Techniques to improve forecasting models: applications to energy demand and price

This thesis is a study of three techniques to improve performance of some standard fore-casting models, application to the energy demand and prices. We focus on forecasting demand and price one-day ahead. First, the wavelet transform was used as a pre-processing procedure with two approaches: multicomponent-forecasts and direct-forecasts. We have empirically compared these approaches and found that the former consistently outperformed the latter. Second, adaptive models were introduced to continuously update model parameters in the testing period by combining ?lters with standard forecasting methods. Among these adaptive models, the adaptive LR-GARCH model was proposed for the fi?rst time in the thesis. Third, with regard to noise distributions of the dependent variables in the forecasting models, we used either Gaussian or Student-t distributions. This thesis proposed a novel algorithm to infer parameters of Student-t noise models. The method is an extension of earlier work for models that are linear in parameters to the non-linear multilayer perceptron. Therefore, the proposed method broadens the range of models that can use a Student-t noise distribution. Because these techniques cannot stand alone, they must be combined with prediction models to improve their performance. We combined these techniques with some standard forecasting models: multilayer perceptron, radial basis functions, linear regression, and linear regression with GARCH. These techniques and forecasting models were applied to two datasets from the UK energy markets: daily electricity demand (which is stationary) and gas forward prices (non-stationary). The results showed that these techniques provided good improvement to prediction performance.

Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their MSEs are 0.02314 and 0.15384 respectively.

Development of an on-demand beam pulsing system for Pixe-analysis of thick targets

This work concerns the developnent of a proton irduced X-ray emission (PIXE) analysis system and a multi-sample scattering chamber facility. The characteristics of the beam pulsing system and its counting rate capabilities were evaluated by observing the ion-induced X-ray emission from pure thick copper targets, with and without beam pulsing operation. The characteristic X-rays were detected with a high resolution Si(Li) detector coupled to a rrulti-channel analyser. The removal of the pile-up continuum by the use of the on-demand beam pulsing is clearly demonstrated in this work. This new on-demand pu1sirg system with its counting rate capability of 25, 18 and 10 kPPS corresponding to 2, 4 am 8 usec main amplifier time constant respectively enables thick targets to be analysed more readily. Reproducibility tests of the on-demard beam pulsing system operation were checked by repeated measurements of the system throughput curves, with and without beam pulsing. The reproducibility of the analysis performed using this system was also checked by repeated measurements of the intensity ratios from a number of standard binary alloys during the experimental work. A computer programme has been developed to evaluate the calculations of the X-ray yields from thick targets bornbarded by protons, taking into account the secondary X-ray yield production due to characteristic X-ray fluorescence from an element energetically higher than the absorption edge energy of the other element present in the target. This effect was studied on metallic binary alloys such as Fe/Ni and Cr/Fe. The quantitative analysis of Fe/Ni and Cr/Fe alloy samples to determine their elemental composition taking into account the enhancement has been demonstrated in this work. Furthermore, the usefulness of the Rutherford backscattering (R.B.S.) technique to obtain the depth profiles of the elements in the upper micron of the sample is discussed.

An econometric analysis of international tourism demand in Hong Kong : a cointegration and error correction approach

The purpose of this study is to develop econometric models to better understand the economic factors affecting inbound tourist flows from each of six origin countries that contribute to Hong Kong’s international tourism demand. To this end, we test alternative cointegration and error correction approaches to examine the economic determinants of tourist flows to Hong Kong, and to produce accurate econometric forecasts of inbound tourism demand. Our empirical findings show that permanent income is the most significant determinant of tourism demand in all models. The variables of own price, weighted substitute prices, trade volume, the share price index (as an indicator of changes in wealth in origin countries), and a dummy variable representing the Beijing incident (1989) are also found to be important determinants for some origin countries. The average long-run income and own price elasticity was measured at 2.66 and – 1.02, respectively. It was hypothesised that permanent income is a better explanatory variable of long-haul tourism demand than current income. A novel approach (grid search process) has been used to empirically derive the weights to be attached to the lagged income variable for estimating permanent income. The results indicate that permanent income, estimated with empirically determined relatively small weighting factors, was capable of producing better results than the current income variable in explaining long-haul tourism demand. This finding suggests that the use of current income in previous empirical tourism demand studies may have produced inaccurate results. The share price index, as a measure of wealth, was also found to be significant in two models. Studies of tourism demand rarely include wealth as an explanatory forecasting long-haul tourism demand. However, finding a satisfactory proxy for wealth common to different countries is problematic. This study indicates with the ECM (Error Correction Models) based on the Engle-Granger (1987) approach produce more accurate forecasts than ECM based on Pesaran and Shin (1998) and Johansen (1988, 1991, 1995) approaches for all of the long-haul markets and Japan. Overall, ECM produce better forecasts than the OLS, ARIMA and NAÏVE models, indicating the superiority of the application of a cointegration approach for tourism demand forecasting. The results show that permanent income is the most important explanatory variable for tourism demand from all countries but there are substantial variations between countries with the long-run elasticity ranging between 1.1 for the U.S. and 5.3 for U.K. Price is the next most important variable with the long-run elasticities ranging between -0.8 for Japan and -1.3 for Germany and short-run elasticities ranging between – 0.14 for Germany and -0.7 for Taiwan. The fastest growing market is Mainland China. The findings have implications for policies and strategies on investment, marketing promotion and pricing.

