927 resultados para implied volatility, VIX, volatility forecasts, informational efficiency
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In this abstract is presented an energy management system included in a SCADA system existent in a intelligent home. The system control the home energy resources according to the players definitions (electricity consumption and comfort levels), the electricity prices variation in real time mode and the DR events proposed by the aggregators.
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This paper proposes artificial neural networks in combination with wavelet transform for short-term wind power forecasting in Portugal. The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. Results from a real-world case study are presented. A comparison is carried out, taking into account the results obtained with other approaches. Finally, conclusions are duly drawn. (C) 2010 Elsevier Ltd. All rights reserved.
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Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.
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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.
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Mestrado em Contabilidade
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Os sistemas fotovoltaicos produzem energia eléctrica limpa, e inesgotável na nossa escala temporal. A Agência Internacional de Energia encara a tecnologia fotovoltaica como uma das mais promissoras, esperando nas suas previsões mais optimistas, que em 2050 possa representar 20% da produção eléctrica mundial, o equivalente a 18000 TWh. No entanto, e apesar do desenvolvimento notável nas últimas décadas, a principal condicionante a uma maior proliferação destes sistemas é o ainda elevado custo, aliado ao seu fraco desempenho global. Apesar do custo e ineficiência dos módulos fotovoltaicos ter vindo a diminuir, o rendimento dos sistemas contínua dependente de factores externos sujeitos a grande variabilidade, como a temperatura e a irradiância, e às limitações tecnológicas e falta de sinergia dos seus equipamentos constituintes. Neste sentido procurou-se como objectivo na elaboração desta dissertação, avaliar o potencial de optimização dos sistemas fotovoltaicos recorrendo a técnicas de modelação e simulação. Para o efeito, em primeiro lugar foram identificados os principais factores que condicionam o desempenho destes sistemas. Em segundo lugar, e como caso prático de estudo, procedeu-se à modelação de algumas configurações de sistemas fotovoltaicos, e respectivos componentes em ambiente MatlabTM/SimulinkTM. Em seguida procedeu-se à análise das principais vantagens e desvantagens da utilização de diversas ferramentas de modelação na optimização destes sistemas, assim como da incorporação de técnicas de inteligência artificial para responder aos novos desafios que esta tecnologia enfrentará no futuro. Através deste estudo, conclui-se que a modelação é não só um instrumento útil para a optimização dos actuais sistemas PV, como será, certamente uma ferramenta imprescindível para responder aos desafios das novas aplicações desta tecnologia. Neste último ponto as técnicas de modelação com recurso a inteligência artificial (IA) terão seguramente um papel preponderante. O caso prático de modelação realizado permitiu concluir que esta é igualmente uma ferramenta útil no apoio ao ensino e investigação. Contudo, convém não esquecer que um modelo é apenas uma aproximação à realidade, devendo recorrer-se sempre ao sentido crítico na interpretação dos seus resultados.
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Titanium films have been deposited on stainless steel metal sheets using dc magnetron sputtering technique at different substrate temperatures. The structure of the titanium films strongly depend on the substrate temperature. The titanium film deposited at the substrate temperature lower than 300 ◦C has a loose flat sheet grains structure and the titanium film prepared at the substrate temperature higher than 500 ◦C has a dense nubby grains structure. The DSSC assembled using stainless steel sheet coated with titanium film deposited at high substrate temperature has a low charge transfer resistance in the TiO2/Ti interface and results in a high conversion efficiency. The DSSC assembled using stainless steel sheet coated with titanium film deposited at temperature higher than 500 ◦C has higher conversion efficiency than that assembled using titanium metal sheet as the substrate. The maximum conversion efficiency, 2.26% is obtained for DSSC assembled using stainless steel sheet coated with titanium film deposited at 700 ◦C substrate temperature, which is about 70% of the conversion efficiency of the FTO reference cell used in this study.
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Mestrado em Contabilidade e Gestão das Instituições Financeiras
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Copyright © 2013 Springer Netherlands.
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Copyright © 2013 Springer Netherlands.
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Copyright © 2013 Springer Netherlands.
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Copyright © 2013 Springer Netherlands.
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Copyright 2013 Springer Netherlands.
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Dissertação de Mestrado em Finanças Empresariais
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Mestrado em Engenharia Electrotécnica e de Computadores