The effect of utility time-varying pricing and load control strategies on residential summer peak electricity use. A review

International Nuclear Information System (INIS)

Newsham, Guy R.; Bowker, Brent G.

2010-01-01

Peak demand for electricity in North America is expected to grow, challenging electrical utilities to supply this demand in a cost-effective, reliable manner. Therefore, there is growing interest in strategies to reduce peak demand by eliminating electricity use, or shifting it to non-peak times. This strategy is commonly called 'demand response'. In households, common strategies are time-varying pricing, which charge more for energy use on peak, or direct load control, which allows utilities to curtail certain loads during high demand periods. We reviewed recent North American studies of these strategies. The data suggest that the most effective strategy is a critical peak price (CPP) program with enabling technology to automatically curtail loads on event days. There is little evidence that this causes substantial hardship for occupants, particularly if they have input into which loads are controlled and how, and have an override option. In such cases, a peak load reduction of at least 30% is a reasonable expectation. It might be possible to attain such load reductions without enabling technology by focusing on household types more likely to respond, and providing them with excellent support. A simple time-of-use (TOU) program can only expect to realise on-peak reductions of 5%. (author)

Volatility spillover and time-varying conditional correlation between DDGS, corn, and soybean meal markets

NARCIS (Netherlands)

Etienne, Xiaoli L.; Trujillo-Barrera, Andrés; Hoffman, Linwood A.

2017-01-01

We find distiller's dried grains with solubles (DDGS) prices to be positively correlated with both corn and soybean meal prices in the long run. However, neither corn nor soybean meal prices respond to deviations from this long-run relationship. We also identify strong time-varying dynamic

Time-varying economic dominance in financial markets: A bistable dynamics approach

Science.gov (United States)

He, Xue-Zhong; Li, Kai; Wang, Chuncheng

2018-05-01

By developing a continuous-time heterogeneous agent financial market model of multi-assets traded by fundamental and momentum investors, we provide a potential mechanism for generating time-varying dominance between fundamental and non-fundamental in financial markets. We show that investment constraints lead to the coexistence of a locally stable fundamental steady state and a locally stable limit cycle around the fundamental, characterized by a Bautin bifurcation. This provides a mechanism for market prices to switch stochastically between the two persistent but very different market states, leading to the coexistence and time-varying dominance of seemingly controversial efficient market and price momentum over different time periods. The model also generates other financial market stylized facts, such as spillover effects in both momentum and volatility, market booms, crashes, and correlation reduction due to cross-sectional momentum trading. Empirical evidence based on the U.S. market supports the main findings. The mechanism developed in this paper can be used to characterize time-varying economic dominance in economics and finance in general.

Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory

Directory of Open Access Journals (Sweden)

Kai Chang

2013-01-01

Full Text Available Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market have significant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging effectiveness estimation using ECM-GARCH model. Our empirical results show that conditional variance, conditional covariance, and their correlation between between spot and futures prices exhibit time-varying trends. Conditional volatility of spot prices, conditional volatility disturbed from futures market, and conditional correlation of market noises implied from spot and futures markets have significant effects on time-varying hedge ratios and hedging effectiveness. In the immature emissions allowances market, market participants optimize portfolio sizes between spot and futures assets using historical market information and then achieve higher risk reduction of assets portfolio revenues; accordingly, we can obtain better hedging effectiveness through time-varying hedge ratios with departures from the cost-of-carry theory.

Beyond the sticker price: including and excluding time in comparing food prices.

