Dynamic whole system testing of combined renewable heating systems : the current state of the art

Objective: For the evaluation of the energetic performance of combined renewable heating systems that supply space heat and domestic hot water for single family houses, dynamic behaviour, component interactions, and control of the system play a crucial role and should be included in test methods. Methods: New dynamic whole system test methods were developed based on “hardware in the loop” concepts. Three similar approaches are described and their differences are discussed. The methods were applied for testing solar thermal systems in combination with fossil fuel boilers (heating oil and natural gas), biomass boilers, and/or heat pumps. Results: All three methods were able to show the performance of combined heating systems under transient operating conditions. The methods often detected unexpected behaviour of the tested system that cannot be detected based on steady state performance tests that are usually applied to single components. Conclusion: Further work will be needed to harmonize the different test methods in order to reach comparable results between the different laboratories. Practice implications: A harmonized approach for whole system tests may lead to new test standards and improve the accuracy of performance prediction as well as reduce the need for field tests.

Futuros sobre a margem operacional da refinação do petróleo bruto: crack spreads

Mestrado em Contabilidade Internacional

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.

The (de)merits of minimum-variance hedging: application to the crack spread

We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric models for estimating hedge ratios of crude oil, gasoline and heating oil crack spreads. Given the great variability and large jumps in both spot and futures prices, considerable care is required when processing the relevant data and accounting for the costs of maintaining and re-balancing the hedge position. We find that the variance reduction produced by all models is statistically and economically indistinguishable from the one-for-one “naïve” hedge. However, minimum-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge. Therefore we encourage hedgers to use a naïve hedging strategy on the crack spread bundles now offered by the exchange; this strategy is the cheapest and easiest to implement. Our conclusion contradicts the majority of the existing literature, which favours the implementation of GARCH-based hedging strategies.

Seasonality and the valuation of commodity options

Price movements in many commodity markets exhibit significant seasonal patterns. However, given an observed futures price, a deterministic seasonal component at the price level is not relevant for the pricing of commodity options. In contrast, this is not true for the seasonal pattern observed in the volatility of the commodity price. Analyzing an extensive sample of soybean, corn, heating oil and natural gas options, we find that seasonality in volatility is an important aspect to consider when valuing these contracts. The inclusion of an appropriate seasonality adjustment significantly reduces pricing errors in these markets and yields more improvement in valuation accuracy than increasing the number of stochastic factors.

An empirical model comparison for valuing crack spread options

In this paper, we investigate the pricing of crack spread options. Particular emphasis is placed on the question of whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we contrast a bivariate GARCH volatility model for cointegrated underlyings with the alternative of modeling the crack spread directly. Conducting an empirical analysis of crude oil/heating oil and crude oil/gasoline crack spread options traded on the New York Mercantile Exchange, the more simplistic univariate approach is found to be superior with respect to option pricing performance.

Flexural strength of autopolymerizing denture reline resins with microwave postpolymerization treatment

Statement of problem. Microwave postpolymerization has been Suggested as a method to improve the mechanical strength of repaired denture base materials. However, the effect of microwave heating oil the flexural strength of the autopolymerizing denture reline resins has not been investigated.Purpose. This study analyzed the effect of microwave postpolymerization on the flexural strength of 4 autopolymerizing reline resins (Duraliner II, Kooliner, Ufi Gel Hard, and Tokuso Rebase Fast) and 1 heat-polymerized resin (Lucitone 550).Material and methods. For each material, 80 specimens (64 X 10 X 3.3 mm) were polymerized according to the manufacturer's instructions and divided into 10 groups (n = 8). Control group specimens remained as processed. Before testing, the specimens were Subjected to postpolymerization in a microwave oven using different power (500, 5,50, or 650 W) and time (3, 4, or 5 Minutes) settings. Load measurements (newtons) were made at a crosshead speed of 5 mm/min using a 3-point bending device with a span of 50 mill. The flexural strength values were calculated in MPa. Data analyses included 3-way and 2-way analysis of variance and the Tukey Honestly Significant Difference test (alpha=.05).Results. The flexural strengths of resins Duraliner 11 and Kooliner were significantly increased (P=.0015 and P=.0046, respectively) with the application of microwave irradiation using different time/power combinations. The materials Lucitone 550, Tokuso Rebase Fast, and Ufi Gel Hard demonstrated no significant strength improvement compared to the corresponding control. Only after microwave postpolymerization irradiation for 3 minutes at 550 W did Lucitione 550 show significantly higher flexural strength than Tokuso Rebase Fast and Ufi Gel Hard relining resins.Conclusion. Microwave postpolymerization irradiation can be an effective method for increasing the flexural strength of Duraliner II (at 650 W) and Kooliner (at 550 W and 650 W for 5 minutes).

