Regime Switching Models for Electricity Time Series that Capture Fat Tailed Distributions

In the power market, electricity prices play an important role at the economic level. The behavior of a price trend usually known as a structural break may change over time in terms of its mean value, its volatility, or it may change for a period of time before reverting back to its original behavior or switching to another style of behavior, and the latter is typically termed a regime shift or regime switch. Our task in this thesis is to develop an electricity price time series model that captures fat tailed distributions which can explain this behavior and analyze it for better understanding. For NordPool data used, the obtained Markov Regime-Switching model operates on two regimes: regular and non-regular. Three criteria have been considered price difference criterion, capacity/flow difference criterion and spikes in Finland criterion. The suitability of GARCH modeling to simulate multi-regime modeling is also studied.

Efficiency of the ISM Code in Finnish Shipping Companies

Due to increasing waterborne transportation in the Gulf of Finland, the risk of a hazardous accident increases and therefore manifold preventive actions are needed. As a main legislative authority in the maritime community, The International Maritime Organization (IMO) has set down plenary laws and recommendations which are e.g., utilised in the safe operations in ships and pollution prevention. One of these compulsory requirements, the ISM Code, requires proactive attitude both from the top management and operational workers in the shipping companies. In this study, a crosssectional approach was taken to analyse whether the ISM Code has actively enhanced maritime safety in the Gulf of Finland. The analysis included; 1) performance of the ISM Code in Finnish shipping companies, 2) statistical measurements of maritime safety, 3) influence of corporate top management to the safety culture and 4) comparing safety management practices in shipping companies and port operations of Finnish maritime and port authorities. The main results found were that maritime safety culture has developed in the right direction after the launch of the ISM Code in the 1990´s. However, this study does not exclusively prove that the improvements are the consequence of the ISM Code. Accident prone ships can be recognized due to their behaviour and there is a lesson to learn from the safety culture of some high standard safety disciplines such as, air traffic. In addition, the reporting of accidents and nearmisses should be more widely used in shipping industry. In conclusion, there is still much to be improved in the maritime safety culture of the Finnish Shipping industry, e.g., a “no blame culture” needs to be adopted.

Vaihtosuuntaajan reaaliaikainen lämpömalli

Vaihtosuuntaajan IGBT-moduulin liitosten lämpötiloja ei voida suoraan mitata, joten niiden arviointiin tarvitaan reaaliaikainen lämpömalli. Tässä työssä on tavoitteena kehittää tähän tarkoitukseen C-kielellä implementoitu ratkaisu, joka on riittävän tarkka ja samalla mahdollisimman laskennallisesti tehokas. Ohjelmallisen toteutuksen täytyy myös sopia erilaisille moduulityypeille ja sen on tarvittaessa otettava huomioon saman moduulin muiden sirujen lämmittävä vaikutus toisiinsa. Kirjallisuuskatsauksen perusteella valitaan olemassa olevista lämpömalleista käytännön toteutuksen pohjaksi lämpöimpedanssimatriisiin perustuva malli. Lämpöimpedanssimatriisista tehdään Simulink-ohjelmalla s-tason simulointimalli, jota käytetään referenssinä muun muassa implementoinnin tarkkuuden verifiointiin. Lämpömalli tarvitsee tiedon vaihtosuuntaajan häviöistä, joten työssä on selvitetty eri vaihtoehtoja häviölaskentaan. Lämpömallin kehittäminen s-tason mallista valmiiksi C-kieliseksi koodiksi on kuvattu tarkasti. Ensin s-tason malli diskretoidaan z-tasoon. Z-tason siirtofunktiot muutetaan puolestaan ensimmäisen kertaluvun differenssiyhtälöiksi. Työssä kehitetty monen aikatason lämpömalli saadaan jakamalla ensimmäisen kertaluvun differenssiyhtälöt eri aikatasoille suoritettavaksi sen mukaan, mikä niiden kuvaileman termin vaatima päivitysnopeus on. Tällainen toteutus voi parhaimmillaan kuluttaa alle viidesosan kellojaksoja verrattuna suoraviivaiseen yhden aikatason toteutukseen. Implementoinnin tarkkuus on hyvä. Implementoinnin vaatimia suoritusaikoja testattiin Texas Instrumentsin TMS320C6727- prosessorilla (300 MHz). Esimerkkimallin laskemisen määritettiin kuluttavan vaihtosuuntaajan toimiessa 5 kHz kytkentätaajuudella vain 0,4 % prosessorin kellojaksoista. Toteutuksen tarkkuus ja laskentakapasiteetin vähäinen vaatimus mahdollistavat lämpömallin käyttämisen lämpösuojaukseen ja lisäämisen osaksi muuta jo prosessorilla olemassa olevaa systeemiä.