Science.gov (United States)

Yang, Yanliang; Davis, George C; Muth, Mary K

2015-07-01

An ongoing debate in the literature is how to measure the price of food. Most analyses have not considered the value of time in measuring the price of food. Whether or not the value of time is included in measuring the price of a food may have important implications for classifying foods based on their relative cost. The purpose of this article is to compare prices that exclude time (time-exclusive price) with prices that include time (time-inclusive price) for 2 types of home foods: home foods using basic ingredients (home recipes) vs. home foods using more processed ingredients (processed recipes). The time-inclusive and time-exclusive prices are compared to determine whether the time-exclusive prices in isolation may mislead in drawing inferences regarding the relative prices of foods. We calculated the time-exclusive price and time-inclusive price of 100 home recipes and 143 processed recipes and then categorized them into 5 standard food groups: grains, proteins, vegetables, fruit, and dairy. We then examined the relation between the time-exclusive prices and the time-inclusive prices and dietary recommendations. For any food group, the processed food time-inclusive price was always less than the home recipe time-inclusive price, even if the processed food's time-exclusive price was more expensive. Time-inclusive prices for home recipes were especially higher for the more time-intensive food groups, such as grains, vegetables, and fruit, which are generally underconsumed relative to the guidelines. Focusing only on the sticker price of a food and ignoring the time cost may lead to different conclusions about relative prices and policy recommendations than when the time cost is included. © 2015 American Society for Nutrition.

Wealth Transfers Among Large Customers from Implementing Real-Time Retail Electricity Pricing

OpenAIRE

Borenstein, Severin

2007-01-01

Adoption of real-time electricity pricing — retail prices that vary hourly to reflect changing wholesale prices — removes existing cross-subsidies to those customers that consume disproportionately more when wholesale prices are highest. If their losses are substantial, these customers are likely to oppose RTP initiatives unless there is a supplemental program to offset their loss. Using data on a sample of 1142 large industrial and commercial customers in northern California, I show that RTP...

Unbiasedness and time varying risk premia in the crude oil futures market

International Nuclear Information System (INIS)

Moosa, I.A.; Al-Loughani, N.E.

1994-01-01

This paper presents some empirical evidence on market efficiency and unbiasedness in the crude oil futures market and some related issues. On the basis of monthly observations on spot and futures prices of the West Texas Intermediate (WTI) crude oil, several tests are carried out on the relevant hypotheses. The evidence suggests that futures prices are neither unbiased nor efficient forecasters of spot prices. Furthermore, a GARCH-M(1,1) model reveals the existence of a time varying risk premium. (author)

Conditional CAPM: Time-varying Betas in the Brazilian Market

Directory of Open Access Journals (Sweden)

Frances Fischberg Blank

2014-10-01

Full Text Available The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the Brazilian stock market and compares their adjustment to data. Asset pricing tests based on time-series and cross-sectional approaches are also implemented. A random walk process combined with conditioning variables is the preferred model, reducing pricing errors compared to unconditional CAPM, but the errors are still significant. Cross-sectional test show that book-to-market ratio becomes less relevant, but past returns still capture cross-section variation

Time-varying predictability in crude-oil markets: the case of GCC countries

International Nuclear Information System (INIS)

El Hedi Arouri, Mohamed; Thanh Huong Dinh; Duc Khuong Nguyen

2010-01-01

This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period February 7, 1997-January 8, 2010. Using data from four countries of the Gulf Cooperation Council, we find evidence of short-term predictability in oil-price changes over time, except for several short sub-periods. However, the hypothesis of convergence towards weak-form informational efficiency is rejected for all markets. In addition, we explore the possibility of structural breaks in the time-paths of the estimated predictability indices and detect only one breakpoint, for the oil markets in Qatar and the United Arab Emirates. Our empirical results therefore call for new empirical research to further gauge the predictability characteristics and the determinants of oil-price changes.

Recovering a time-homogeneous stock price process from perpetual option prices

OpenAIRE

Ekström, Erik; Hobson, David

2009-01-01

It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.

Real time pricing as a component of least-cost power strategies

International Nuclear Information System (INIS)

Caramanis, M.C.; Tabors, R.D.; Daryanian, B.