Interference of heating on the antimicrobial activity and chemical composition of Origanum vulgare L. (Lamiaceae) essential oil

Origanum vulgare L. (oregano), Lamiaceae, essential oil has a variety of biological properties and its antimicrobial activity has received a renewed interest for use in food conservation. The aim of this study was to evaluate the interference of heating on the antimicrobial activity and chemical composition of O. vulgare essential oil. The antimicrobial activity of the essential oil kept at room temperature and exposed to different heating temperatures (60, 80, 100 and 120 °C during 1 hour) was evaluated by observing antimicrobial effectiveness at absolute concentration and determining MIC values by the solid medium diffusion procedure. The essential oil chemical composition analysis was performed by GC-MS. O. vulgare essential oil showed interesting antimicrobial activity on all assayed microbial strains (Candida albicans, C.krusei, C. tropicalis, Bacillus cereus, Escherichia coli, Staphylococcus aureus, Yersinia enterocolitica, Salmonella enterica, Serratia marcencens), noted by large growth inhibition zones (30-42 mm). Heating treatment showed no significant interference (p < 0.05) on the essential oil antimicrobial activity, noted by the development of microbial growth inhibition zones with similar or close diameters when evaluating the essential oil kept at room temperature and after exposure to different thermal treatments. MIC values oscillated between 10and 40 µL.mL-1 (20µL.mL-1 for most strains). However, no significant difference (p < 0.05) was noted among the MIC values found for the essential oil aliquots exposed to different temperatures. Moreover, heating did not significantly (p < 0.05) affect the chemical composition of O. vulgare essential oil. Monoterpenes, terpenic compounds and sesquiterpenes were found in the essential oil, with carvacrol (68.06-70.27%) and p-cymene (12.85-15.81%) being the compounds found in the highest amounts. These results showed the thermal stability and intense antimicrobial properties of O. vulgare essential oil and support its possible concomitant use with heating temperatures in order to reach microbial safety in foods.

Heating effects on physicochemical characteristics and antioxidant activity of flaxseed hull oil (Linum usitatissimum L)

The aim of this study was to analyze the effects of heating on some quality characteristics and antioxidant activity of flaxseed hull oil. Polyunsaturated fatty acids (PUFA) and Cox value decreased during heating. Heating process led to considerable increase in saponification value (SV), peroxide value (PV), p-anisidine value (p-AnV), oxidative value (OV) and specific extinction at 232 and 270 nm. There was a significant decrease in oil stability during heating process (1.4-1.0 h). Fuel properties of flaxseed hull oil were also changed after heating treatment. Heating process caused loss of total phenolic acids, total flavanoids, carotenoids and chlorophyll pigments. Phospholipids (PL) content were less changed compared to other bioactive compounds. Antioxidant activity of flaxseed hull oil decreased during heating process.

Volume-based size distribution of accumulation and coarse particles (PM0.1–10) from cooking fume during oil heating

Particulate matter generated during the cooking process has been identified as one of the major problems of indoor air quality and indoor environmental health. Reliable assessment of exposure to cooking-generated particles requires accurate information of emission characteristics especially the size distribution. This study characterizes the volume/mass-based size distribution of the fume particles at the oil-heating stage for the typical Chinese-style cooking in a laboratory kitchen. A laser-diffraction size analyzer is applied to measure the volume frequency of fume particles ranged from 0.1 to 10 μm, which contribute to most mass proportion in PM2.5 and PM10. Measurements show that particle emissions have little dependence on the types of vegetable oil used but have a close relationship with the heating temperature. It is found that volume frequency of fume particles in the range of 1.0–4.0 μm accounts for nearly 100% of PM0.1–10 with the mode diameter 2.7 μm, median diameter 2.6 μm, Sauter mean diameter 3.0 μm, DeBroukere mean diameter 3.2 μm, and distribution span 0.48. Such information on emission characteristics obtained in this study can be possibly used to improve the assessment of indoor air quality due to PM0.1–10 in the kitchen and residential flat.