Switching components for medium voltage drives

Nowadays power drives are the essential part almost of all technological processes. Improvement of efficiency and reduction of losses require development of semiconductor switches. It has a particular meaning for the constantly growing market of renewable sources, especially for wind turbines, which demand more powerful semiconductor devices for control with growth of power. Also at present semiconductor switches are the key component in energy transmission, optimization of generation and network connection. The aim of this thesis is to make a survey of contemporary semiconductor components, showing difference in structures, advantages, disadvantages and most suitable applications. There is topical information about voltage, frequency and current limits of different switches. Study tries to compare dimensions and price of different components. Main manufacturers of semiconductor components are presented with the review of devices produced by them, and a conclusion about their availability was made. IGBT is selected as a main component in this study, because nowadays it is the most attractive component for usage in power drives, especially at the low levels of medium voltage. History of development of IGBT structure, static and dynamic characteristics are considered. Thesis tells about assemblies and connection of components and problems which can appear. One of key questions about semiconductor materials and their future development was considered. For the purpose of comparison strong and weak sides of different switches, calculation of losses of IGBT and its basic competitor – IGCT is presented. This master’s thesis makes an effort to answer the question if there are at present possibilities of accurate selection of switches for electrical drives of different rates of power and looks at future possible ways of development of semiconductor market.

Modelling of hydrogen stratification and gas mixing in containment using the APROS code

Hydrogen stratification and atmosphere mixing is a very important phenomenon in nuclear reactor containments when severe accidents are studied and simulated. Hydrogen generation, distribution and accumulation in certain parts of containment may pose a great risk to pressure increase induced by hydrogen combustion, and thus, challenge the integrity of NPP containment. The accurate prediction of hydrogen distribution is important with respect to the safety design of a NPP. Modelling methods typically used for containment analyses include both lumped parameter and field codes. The lumped parameter method is universally used in the containment codes, because its versatility, flexibility and simplicity. The lumped parameter method allows fast, full-scale simulations, where different containment geometries with relevant engineering safety features can be modelled. Lumped parameter gas stratification and mixing modelling methods are presented and discussed in this master’s thesis. Experimental research is widely used in containment analyses. The HM-2 experiment related to hydrogen stratification and mixing conducted at the THAI facility in Germany is calculated with the APROS lump parameter containment package and the APROS 6-equation thermal hydraulic model. The main purpose was to study, whether the convection term included in the momentum conservation equation of the 6-equation modelling gives some remarkable advantages compared to the simplified lumped parameter approach. Finally, a simple containment test case (high steam release to a narrow steam generator room inside a large dry containment) was calculated with both APROS models. In this case, the aim was to determine the extreme containment conditions, where the effect of convection term was supposed to be possibly high. Calculation results showed that both the APROS containment and the 6-equation model could model the hydrogen stratification in the THAI test well, if the vertical nodalisation was dense enough. However, in more complicated cases, the numerical diffusion may distort the results. Calculation of light gas stratification could be probably improved by applying the second order discretisation scheme for the modelling of gas flows. If the gas flows are relatively high, the convection term of the momentum equation is necessary to model the pressure differences between the adjacent nodes reasonably.

Prediction of market switching and delisting events from OMX First North Nordic multilateral stock exchange

This thesis studies the predictability of market switching and delisting events from OMX First North Nordic multilateral stock exchange by using financial statement information and market information from 2007 to 2012. This study was conducted by using a three stage process. In first stage relevant theoretical framework and initial variable pool were constructed. Then, explanatory analysis of the initial variable pool was done in order to further limit and identify relevant variables. The explanatory analysis was conducted by using self-organizing map methodology. In the third stage, the predictive modeling was carried out with random forests and support vector machine methodologies. It was found that the explanatory analysis was able to identify relevant variables. The results indicate that the market switching and delisting events can be predicted in some extent. The empirical results also support the usability of financial statement and market information in the prediction of market switching and delisting events.