1991-01-01

This paper reports on Real Time Pricing (RTP) that is an electricity rate which varies with time in order to reflect the electric utility's time varying costs of generation, transmission, and distribution. Because RTP improves the economic efficiency of overall operation of the electric system, it can provide benefits to both the utility and the customers. It is a strategic tool which provides customers with the same type of cost and load management signals that are provided to the electric supply system. It is a critical element in economically efficient least-cost strategies because it provides the customer with symmetric signals that encourage both reduction in consumption (high prices) and also increases in consumption (low prices). This characteristic of symmetry makes it a unique method relative to others in the field of conservation and load management because RTP can be used to dispatch the customers; load, not merely turn it off when and if required by the utility. In the process of developing and implementing least-cost strategies, RTP can provide significant incremental benefits to existing demand-side as well as supply-side programs

On Nonlinear Prices in Timed Automata

Directory of Open Access Journals (Sweden)

Devendra Bhave

2016-12-01

Full Text Available Priced timed automata provide a natural model for quantitative analysis of real-time systems and have been successfully applied in various scheduling and planning problems. The optimal reachability problem for linearly-priced timed automata is known to be PSPACE-complete. In this paper we investigate priced timed automata with more general prices and show that in the most general setting the optimal reachability problem is undecidable. We adapt and implement the construction of Audemard, Cimatti, Kornilowicz, and Sebastiani for non-linear priced timed automata using state-of-the-art theorem prover Z3 and present some preliminary results.

An estimation of U.S. gasoline demand. A smooth time-varying cointegration approach

International Nuclear Information System (INIS)

Park, Sung Y.; Zhao, Guochang

2010-01-01

In this paper the U.S. gasoline demand from 1976 to 2008 is estimated using a time-varying cointegrating regression. We find that price elasticity increased rapidly during the late 1970s and then decreased until 1987. After a relatively small-scaled 'increase-decrease' cycle from 1987 to 2000, the price elasticity rose again after 2000. The time-varying change of the elasticities may be explained by the proportion of gasoline consumption to income and fluctuation of the degree of necessity. The result of the error correction model shows that a deviation from a long-run equilibrium is corrected quickly, and the welfare analysis illustrates there may be a gain by shifting the tax scheme from income tax to gasoline tax. (author)

An estimation of U.S. gasoline demand. A smooth time-varying cointegration approach

Energy Technology Data Exchange (ETDEWEB)

Park, Sung Y. [Department of Economics, University of Illinois, Urbana, IL 61801 (United States); The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, Fujian 361005 (China); Zhao, Guochang [Research School of Economics, College of Business and Economics, The Australian National University, Canberra, ACT 2601 (Australia)

2010-01-15

In this paper the U.S. gasoline demand from 1976 to 2008 is estimated using a time-varying cointegrating regression. We find that price elasticity increased rapidly during the late 1970s and then decreased until 1987. After a relatively small-scaled 'increase-decrease' cycle from 1987 to 2000, the price elasticity rose again after 2000. The time-varying change of the elasticities may be explained by the proportion of gasoline consumption to income and fluctuation of the degree of necessity. The result of the error correction model shows that a deviation from a long-run equilibrium is corrected quickly, and the welfare analysis illustrates there may be a gain by shifting the tax scheme from income tax to gasoline tax. (author)

Construction of Discrete Time Shadow Price

International Nuclear Information System (INIS)

Rogala, Tomasz; Stettner, Lukasz

2015-01-01

In the paper expected utility from consumption over finite time horizon for discrete time markets with bid and ask prices and strictly concave utility function is considered. The notion of weak shadow price, i.e. an illiquid price, depending on the portfolio, under which the model without bid and ask price is equivalent to the model with bid and ask price is introduced. Existence and the form of weak shadow price is shown. Using weak shadow price usual (called in the paper strong) shadow price is then constructed

Time-Varying Value of Energy Efficiency in Michigan

Energy Technology Data Exchange (ETDEWEB)

Mims, Natalie; Eckman, Tom; Schwartz, Lisa C.

