics and t-test (p < 0.05). Results - Mean value range of motion before DBT was 55.3 ± 13.4 mm and after DBT was 63.8 ± 13.2 mm showing a significant improvement of 8.5 ± 14.7 mm (p < 0.001). A strong correlation between the slope and the range of motion was found (r = 0.71, p < 0.001). Conclusions - Based on ultrasound measurements, it has been proved that DBT really contributes to a higher diaphragmatic range of motion. Future studies are needed in order to understand the influence of protocol parameters (e.g. inspiration time). Clinical implications - In the contest of evidence-based practice in physiotherapy, it has been showed by objective measurements that DBT improves the diaphragm range of motion, translating into a more efficient ventilatory function and thus can be used in clinical setting. To our knowledge this is the first study to assess the effects of DBT on range of motion of diaphragm muscle with ultrasound imaging.

Estimation of pollutant partition in sandy soils with different water contents

The objectives of this work were: (1) to identify an isotherm model to relate the contaminant contents in the gas phase with those in the solid and non-aqueous liquid phases; (2) to develop a methodology for the estimation of the contaminant distribution in the different phases of the soil; and (3) to evaluate the influence of soil water content on the contaminant distribution in soil. For sandy soils with negligible contents of clay and natural organic matter, contaminated with benzene, toluene, ethylbenzene, xylene, trichloroethylene (TCE), and perchloroethylene (PCE), it was concluded that: (1) Freundlich’s model showed to be adequate to relate the contaminant contents in the gas phase with those in the solid and non-aqueous liquid phases; (2) the distribution of the contaminants in the different phases present in the soil could be estimated with differences lower than 10% for 83% of the cases; and (3) an increase of the soil water content led to a decrease of the amount of contaminant in the solid and non-aqueous liquid phases, increasing the amount in the other phases.