Software and Code Finder: making research outputs visible

Poster at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

VVER-440 Thermal Hydraulics as a Computer Code Validation Challenge

This thesis concentrates on the validation of a generic thermal hydraulic computer code TRACE under the challenges of the VVER-440 reactor type. The code capability to model the VVER-440 geometry and thermal hydraulic phenomena specific to this reactor design has been examined and demonstrated acceptable. The main challenge in VVER-440 thermal hydraulics appeared in the modelling of the horizontal steam generator. The major challenge here is not in the code physics or numerics but in the formulation of a representative nodalization structure. Another VVER-440 specialty, the hot leg loop seals, challenges the system codes functionally in general, but proved readily representable. Computer code models have to be validated against experiments to achieve confidence in code models. When new computer code is to be used for nuclear power plant safety analysis, it must first be validated against a large variety of different experiments. The validation process has to cover both the code itself and the code input. Uncertainties of different nature are identified in the different phases of the validation procedure and can even be quantified. This thesis presents a novel approach to the input model validation and uncertainty evaluation in the different stages of the computer code validation procedure. This thesis also demonstrates that in the safety analysis, there are inevitably significant uncertainties that are not statistically quantifiable; they need to be and can be addressed by other, less simplistic means, ultimately relying on the competence of the analysts and the capability of the community to support the experimental verification of analytical assumptions. This method completes essentially the commonly used uncertainty assessment methods, which are usually conducted using only statistical methods.

Development of an HTR-10 model in the Serpent reactor physics code

The use of exact coordinates of pebbles and fuel particles of pebble bed reactor modelling becoming possible in Monte Carlo reactor physics calculations is an important development step. This allows exact modelling of pebble bed reactors with realistic pebble beds without the placing of pebbles in regular lattices. In this study the multiplication coefficient of the HTR-10 pebble bed reactor is calculated with the Serpent reactor physics code and, using this multiplication coefficient, the amount of pebbles required for the critical load of the reactor. The multiplication coefficient is calculated using pebble beds produced with the discrete element method and three different material libraries in order to compare the results. The received results are lower than those from measured at the experimental reactor and somewhat lower than those gained with other codes in earlier studies.

Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Category fluency test: effects of age, gender and education on total scores, clustering and switching in Brazilian Portuguese-speaking subjects

Verbal fluency tests are used as a measure of executive functions and language, and can also be used to evaluate semantic memory. We analyzed the influence of education, gender and age on scores in a verbal fluency test using the animal category, and on number of categories, clustering and switching. We examined 257 healthy participants (152 females and 105 males) with a mean age of 49.42 years (SD = 15.75) and having a mean educational level of 5.58 (SD = 4.25) years. We asked them to name as many animals as they could. Analysis of variance was performed to determine the effect of demographic variables. No significant effect of gender was observed for any of the measures. However, age seemed to influence the number of category changes, as expected for a sensitive frontal measure, after being controlled for the effect of education. Educational level had a statistically significant effect on all measures, except for clustering. Subject performance (mean number of animals named) according to schooling was: illiterates, 12.1; 1 to 4 years, 12.3; 5 to 8 years, 14.0; 9 to 11 years, 16.7, and more than 11 years, 17.8. We observed a decrease in performance in these five educational groups over time (more items recalled during the first 15 s, followed by a progressive reduction until the fourth interval). We conclude that education had the greatest effect on the category fluency test in this Brazilian sample. Therefore, we must take care in evaluating performance in lower educational subjects.

Nutritional status and body composition after 6 months of patients switching from continuous ambulatorial peritoneal dialysis to automated peritoneal dialysis

