Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence

Thesis (Ph.D.)--University of Washington, 2016-06

Geometry and Optimization of Relative Arbitrage

Thesis (Ph.D.)--University of Washington, 2016-06

Optimization of pipeline transport for CO2 sequestration

Coal fired power generation will continue to provide energy to the world for the foreseeable future. However, this energy use is a significant contributor to increased atmospheric CO2 concentration and, hence, global warming. Capture and disposal Of CO2 has received increased R&D attention in the last decade as the technology promises to be the most cost effective for large scale reductions in CO2 emissions. This paper addresses CO2 transport via pipeline from capture site to disposal site, in terms of system optimization, energy efficiency and overall economics. Technically, CO2 can be transported through pipelines in the form of a gas, a supercritical. fluid or in the subcooled liquid state. Operationally, most CO2 pipelines used for enhanced oil recovery transport CO2 as a supercritical fluid. In this paper, supercritical fluid and subcooled liquid transport are examined and compared, including their impacts on energy efficiency and cost. Using a commercially available process simulator, ASPEN PLUS 10.1, the results show that subcooled liquid transport maximizes the energy efficiency and minimizes the Cost Of CO2 transport over long distances under both isothermal and adiabatic conditions. Pipeline transport of subcooled liquid CO2 can be ideally used in areas of cold climate or by burying and insulating the pipeline. In very warm climates, periodic refrigeration to cool the CO2 below its critical point of 31.1 degrees C, may prove economical. Simulations have been used to determine the maximum safe pipeline distances to subsequent booster stations as a function of inlet pressure, environmental temperature and ground level heat flux conditions. (c) 2005 Published by Elsevier Ltd.

Probabilistic cost benefit analysis of generation investment in a deregulated electricity market

A new methodology is proposed for the analysis of generation capacity investment in a deregulated market environment. This methodology proposes to make the investment appraisal using a probabilistic framework. The probabilistic production simulation (PPC) algorithm is used to compute the expected energy generated, taking into account system load variations and plant forced outage rates, while the Monte Carlo approach has been applied to model the electricity price variability seen in a realistic network. The model is able to capture the price and hence the profitability uncertainties for generator companies. Seasonal variation in the electricity prices and the system demand are independently modeled. The method is validated on IEEE RTS system, augmented with realistic market and plant data, by using it to compare the financial viability of several generator investments applying either conventional or directly connected generator (powerformer) technologies. The significance of the results is assessed using several financial risk measures.

Interdependence of international equity market volatility

This paper investigates whether equity market volatility in one major market is related to volatility elsewhere. This paper models the daily conditional volatility of equity market wide returns as a GARCH-(1,1) process. Such a model will capture the changing nature of the conditional variance through time. It is found that the correlation between the conditional variances of major equity markets has increased substantially over the last two decades. This supports work which has been undertaken on conditional mean returns which indicates there has been an increase in equity market integration.

Self-calibrated, multi-spectral photometric stereo for 3D face capture

This paper addresses the problem of obtaining 3d detailed reconstructions of human faces in real-time and with inexpensive hardware. We present an algorithm based on a monocular multi-spectral photometric-stereo setup. This system is known to capture high-detailed deforming 3d surfaces at high frame rates and without having to use any expensive hardware or synchronized light stage. However, the main challenge of such a setup is the calibration stage, which depends on the lights setup and how they interact with the specific material being captured, in this case, human faces. For this purpose we develop a self-calibration technique where the person being captured is asked to perform a rigid motion in front of the camera, maintaining a neutral expression. Rigidity constrains are then used to compute the head's motion with a structure-from-motion algorithm. Once the motion is obtained, a multi-view stereo algorithm reconstructs a coarse 3d model of the face. This coarse model is then used to estimate the lighting parameters with a stratified approach: In the first step we use a RANSAC search to identify purely diffuse points on the face and to simultaneously estimate this diffuse reflectance model. In the second step we apply non-linear optimization to fit a non-Lambertian reflectance model to the outliers of the previous step. The calibration procedure is validated with synthetic and real data.

Resource allocation in decentralised computational systems:an evolutionary market-based approach

We present a novel market-based method, inspired by retail markets, for resource allocation in fully decentralised systems where agents are self-interested. Our market mechanism requires no coordinating node or complex negotiation. The stability of outcome allocations, those at equilibrium, is analysed and compared for three buyer behaviour models. In order to capture the interaction between self-interested agents, we propose the use of competitive coevolution. Our approach is both highly scalable and may be tuned to achieve specified outcome resource allocations. We demonstrate the behaviour of our approach in simulation, where evolutionary market agents act on behalf of service providing nodes to adaptively price their resources over time, in response to market conditions. We show that this leads the system to the predicted outcome resource allocation. Furthermore, the system remains stable in the presence of small changes in price, when buyers' decision functions degrade gracefully. © 2009 The Author(s).

Optimization of anterior eye fluorescein viewing

Purpose: To optimize anterior eye fluorescein viewing and image capture. Design: Prospective experimental investigation. Methods: The spectral radiance of ten different models of slit-lamp blue luminance and the spectral transmission of three barrier filters were measured. Optimal clinical instillation of fluorescein was evaluated by a comparison of four different instillation methods of fluorescein into 10 subjects. Two methods used a floret, and two used minims of different concentration. The resulting fluorescence was evaluated for quenching effects and efficiency over time. Results: Spectral radiance of the blue illumination typically had an average peak at 460 nm. Comparison between three slit-lamps of the same model showed a similar spectral radiance distribution. Of the slit-lamps examined, 8.3% to 50.6% of the illumination output was optimized for >80% fluorescein excitation, and 1.2% to 23.5% of the illumination overlapped with that emitted by the fluorophore. The barrier filters had an average cut-off at 510 to 520 nm. Quenching was observed for all methods of fluorescein instillation. The moistened floret and the 1% minim reached a useful level of fluorescence in on average ∼20s (∼2.5× faster than the saturated floret and 2% minim) and this lasted for ∼160 seconds. Conclusions: Most slit-lamps' blue light and yellow barrier filters are not optimal for fluorescein viewing and capture. Instillation of fluorescein using a moistened floret or 1% minim seems most clinically appropriate as lower quantities and concentrations of fluorescein improve the efficiency of clinical examination. © 2006 Elsevier Inc. All rights reserved.