Investigating the supply and demand relationship in a profession: the English and Welsh schools of librarianship and information Studies and the Higher Education Library and Information Services employment sector in England and Wales.

Concern has been expressed in the professional literature - borne out by professional experience and observation - that the supply and demand relationship existing between the 13 English and Welsh Library and Information Studies (LIS) Schools (as providers of `First Professional' staff) and the Higher Education Library and Information Services (HE LIS) sector of England and Wales (as one group of employers of such staff) is unsatisfactory and needs attention. An appropriate methodology to investigate this problem was devised. A basic content analysis of Schools' curricular and recruitment material intended for public consumption was undertaken to establish an overview of the LIS initial professional education system in England and Wales, and to identify and analyse any covert messages imparted to readers. This was followed by a mix of Main Questionnaires and Semi-Structured Interviews with appropriate populations. The investigation revealed some serious areas of dissatisfaction by the HE LIS Chiefs with the role and function of the Schools. Considerable divergence of views emerged on the state of the working relationships between the two sectors and on the Schools' successes in meeting the needs of the HE LIS sector and on CPD provision. There were, however, areas of substantial and consistent agreement between the two sectors. The main implications of the findings were that those areas encompassing divergence of views were worrying and needed addressing by both sides. Possible ways forward included recommendations on improving the image of the profession purveyed by the Schools; the forming of closer and more effective inter-sectoral relationships; recognising fully the importance of `practicum' and increasing and sustaining the network of `practicum' providers.

Enhancing creativity in a general work environment : the role of problem-solving demand

Prior research suggests management can employ cognitively demanding job attributes to promote employee creativity. However, it is not clear what specific type of cognitive demand is particularly important for creativity, what processes underpin the relationship between demanding job conditions and creativity and what factors lead to employee perceptions of demanding job attributes. This research sets out to address the aforementioned issues by examining: (i) problem-solving demand (PDS), a specific type of cognitive demand, and the processes that link PSD to creativity, and (ii) antecedents to PSD. Based on social cognitive theory, PSD was hypothesized to be positively related to creativity through the motivational mechanism of creative self-efficacy. However, the relationship between PSD and creative self-efficacy was hypothesized to be contingent on levels of intrinsic motivation. Social information processing perspective and the job crafting model were used to identify antecedents of PSD. Consequently, two social-contextual factors (supervisor developmental feedback and job autonomy) and one individual factor (proactive personality) were hypothesized to be precursors to PSD perceptions. The theorized model was tested with data obtained from a sample of 270 employees and their supervisors from 3 organisations in the People’s Republic of China. Regression results revealed that PSD was positively related to creativity but this relationship was partially mediated by creative self-efficacy. Additionally, intrinsic motivation moderated the relationship between PSD and creative self-efficacy such that the relationship was stronger for individuals high rather than low in intrinsic motivation. The findings represent a productive first step in identifying a specific cognitive demand that is conducive to employee creativity. In addition, the findings contribute to the literature by identifying a psychological mechanism that may link cognitively demanding job attributes and creativity.

Aspects of the design and control of manufacturing systems subject to demand uncertainty

The recent explosive growth in advanced manufacturing technology (AMT) and continued development of sophisticated information technologies (IT) is expected to have a profound effect on the way we design and operate manufacturing businesses. Furthermore, the escalating capital requirements associated with these developments have significantly increased the level of risk associated with initial design, ongoing development and operation. This dissertation has examined the integration of two key sub-elements of the Computer Integrated Manufacturing (CIM) system, namely the manufacturing facility and the production control system. This research has concentrated on the interactions between production control (MRP) and an AMT based production facility. The disappointing performance of such systems has been discussed in the context of a number of potential technological and performance incompatibilities between these two elements. It was argued that the design and selection of operating policies for both is the key to successful integration. Furthermore, policy decisions are shown to play an important role in matching the performance of the total system to the demands of the marketplace. It is demonstrated that a holistic approach to policy design must be adopted if successful integration is to be achieved. It is shown that the complexity of the issues resulting from such an approach required the formulation of a structured design methodology. Such a methodology was subsequently developed and discussed. This combined a first principles approach to the behaviour of system elements with the specification of a detailed holistic model for use in the policy design environment. The methodology aimed to make full use of the `low inertia' characteristics of AMT, whilst adopting a JIT configuration of MRP and re-coupling the total system to the market demands. This dissertation discussed the application of the methodology to an industrial case study and the subsequent design of operational policies. Consequently a novel approach to production control resulted. A central feature of which was a move toward reduced manual intervention in the MRP processing and scheduling logic with increased human involvement and motivation in the management of work-flow on the shopfloor. Experimental results indicated that significant performance advantages would result from the adoption of the recommended policy set.