Our objective was to determine if automated peritoneal dialysis (APD) leads to changes in nutritional parameters of patients treated by continuous ambulatory peritoneal dialysis (CAPD). Twenty-six patients (15 males; 50.5 ± 14.3 years) were evaluated during CAPD while training for APD and after 3 and 6 months of APD. Body fat was assessed by the sum of skinfold thickness and the other body compartments were assessed by bioelectrical impedance. During the 6-month follow-up, 12 patients gained more than 1 kg (GW group), 8 patients lost more than 1 kg (LW group), and 6 patients maintained body weight (MW group). Except for length on dialysis that was longer for the LW group compared with the GW group, no other differences were found between the groups at baseline. After 6 months on APD, the LW group had a reduction in body fat (24.5 ± 7.7 vs 22.1 ± 7.3 kg; P = 0.01), body cell mass (22.6 ± 6.2 vs 21.6 ± 5.8 kg, P = 0.02) and phase angle (5.4 ± 0.9 vs 5.1 ± 0.8 degrees, P = 0.004). In the GW group, body fat (25 ± 7.6 vs 27.2 ± 7.6 kg, P = 0.001) and body cell mass (20.1 ± 3.9 vs 20.8 ± 4.0 kg, P = 0.05) were increased. In the present study, different patterns of change in body composition were found. The length of previous dialysis treatment seems to be the most important factor in determining these nutritional modifications.

Modeling Energy Futures Returns With Markov Regime Switching Model

Financial time series have a tendency of abruptly changing their behavior and maintain this behavior for several consecutive periods, and commodity futures returns are not an exception. This quality proposes that nonlinear models, as opposed to linear models, can more accurately describe returns and volatility. Markov regime switching models are able to match this behavior and have become a popular way to model financial time series. This study uses Markov regime switching model to describe the behavior of energy futures returns on a commodity level, because studies show that commodity futures are a heterogeneous asset class. The purpose of this thesis is twofold. First, determine how many regimes characterize individual energy commodities’ returns in different return frequencies. Second, study the characteristics of these regimes. We extent the previous studies on the subject in two ways: We allow for the possibility that the number of regimes may exceed two, as well as conduct the research on individual commodities rather than on commodity indices or subgroups of these indices. We use daily, weekly and monthly time series of Brent crude oil, WTI crude oil, natural gas, heating oil and gasoil futures returns over 1994–2014, where available, to carry out the study. We apply the likelihood ratio test to determine the sufficient number of regimes for each commodity and data frequency. Then the time series are modeled with Markov regime switching model to obtain the return distribution characteristics of each regime, as well as the transition probabilities of moving between regimes. The results for the number of regimes suggest that daily energy futures return series consist of three to six regimes, whereas weekly and monthly returns for all energy commodities display only two regimes. When the number of regimes exceeds two, there is a tendency for the time series of energy commodities to form groups of regimes. These groups are usually quite persistent as a whole because probability of a regime switch inside the group is high. However, individual regimes in these groups are not persistent and the process oscillates between these regimes frequently. Regimes that are not part of any group are generally persistent, but show low ergodic probability, i.e. rarely prevail in the market. This study also suggests that energy futures return series characterized with two regimes do not necessarily display persistent bull and bear regimes. In fact, for the majority of time series, bearish regime is considerably less persistent. Rahoituksen aikasarjoilla on taipumus arvaamattomasti muuttaa käyttäytymistään ja jatkaa tätä uutta käyttäytymistä useiden periodien ajan, eivätkä hyödykefutuurien tuotot tee tähän poikkeusta. Tämän ominaisuuden johdosta lineaaristen mallien sijasta epälineaariset mallit pystyvät tarkemmin kuvailemaan esimerkiksi tuottojen jakauman parametreja. Markov regiiminvaihtomallit pystyvät vangitsemaan tämän ominaisuuden ja siksi niistä on tullut suosittuja rahoituksen aikasarjojen mallintamisessa. Tämä tutkimus käyttää Markov regiiminvaihtomallia kuvaamaan yksittäisten energiafutuurien tuottojen käyttäytymistä, sillä tutkimukset osoittavat hyödykefutuurien olevan hyvin heterogeeninen omaisuusluokka. Tutkimuksen tarkoitus on selvittää, kuinka monta regiimiä tarvitaan kuvaamaan energiafutuurien tuottoja eri tuottofrekvensseillä ja mitkä ovat näiden regiimien ominaisuudet. Aiempaa tutkimusta aiheesta laajennetaan määrittämällä regiimien lukumäärä tilastotieteellisen testauksen menetelmin sekä tutkimalla energiafutuureja yksittäin; ei indeksi- tai alaindeksitasolla. Tutkimuksessa käytetään päivä-, viikko- ja kuukausiaikasarjoja Brent-raakaöljyn, WTI-raakaöljyn, maakaasun, lämmitysöljyn ja polttoöljyn tuotoista aikaväliltä 1994–2014, siltä osin kuin aineistoa on saatavilla. Likelihood ratio -testin avulla estimoidaan kaikille aikasarjoille regiimien määrä,jonka jälkeen Markov regiiminvaihtomallia hyödyntäen määritetään yksittäisten regiimientuottojakaumien ominaisuudet sekä regiimien välinen transitiomatriisi. Tulokset regiimien lukumäärän osalta osoittavat, että energiafutuurien päiväkohtaisten tuottojen aikasarjoissa regiimien lukumäärä vaihtelee kolmen ja kuuden välillä. Viikko- ja kuukausituottojen kohdalla kaikkien energiafutuurien prosesseissa regiimien lukumäärä on kaksi. Kun regiimejä on enemmän kuin kaksi, on prosessilla taipumus muodostaa regiimeistä koostuvia ryhmiä. Prosessi pysyy ryhmän sisällä yleensä pitkään, koska todennäköisyys siirtyä ryhmään kuuluvien regiimien välillä on suuri. Yksittäiset regiimit ryhmän sisällä eivät kuitenkaan ole kovin pysyviä. Näin ollen prosessi vaihtelee ryhmän sisäisten regiimien välillä tiuhaan. Regiimit, jotka eivät kuulu ryhmään, ovat yleensä pysyviä, mutta prosessi ajautuu niihin vain harvoin, sillä todennäköisyys siirtyä muista regiimeistä niihin on pieni. Tutkimuksen tulokset osoittavat myös, että prosesseissa, joita ohjaa kaksi regiimiä, nämä regiimit eivät välttämättä ole pysyvät bull- ja bear-markkinatilanteet. Tulokset osoittavat sen sijaan, että bear-markkinatilanne on energiafutuureissa selvästi vähemmän pysyvä.

