Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets

This paper models the mean and volatility spillovers of prices within the integrated Iberian and the interconnected Spanish and French electricity markets. Using the constant (CCC) and dynamic conditional correlation (DCC) bivariate models with three different specifications of the univariate variance processes, we study the extent to which increasing interconnection and harmonization in regulation have favoured price convergence. The data consist of daily prices calculated as the arithmetic mean of the hourly prices over a span from July 1st 2007 until February 29th 2012. The DCC model in which the variances of the univariate processes are specified with a VARMA(1,1) fits the data best for the integrated MIBEL whereas a CCC model with a GARCH(1,1) specification for the univariate variance processes is selected to model the price series in Spain and France. Results show that there are significant mean and volatility spillovers in the MIBEL, indicating strong interdependence between the two markets, while there is a weaker evidence of integration between the Spanish and French markets. We provide new evidence that the EU target of achieving a single electricity market largely depends on increasing trade between countries and homogeneous rules of market functioning.

Shock-Induced Dust Cloud Over a Deposit Layer of Fine Particles

The present paper investigates particle density pro les of a dust cloud induced by a normal shock wave moving at a constant speed along a at surface deposited with ne particles. In shock-fixxed coordinates, numerical simulation of ow structures of the carrier- and dispersed- phases was performed for the M = 2 case. The neness and non-uniformity of the particle size are taken into account and their effcts on the dust cloud are discussed in detail.

Computation of flow over a rotating body on unstructured Chimera mesh

Flow around moving boundary is ubiquitous in engineering applications. To increse the efficienly of the algorithm to handle moving boundaries is still a major challenge in Computational Fluid Dynamics (CFD). The Chimera grid method is one type of method to handle moving boundaries. A concept of domain de-composition has been proposed in this paper. In this method, sub-domains are meshed independently and governing equations are also solved separately on them. The Chimera grid method was originally used only on structured (curvilinear) meshes. However, in a problem which involves both moving boundary and complex geometry, the number of sub-domains required in a traditional (structured) Chimera method becomes fairly large. Thus the time required in the interior boundary locating, link-building and data exchanging also increases. The use of unstructured Chimera grid can reduce the time consumption significantly by the reduction of domain(block) number. Generally speaking, unstructured Chimera grid method has not been developed. In this paper, a well-known pressure correction scheme - SIMPLEC is modified and implemented on unstructured Chimera mesh. A new interpolation scheme regarding the pressure correction is proposed to prevent the possible decoupling of pressure. A moving-mesh finite volume approach is implemented in an inertial reference frame. This approach is then used to compute incompressible flow around a rotating circular and elliptic cylinder. These numerical examples demonstrate the capability of the proposed scheme in handling moving boundaries. The numerical results are in good agreement with other experimental and computational data in literature. The method proposed in this paper can be efficiently applied to more challenge cases such as free-falling objects or heavy particles in fluid.

Democratic Values Transmission

This study addresses the issue of intergenerational transmission of democratic values embedded in social choice rules. We focus on a few rules which have been the focus of social choice theory: plurality, plurality with a runoff, majoritarian compromise, social compromise and Borda rule. We confront subjects with preferences profiles of a hypothetical electorate over a set of four alternatives. Different rules produce different outcomes and subjects decide which alternative should be chosen for the society whose preference profile is shown. We elicit each subject's preferences over rules and his/her parents' and check whether there is any relationship; 186 students and their parents attended the sessions at Istanbul Bilgi University. Overall, we find support for the hypothesis of parental transmission of democratic values and gender differences in the transmitted rule.

Dialog Systems based on Markov decision processes over two real tasks

In this work the state of the art of the automatic dialogue strategy management using Markov decision processes (MDP) with reinforcement learning (RL) is described. Partially observable Markov decision processes (POMDP) are also described. To test the validity of these methods, two spoken dialogue systems have been developed. The first one is a spoken dialogue system for weather forecast providing, and the second one is a more complex system for train information. With the first system, comparisons between a rule-based system and an automatically trained system have been done, using a real corpus to train the automatic strategy. In the second system, the scalability of these methods when used in larger systems has been tested.

Consumption and portfolio rules whit stochastic hyperbolic discounting

We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce stochastic hyperbolic preferences as in Harris and Laibson (2013) and find closed-form solutions for Merton's optimal consumption and portfolio selection problem in continuous time. We find that the portfolio rule remains identical to the time-consistent solution with power utility and no borrowing constraints. However,the marginal propensity to consume out of wealth is unambiguously greater than the time-consistent, exponential case and,importantly, it is also more responsive to changes in risk. These results suggest that hyperbolic discounting with sophisticated agents offers promise for contributing to explaining important aspects of asset market data.