Ethnic groups as market segments: implications of the demand structure

Ethnic market potential in Britain has not yet been thoroughly researched. Important recent trends have focused mainly on the affective and emotional aspects of ethnicity, and included deliberations on the emergence of a revitalised neo-ethnic consciousness; its identification; politicisation, and the impact on it; of a rising third-world consciousness. This investigation attempts to take cognizance of the consuner demand of the ethnic Asian and West Indian groups, as specific market segments. It discusses the rationale for ethnic segmentation on the underlying premise, that the starting point for all product marketing is a response to perceived market opportunities. On the basis of this approach, the UK laundry detergent and automobile markets were investigated; as being representative of product categories constitutirg extremes along the purchase-search-time continuun in consuner decision-making. Ethnic groups were further analysed for their retail patronage patterns; media usage, and the differential effectiveness of alternative advertisirg strategies. The basic technique of marketing research namely the sample survey, was used with the aim of applying scientific techniques in obtaining information on ethnic groups. The integrated marketirg framework utilised allowed, moreover, for the collection of market research data on the specific issues of ethnic product penetration dealing with retailing, advertising and product promotion. The evidence highlights the fact that the cultural orientations of ethnic groups are instrunental in providing for differential demand structures. It points to the answer that ethnicity is an anchor not only for a deeper sense of identity; but also serves as a focus for the economic interests of ethnic groups. On this basis it is argued here, that since cultural levelling would eventually produce stagnation; current marketing strategies should utilise ethnic diversity as an econanic artifact; which; per se is necessary for profitability and growth; especially in innovative product design and development.

Household sector money demand for the UK

We test for the existence of a long-run money demand relationship for the UK involving household-sector Divisia and simple sum monetary indexes for the period from 1977 to 2008. We construct our Divisia index using non-break-adjusted levels and break-adjusted flows following the Bank of England. We test for cointegration between the real Divisia and simple sum indexes, their corresponding opportunity cost measures, real income and real share prices. Our results support the existence of a long-run money demand relationship for both the Divisia and simple sum indexes.

The effects of the changing energy situation on demand for industrial heat exchangers

The Project arose during a period in which the World was still coming to terms with the effects and implications of the so called 'energy crisis' of 1973/74. Serck Heat Transfer is a manufacturer of heat exchangers which transfer heat between fluids of various sorts. As such the company felt that past and possible future changes in the energy situation could have an impact upon the demand for its products. The thesis represents the first attempt to examine the impact of changes in the energy situation (a major economic variable) on the long term demand for heat exchangers. The scope of the work was limited to the United Kingdom, this being the largest single market for Serek's products. The thesis analyses industrial heat exchanger markets and identifies those trends which are related to both the changing energy situation and the usage of heat exchangers. These trends have been interpreted In terms of projected values of heat exchanger demand. The projections cover the period 197S to the year 2000. Also examined in the thesis is the future energy situation both internationally and nationally and it is found that in the long term there will be increasing pressure on consumers to conserve energy through rising real prices. The possibility of a connection between energy consumption and heat exchanger demand is investigated and no significant correlation found. This appears to be because there are a number of determinants of demand besides energy related factors and also there is a wide diversity of individual markets for heat exchangers. Conclusions are that in all markets, bar one, the changing energy situation should lead to a higher level of heat exchanger demand than would otherwise be the case had the energy situation not changed. It is also pointed out that it is misleading to look at changes in one influence on the demand for a product and ignore others.

Demand side management within a regional electricity company

The work presented in this thesis concerns itself with the application of Demand Side Management (DSM) by industrial subsector as applied to the UK electricity industry. A review of the origins of DSM in the US and the relevance of experience gained to the UK electricity industry is made. Reviews are also made of the current status of the UK electricity industry, the regulatory system, and the potential role of DSM within the prevalent industry environment. A financial appraisal of DSM in respect of the distribution business of a Regional Electricity Company (REC) is also made. This financial appraisal highlights the economic viability of DSM within the context of the current UK electricity industry. The background of the work presented above is then followed by the construction of a framework detailing the necessary requirements for expanding the commercial role of DSM to encompass benefits for the supply business of a REC. The derived framework is then applied, in part, to the UK ceramics manufacturing industry, and in full to the UK sanitaryware manufacturing industry. The application of the framework to the UK sanitaryware manufacturing industry has required the undertaking of a unique first-order energy audit of every such manufacturing site in the UK. As such the audit has revealed previously unknown data on the timings and magnitude of electricity demand and consumption attributable to end-use manufacturing technologies and processes. The audit also served to reveal the disparity in the attitudes toward energy services, and thus by implication towards DSM, of manufacturers within the same Standard Industrial Classification (SIC) code. In response to this, attempt is made to identify the underlying drivers which could cause this variation in attitude. A novel approach to the market segmentation of the companies within the UK ceramics manufacturing sector has been utilised to classify these companies in terms of their likelihood to participate in DSM programmes through the derived Energy Services approach. The market segmentation technique, although requiring further development to progress from a research based concept, highlights the necessity to look beyond the purely energy based needs of manufacturing industries when considering the utilisation of the Energy Services approach to facilitate DSM programs.