Variability in Modified Estimators of VaR and ES

Thesis (Master's)--University of Washington, 2016-06

Typing mineral deposits using their grades and tonnages in an artificial neural network

A test of the ability of a probabilistic neural network to classify deposits into types on the basis of deposit tonnage and average Cu, Mo, Ag, Au, Zn, and Pb grades is conducted. The purpose is to examine whether this type of system might serve as a basis for integrating geoscience information available in large mineral databases to classify sites by deposit type. Benefits of proper classification of many sites in large regions are relatively rapid identification of terranes permissive for deposit types and recognition of specific sites perhaps worthy of exploring further. Total tonnages and average grades of 1,137 well-explored deposits identified in published grade and tonnage models representing 13 deposit types were used to train and test the network. Tonnages were transformed by logarithms and grades by square roots to reduce effects of skewness. All values were scaled by subtracting the variable's mean and dividing by its standard deviation. Half of the deposits were selected randomly to be used in training the probabilistic neural network and the other half were used for independent testing. Tests were performed with a probabilistic neural network employing a Gaussian kernel and separate sigma weights for each class (type) and each variable (grade or tonnage). Deposit types were selected to challenge the neural network. For many types, tonnages or average grades are significantly different from other types, but individual deposits may plot in the grade and tonnage space of more than one type. Porphyry Cu, porphyry Cu-Au, and porphyry Cu-Mo types have similar tonnages and relatively small differences in grades. Redbed Cu deposits typically have tonnages that could be confused with porphyry Cu deposits, also contain Cu and, in some situations, Ag. Cyprus and kuroko massive sulfide types have about the same tonnages. Cu, Zn, Ag, and Au grades. Polymetallic vein, sedimentary exhalative Zn-Pb, and Zn-Pb skarn types contain many of the same metals. Sediment-hosted Au, Comstock Au-Ag, and low-sulfide Au-quartz vein types are principally Au deposits with differing amounts of Ag. Given the intent to test the neural network under the most difficult conditions, an overall 75% agreement between the experts and the neural network is considered excellent. Among the largestclassification errors are skarn Zn-Pb and Cyprus massive sulfide deposits classed by the neuralnetwork as kuroko massive sulfides—24 and 63% error respectively. Other large errors are the classification of 92% of porphyry Cu-Mo as porphyry Cu deposits. Most of the larger classification errors involve 25 or fewer training deposits, suggesting that some errors might be the result of small sample size. About 91% of the gold deposit types were classed properly and 98% of porphyry Cu deposits were classes as some type of porphyry Cu deposit. An experienced economic geologist would not make many of the classification errors that were made by the neural network because the geologic settings of deposits would be used to reduce errors. In a separate test, the probabilistic neural network correctly classed 93% of 336 deposits in eight deposit types when trained with presence or absence of 58 minerals and six generalized rock types. The overall success rate of the probabilistic neural network when trained on tonnage and average grades would probably be more than 90% with additional information on the presence of a few rock types.

Bayesian estimation of g-and-k distributions using MCMC

In this paper we investigate a Bayesian procedure for the estimation of a flexible generalised distribution, notably the MacGillivray adaptation of the g-and-κ distribution. This distribution, described through its inverse cdf or quantile function, generalises the standard normal through extra parameters which together describe skewness and kurtosis. The standard quantile-based methods for estimating the parameters of generalised distributions are often arbitrary and do not rely on computation of the likelihood. MCMC, however, provides a simulation-based alternative for obtaining the maximum likelihood estimates of parameters of these distributions or for deriving posterior estimates of the parameters through a Bayesian framework. In this paper we adopt the latter approach, The proposed methodology is illustrated through an application in which the parameter of interest is slightly skewed.

Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Using empirical evidence of variations in worker performance to extend the capabilities of discrete event simulations in manufacturing

Discrete event simulation of manufacturing systems has become widely accepted as an important tool to aid the design of such systems. Often, however, it is applied by practitioners in a manner which largely ignores an important element of industry; namely, the workforce. Workers are usually represented as simple resources, often with deterministic performance values. This approach ignores the potentially large effect that human performance variation can have on a system. A long-term data collection exercise is described with the aim of quantifying the performance variation of workers in a typical automotive assembly plant. The data are presented in a histogram form which is immediately usable in simulations to improve the accuracy of design assessment. The results show levels of skewness and range which are far larger than anticipated by current researchers and practitioners in the field.