Vakavat reaktorionnettomuudet ja niiden mallintaminen Olkiluoto 1 ja Olkiluoto 2 laitosyksiköille MELCOR-ohjelman versiolla 2.1

Vakaviin reaktorionnettomuuksiin liittyviä ilmiöitä on tutkittu jo 1980-luvulta lähtien ja tutkitaan edelleen. Ilmiöt liittyvät reaktorisydämen ja muiden paineastian sisäisten materi-aalien sulamiseen sekä reagointiin veden ja höyryn kanssa. Ilmiöt on myös tärkeää tuntea ja niiden esiintymistä mallintaa käytössä olevilla laitoksilla, jotta voidaan varmistua turval-lisuusjärjestelmien riittävyydestä. Olkiluoto 1 ja 2 laitosten käyttölupa uusitaan vuoteen 2018 mennessä. Lupaprosessiin liit-tyy analyysejä, joissa mallinnetaan laitosten toimintaa vakavassa reaktorionnettomuudessa. Näiden analyysien tekoon Teollisuuden Voima Oyj on käyttänyt ohjelmaa nimeltä MEL-COR jo vuodesta 1994 lähtien. Käytössä on ollut useita eri ohjelmaversioita ja viimeisin niistä on 1.8.6, joka riittää vielä tulevan käyttöluvan uusintaprojektiin liittyvien analyysien tekoon. MELCOR:n vanhaa 1.8.6 ohjelmaversioita ei kuitenkaan enää päivitetä, joten siirtyminen uudempaan 2.1 versioon on tulevaisuudessa välttämätöntä. Uusimman versiopäivityksen yhteydessä on kuitenkin muuttunut koko ohjelman lähdekoodi ja vanhojen laitosmallien käyttö uudessa ohjelmaversiossa vaatii tiedostojen konvertoinnin. Tässä työssä esitellään MELCOR-version 2.1 ominaisuuksia ja selvitetään, mitä 1.8.6 versioon luotujen laitosmal-lien käyttöönotto versiossa 2.1 vaatii. Vaatimusten määrittelemiseksi laitosmalleilla tehdään ajoja molemmilla ohjelmaversioilla ja erilaisilla onnettomuuden alkutapahtuman määrittelyillä. Tulosten perusteella arvioidaan ohjelmaversioiden eroja ja pohditaan mitä puutteita laitosmalleihin konversion jälkeen jää. Näiden perusteella arvioidaan mitä jatkotoimenpiteitä konversio vaatii.