Tocopherol content and fatty acid profile in soybean oil supplemented with salvia extract (Salvia officinalis L.) during heating

This paper aimed to assess the tocopherol content and evaluate the fatty acid profile in soybean oil supplemented with salvia extract during heating, so as to verify the isolated and synergistic effect of natural and synthetic antioxidants. In order to obtain the extract, the lyophilized and crushed salvia was subjected to extraction by ethyl alcohol for 30 min, with a 1:20 salvia:ethyl alcohol ratio, under continuous agitation. Afterwards, the mixture was filtered and the supernatant was subjected to the rotary evaporator at 40 °C. Later the control treatments, ES (3000 mg kg-1 salvia extract), TBHQ (50 mg kg-1), and mixture (ES+50 mg kg-1 TBHQ) were prepared and subjected to 180 °C for 20 h. Samples were taken in time intervals 0, 10, and 20 h and analysed in terms of tocopherol content and fatty acid profile. Regarding the tocopherol and fatty acid profile analysis, it was found that the extract proved efficient in oil protection, when added isolated to soybean oil subjected to thermo oxidation. According to the results, salvia extract is a viable alternative that might be applied in industrialized processing of oils as natural antioxidant.

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Includes index.

Novel method for the determination of water content and higher heating value of pyrolysis oil

This research provides a novel approach for the determination of water content and higher heating value of pyrolysis oil. Pyrolysis oil from Napier grass was used in this study. Water content was determined with pH adjustment using a Karl Fischer titration unit. An equation for actual water in the oil was developed and used, and the results were compared with the traditional Karl Fischer method. The oil was found to have between 42 and 64% moisture under the same pyrolysis condition depending on the properties of the Napier grass prior to the pyrolysis. The higher heating value of the pyrolysis oil was determined using an oil-diesel mixture, and 20 to 25 wt% of the oil in the mixture gave optimum and stable results. A new model was developed for evaluation of higher heating value of dry pyrolysis oil. The dry oil has higher heating values in the range between 19 and 26 MJ/kg. The developed protocols and equations may serve as a reliable alternative means for establishing the actual water content and the higher heating value of pyrolysis oil.

Breaking Oil-in-water Emulsions Stabilized By Yeast.

Several biotechnological processes can show an undesirable formation of emulsions making difficult phase separation and product recovery. The breakup of oil-in-water emulsions stabilized by yeast was studied using different physical and chemical methods. These emulsions were composed by deionized water, hexadecane and commercial yeast (Saccharomyces cerevisiae). The stability of the emulsions was evaluated varying the yeast concentration from 7.47 to 22.11% (w/w) and the phases obtained after gravity separation were evaluated on chemical composition, droplet size distribution, rheological behavior and optical microscopy. The cream phase showed kinetic stability attributed to mechanisms as electrostatic repulsion between the droplets, a possible Pickering-type stabilization and the viscoelastic properties of the concentrated emulsion. Oil recovery from cream phase was performed using gravity separation, centrifugation, heating and addition of demulsifier agents (alcohols and magnetic nanoparticles). Long centrifugation time and high centrifugal forces (2h/150,000×g) were necessary to obtain a complete oil recovery. The heat treatment (60°C) was not enough to promote a satisfactory oil separation. Addition of alcohols followed by centrifugation enhanced oil recovery: butanol addition allowed almost complete phase separation of the emulsion while ethanol addition resulted in 84% of oil recovery. Implementation of this method, however, would require additional steps for solvent separation. Addition of charged magnetic nanoparticles was effective by interacting electrostatically with the interface, resulting in emulsion destabilization under a magnetic field. This method reached almost 96% of oil recovery and it was potentially advantageous since no additional steps might be necessary for further purifying the recovered oil.

Thermal properties and release of Lippia sidoides essential oil from gum arabic/maltodextrin microparticles

Microencapsulation of Lippia sidoides essential oil was carried out by spray drying. Blends of maltodextrin and gum arabic were used as carrier. Spray dried microparticles were characterized using conventional (thermogravimetry, evolved gas analysis) and combined (thermogravimetry-mass spectrometry analysis) thermal analysis techniques in order to evaluate the abilities of carriers with different compositions in retaining and in releasing the core vs. dynamic heating. Thermal analysis was useful to evaluate the physico-chemical interactions between the core and carriers and to determine the protective effect of the carriers on the evaporation of essential oil.