Early warnings of heart rate deterioration

Hospitals can experience difficulty in detecting and responding to early signs of patient deterioration leading to late intensive care referrals, excess mortality and morbidity, and increased hospital costs. Our study aims to explore potential indicators of physiological deterioration by the analysis of vital-signs. The dataset used comprises heart rate (HR) measurements from MIMIC II waveform database, taken from six patients admitted to the Intensive Care Unit (ICU) and diagnosed with severe sepsis. Different indicators were considered: 1) generic early warning indicators used in ecosystems analysis (autocorrelation at-1-lag (ACF1), standard deviation (SD), skewness, kurtosis and heteroskedasticity) and 2) entropy analysis (kernel entropy and multi scale entropy). Our preliminary findings suggest that when a critical transition is approaching, the equilibrium state changes what is visible in the ACF1 and SD values, but also by the analysis of the entropy. Entropy allows to characterize the complexity of the time series during the hospital stay and can be used as an indicator of regime shifts in a patient’s condition. One of the main problems is its dependency of the scale used. Our results demonstrate that different entropy scales should be used depending of the level of entropy verified.

International stock portfolio selection and performance measures recognizing higher moments of return distributions

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)) argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets.^ First, the portfolio selection with skewness is determined using: the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously.^ Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction.^ Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets. ^

Essays on emissions trading markets

This dissertation is a collection of three economics essays on different aspects of carbon emission trading markets. The first essay analyzes the dynamic optimal emission control strategies of two nations. With a potential to become the largest buyer under the Kyoto Protocol, the US is assumed to be a monopsony, whereas with a large number of tradable permits on hand Russia is assumed to be a monopoly. Optimal costs of emission control programs are estimated for both the countries under four different market scenarios: non-cooperative no trade, US monopsony, Russia monopoly, and cooperative trading. The US monopsony scenario is found to be the most Pareto cost efficient. The Pareto efficient outcome, however, would require the US to make side payments to Russia, which will even out the differences in the cost savings from cooperative behavior. The second essay analyzes the price dynamics of the Chicago Climate Exchange (CCX), a voluntary emissions trading market. By examining the volatility in market returns using AR-GARCH and Markov switching models, the study associates the market price fluctuations with two different political regimes of the US government. Further, the study also identifies a high volatility in the returns few months before the market collapse. Three possible regulatory and market-based forces are identified as probable causes of market volatility and its ultimate collapse. Organizers of other voluntary markets in the US and worldwide may closely watch for these regime switching forces in order to overcome emission market crashes. The third essay compares excess skewness and kurtosis in carbon prices between CCX and EU ETS (European Union Emission Trading Scheme) Phase I and II markets, by examining the tail behavior when market expectations exceed the threshold level. Dynamic extreme value theory is used to find out the mean price exceedence of the threshold levels and estimate the risk loss. The calculated risk measures suggest that CCX and EU ETS Phase I are extremely immature markets for a risk investor, whereas EU ETS Phase II is a more stable market that could develop as a mature carbon market in future years.

Documentation and sedimentology of core PS1021-1 from the Antarctic continental margin off Kap Norvegia

Sedimentological analyses concerning ice rafted debris, grain size distribution, biogenous components, and clay mineral composition of four sediment cores from the Antarctic continental margin off Kapp Norvegia reveal a cyclical pattern of three different sediment facies. These are classified into warm and cold types representing warm and cold climatic periods and a short transition period from cold to warm events. The sedimentological parameters reflect the variations within the cryosphere and the hydrosphere, which are directly influenced by the climatic fluctuations. The unusually high content of carbonaceous planktonic and benthonic foraminifera in these polar sediments, as well as the interfingering of terrigeneous and biogeneous-rich sediments with increasing distance from the continent, might reflect the influence of the Weddell Sea Polynya and the oscillations of polynya, pack-ice and ice shelf extent during the late Pleistocene.