Optimization of the Investment Portfolio in the Conditions of Uncertainty

Portfolio analysis exists, perhaps, as long, as people think about acceptance of rational decisions connected with use of the limited resources. However the occurrence moment of portfolio analysis can be dated precisely enough is having connected it with a publication of pioneer work of Harry Markovittz (Markovitz H. Portfolio Selection) in 1952. The model offered in this work, simple enough in essence, has allowed catching the basic features of the financial market, from the point of view of the investor, and has supplied the last with the tool for development of rational investment decisions. The central problem in Markovitz theory is the portfolio choice that is a set of operations. Thus in estimation, both separate operations and their portfolios two major factors are considered: profitableness and risk of operations and their portfolios. The risk thus receives a quantitative estimation. The account of mutual correlation dependences between profitablenesses of operations appears the essential moment in the theory. This account allows making effective diversification of portfolio, leading to essential decrease in risk of a portfolio in comparison with risk of the operations included in it. At last, the quantitative characteristic of the basic investment characteristics allows defining and solving a problem of a choice of an optimum portfolio in the form of a problem of quadratic optimization.

Optimization of Advertising Resources over Time: A Strategic Analysis

AMS subject classification: 90B60, 90B50, 90A80.

The men behind the market: Merchants, the Atlantic slave trade, and the shaping of South Carolina plantation society, 1700–1756

The purpose of this dissertation is to examine the role played by merchants in the shaping of South Carolina plantation society in its early stages of development. In 1700 South Carolina was on the fringes of the British Empire. By mid-century the colony had become an integral part of the British Atlantic system. This dissertation addresses merchants' activity in the shaping of plantation society through their involvement in the Atlantic slave trade. Records of the British and South Carolina governments, and petitions from merchants on both sides of the Atlantic have been extremely valuable in understanding the complex and rapidly changing political affiliations of merchants on both sides of the Atlantic. These sources are valuable to this study since they illustrate the merchants' strategy of utilizing government policies to acquire the absolute best terms of trade. Records such as wills and inventories yielded valuable information on merchants' economic portfolios and provided valuable insight into their personal lives. The data shows that the integration of Colonial South Carolina into the global economy can be attributed to its merchant class, who actively sought out business opportunities in the global economy while working within the framework of British mercantilism.

Genetic algorithms and investment strategies: A global perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: (1) help global investors determine the optimal selection and holding periods for momentum portfolios, (2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, (3) assess the investment strategy profits after considering transaction costs, and (4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Small farmer market knowledge and specialty coffee commodity chains in Western Highlands Guatemala

For producers motivated by their new status as self-employed, landowning, capitalist coffee growers, specialty coffee presents an opportunity to proactively change the way they participate in the international market. Now responsible for determining their own path, many producers have jumped at the chance to enhance the value of their product and participate in the new "fair trade" market. But recent trends in the international coffee price have led many producers to wonder why their efforts to produce a certified Fair Trade and organic product are not generating the price advantage they had anticipated. My study incorporates data collected in eighteen months of fieldwork, including more than 45 interviews with coffee producers and fair trade roasters, 90 surveys of coffee growers, and ongoing participant observation to understand how fair trade certification, as both a market system and development program, meets the expectations of the coffee growers. By comparing three coffee cooperatives that have engaged the Fair Trade system to disparate ends, the results of this investigation are three case studies that demonstrate how global processes of certification, commodity trade, market interaction, and development aid effect social and cultural change within communities. This study frames several lessons learned in terms of (1) socioeconomic impacts of fair trade, (2) characteristics associated with positive development encounters, and (3) potential for commodity producers to capture value further along their global value chain. Commodity chain comparisons indicate the Fair Trade certified cooperative receives the highest per-pound price, though these findings are complicated by costs associate with certification and producers' perceptions of an "unjust" system. Fair trade-supported projects are demonstrated as more "successful" in the eyes of recipients, though their attention to detail can just as easily result in "failure". Finally, survey results reveal just how limited is the market knowledge of producers in each cooperative, though fair trade does, in fact, provide a rare opportunity for producers to learn about consumer demand for coffee quality. Though bittersweet, the fair trade experiences described here present a learning opportunity for a wide range of audiences, from the certified to the certifiers to the concerned public and conscientious consumer.

Optimization of waiting time at toll plazas

Toll plazas have several toll payment types such as manual, automatic coin machines, electronic and mixed lanes. In places with high traffic flow, the presence of toll plaza causes a lot of traffic congestion; this creates a bottleneck for the traffic flow, unless the correct mix of payment types is in operation. The objective of this research is to determine the optimal lane configuration for the mix of the methods of payment so that the waiting time in the queue at the toll plaza is minimized. A queuing model representing the toll plaza system and a nonlinear integer program have been developed to determine the optimal mix. The numerical results show that the waiting time can be decreased at the toll plaza by changing the lane configuration. For the case study developed an improvement in the waiting time as high as 96.37 percent was noticed during the morning peak hour.