Sedimentology of the northwestern Weddel Sea continental shelf and slope

Geologie cores on two profiles oriented normaly to the continental shelf and slope, have been investigated to reconstruct the Quaternary sedimentary history of the southeast continental border of South Orkney (NW Weddell Sea). The sediments were described macroscopically and their fabric investigated by use of X-radiographs. Laboratory work comprised detailed grain-size analysis, determination of the watercontent, carbonate, organic carbon and sand fraction.composition. Stable oxygen and carbon isotopes have been measured On planktonic foraminifera. Palaeomagnetism, analysis of 230Th-content and detailed comparison of the lithlogic Parameters with the oxygen isotope stages (Martinson curve) were used for stratigraphic classification of the sediments. The sediment cores from the continental slope comprise a maximum age of 300,000 years B. P.. Bottom currents, ice rafting and biogenic input are the main sources of sediment. Based on lithologic parameters a distinction between glacial and interglacial facies is possible. Silty clays without microfossils and few bioturbation characterise the sediments of the glacial facies. Only small amounts of icerafted debris can be recognized. This type of sediment was accumulated during times of lower sea-level and drastically reduced rate of bottom water production. Based on grain-size distribution, bottom current velocities of 0.01 cmls were calculated. Thick sea-ice coverage reduced biogenic production in the surface water, and as consequence benthic communities were depleted. Because of the reduced benthic life, sediments are only slithly bioturbated. At the beginning of the interglacial Stage, the sea-level rised rapidly, and calving rate of icebergs, combined with input of ice-rafted material, increased considerably. Sediments of this transition facies are silty cliiys with a high proportion of coarse ice-rafted debris, but without microfossils. With the onset of bottom water production in connection with shelf ice water, sediments of interglacial facies were formed. They consist of silty clays to clayey silts with considerable content of sand and gravel. Sediments are strongly bioturbated. Based On the sediment caracteristics, current velocities of the bottom water were calculated to be of 0.96 cmls for interglacials. At the southern slope of a NW/SE-striking ridge, bottom water current is channelized, resulting in a drastic increase of current velocities. Current velocities up to 7.5 cm/s lead to formation of residual sediments. While the continental slope has predominantly fine sediments, the South Orkney shelf are mainly sandy silts and silty sands with a high proportion of gravel. These sediments were formed dominantly by ice-rafting during Brunhes- and Matuyama-Epoch. Currents removed the fine fraction of the sediments. Based on microfossil contents it was not possible to differentiate sediments from glacial to interglacial. In the upper Parts of the cores graded sequences truncated by erosion were observed. These sequences were formed during Brunhes-Epoch by strong currents with velocities decreasing periodically from about 7.5 cm/s to about 1 cm/s. Sediments with a high proportion of siliceous microfossils but barren of foraminifera compose the lower part of the shelf cores. These sediments have formed during the warmer Matuyama-Epoch.

Sedimentology on two cores from Scoresby Sund, Greenland

Reconstruction of the postglacial palaeoenvironmental evolution was the main objective of marine geological investigations in the Scorcsby Sund fjord system. For this purpose, samples of marine sediments, taken on RV Polarstern cruises ARK-V/3b and ARK-VII/3b in 1988 and 1990, have been analysed. All investigated fjord sediments are paratills. However, remarkable changes in sediment fabric and composition occur with depth in cores. They are attributable to different modes of sediment deposition. Therefore, a subdivision of the postglacial palaeoenvironmental history into periods of considerably different sedimentary conditions is feasible. The change of sedimentary fades with time is interpreted by deposition under changing climatic conditions during the postglacial. Displacements of cyclonic and anticyclonic centers in the atmosphere change amount of precipitation at the east coast of Greenland. Precipitation strongly influences extension of local ice caps of coastal areas and duration of coverage of the fjords by sea ice. These factors again control the sedimentary regime in the fjord system.

Sedimentology on cores off Filchner Shelf Ice, Weddell Sea, Antarctica

The sediments of 14 box cores and 7 gravity cores, mainly taken directly in front of the Filchner(-Ronne) ice shelf northwest of Berkner Island (Weddell Sea), allowed to distinguish six sediment types. On the one hand,the retreat of the at first grounded and then floated ice from the last glacial maximum is documented. On the other hand,the sediments give an insight into extensive Holocene sediment deposition and remobilization northwest of Berkner Island. The ortho till was deposited directly by the grounded ice sheet and is lacking any marine influence. After floating of the ice shelf, partly very weIl stratified, partly unstratified, non-bioturbated paratill is deposited beneath the ice shelf. Lack of IRD-content in the paratill immediately above the orthotill indicates freezing at the bottom of the ice, at least for a short period after the ice became afloat. The orthotill and paratill contain small amounts of fragmented Tertiary diatoms, which allow the conclusion, that glacial-marine sediments in the accumulation area of the Ronne ice shelf will be eroded and later deposited by ice in the investigation area. Starting of bioturbation and therefore change in sedimentation from paratill to bioturbated paratill,is caused by the retreat of the ice shelf to its actual position. Isostatic uplift of the sea-bed after the Ice Age causes minor water depths with higher current velocities. The fine-fraction is eroding and mean particle-size will increase. Maybe, also isostatic uplift is responsible for repeated great advances of the floated ice shelf as shown in an erosional horizon in some cores containing bioturbated paratill. Postglacial sediment-thicknesses exceed 3 m. Assuming floating of the ice 15.000 YBP, accumulation rates reach nearly 20cm/lOOO years. Following the theories about sediment input in front of wide ice shelves, this was not expected. In the shallower water depths of Berkner Bank, the oscillations of the ice shelf are recorded in the sediments. Sorting and redistribution by high current velocities from beneath the ice up to the calving line, lead to the deposition of the weIl to very weIl sorted sandy till. In front of the calving line the finer fraction will settle down. Remobilization is possible by bioturbation and increasing current-velocity. According to the intensity of mixing of the sandy till with the fine fraction, modified till or muddy till results.

Physical properties and sedimentology of 4 profiles fom the South Atlantic

Ultrasonic P wavc transmission seismograms recorded on sediment cores have been analyzed to study the acoustic and estimate the clastic properties of marine sediments from different provinces dominated by terrigenous, calcareous, amI diatomaceous sedimentation. Instantaneous frequencies computed from the transmission seismograms are displayed as gray-shaded images to give an acoustic overview of the lithology of each core. Ccntirneter-scale variations in the ultrasonic waveforms associated with lithological changes are illustrated by wiggle traces in detail. Cross-correlation, multiple-filter, and spectral ratio techniques are applied to derive P wave velocities and attenuation coefficients. S wave velocities and attenuation coefficients, elastic moduli, and permeabilities are calculated by an inversion scheme based on the Biot-Stoll viscoelastic model. Together wilh porosity measurements, P and S wave scatter diagrams are constructed to characterize different sediment types by their velocity- and attenuation-porosity relationships. They demonstrate that terrigenous, calcareous, and diatomaceous sediments cover different velocity- and attenuation-porosity ranges. In terrigcnous sediments, P wave vclocities and attenuation coefficients decrease rapidly with increasing porosity, whereas S wave velocities and shear moduli are very low. Calcareous sediments behave similarly at relatively higher porosities. Foraminifera skeletons in compositions of terrigenous mud and calcareous ooze cause a stiffening of the frame accompanied by higher shear moduli, P wave velocities, and attenuation coefficients. In diatomaceous ooze the contribution of the shear modulus becomes increasingly important and is controlled by the opal content, whereas attenuation is very low. This leads to the opportunity to predict the opal content from nondestructive P wave velocity measurements at centimeter-scale resolution.

San Francisco Coastal System grain size and geochemical data for sand provenance study

Over 150 million cubic meter of sand-sized sediment has disappeared from the central region of the San Francisco Bay Coastal System during the last half century. This enormous loss may reflect numerous anthropogenic influences, such as watershed damming, bay-fill development, aggregate mining, and dredging. The reduction in Bay sediment also appears to be linked to a reduction in sediment supply and recent widespread erosion of adjacent beaches, wetlands, and submarine environments. A unique, multi-faceted provenance study was performed to definitively establish the primary sources, sinks, and transport pathways of beach sized-sand in the region, thereby identifying the activities and processes that directly limit supply to the outer coast. This integrative program is based on comprehensive surficial sediment sampling of the San Francisco Bay Coastal System, including the seabed, Bay floor, area beaches, adjacent rock units, and major drainages. Analyses of sample morphometrics and biological composition (e.g., Foraminifera) were then integrated with a suite of tracers including 87Sr/86Sr and 143Nd/144Nd isotopes, rare earth elements, semi-quantitative X-ray diffraction mineralogy, and heavy minerals, and with process-based numerical modeling, in situ current measurements, and bedform asymmetry to robustly determine the provenance of beach-sized sand in the region.