2018-04-02

Quantifying the time-varying value of energy efficiency is necessary to properly account for all of its benefits and costs and to identify and implement efficiency resources that contribute to a low-cost, reliable electric system. Historically, most quantification of the benefits of efficiency has focused largely on the economic value of annual energy reduction. Due to the lack of statistically representative metered end-use load shape data in Michigan (i.e., the hourly or seasonal timing of electricity savings), the ability to confidently characterize the time-varying value of energy efficiency savings in the state, especially for weather-sensitive measures such as central air conditioning, is limited. Still, electric utilities in Michigan can take advantage of opportunities to incorporate the time-varying value of efficiency into their planning. For example, end-use load research and hourly valuation of efficiency savings can be used for a variety of electricity planning functions, including load forecasting, demand-side management and evaluation, capacity planning, long-term resource planning, renewable energy integration, assessing potential grid modernization investments, establishing rates and pricing, and customer service (KEMA 2012). In addition, accurately calculating the time-varying value of efficiency may help energy efficiency program administrators prioritize existing offerings, set incentive or rebate levels that reflect the full value of efficiency, and design new programs.

Toward the integration of European natural gas markets:A time-varying approach

International Nuclear Information System (INIS)

Renou-Maissant, Patricia

2012-01-01

Over the past fifteen years, European gas markets have radically changed. In order to build a single European gas market, a new regulatory framework has been established through three European Gas Directives. The purpose of this article is to investigate the impact of the reforms in the natural gas industry on consumer prices, with a specific focus on gas prices for industrial use. The strength of the relationship between the industrial gas prices of six western European countries is studied by testing the Law of One Price for the period 1991–2009. Estimations were carried out using both cointegration analysis and time-varying parameter models. Results highlight an emerging and on-going process of convergence between the industrial gas prices in western Europe since 2001 for the six EU member states. The strength and the level of convergence differ widely between countries. Strong integration of gas markets in continental Europe, except for the Belgian market, has been established. It appears that the convergence process between continental countries and the UK is not completed. Thus, the integration of European gas markets remains an open issue and the question of how far integration will proceed will still be widely discussed in the coming years. - Highlights: ► We investigate the integration of European natural gas markets. ► We use both cointegration analysis and time-varying parameter models. ► We show the failure of cointegration techniques to take account of evolving processes. ► An emerging and on-going process of convergence between the industrial gas prices is at work. ► Strong integration of gas markets in continental Europe has been established.

Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations

Science.gov (United States)

Rypdal, Martin; Sirnes, Espen; Løvsletten, Ola; Rypdal, Kristoffer

2013-08-01

Maximum likelihood estimation techniques for multifractal processes are applied to high-frequency data in order to quantify intermittency in the fluctuations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter λ characterising the degree of volatility clustering. We can therefore study the time evolution of volatility clustering and test the statistical significance of this variability. By analysing data from the Oslo Stock Exchange, and comparing the results with the investment grade spread, we find that the estimates of λ are lower at times of high market uncertainty.

Real-time Pricing in Power Markets

DEFF Research Database (Denmark)

Boom, Anette; Schwenen, Sebastian

We examine welfare e ects of real-time pricing in electricity markets. Before stochastic energy demand is known, competitive retailers contract with nal consumers who exogenously do not have real-time meters. After demand is realized, two electricity generators compete in a uniform price auction...... to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...

Real-time Pricing in Power Markets

DEFF Research Database (Denmark)

Boom, Anette; Schwenen, Sebastian

We examine welfare eects of real-time pricing in electricity markets. Before stochastic energy demand is known, competitive retailers contract with nal consumers who exogenously do not have real-time meters. After demand is realized, two electricity generators compete in a uniform price auction...... to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...

Endogenous time-varying risk aversion and asset returns.

Science.gov (United States)

Berardi, Michele

2016-01-01

Stylized facts about statistical properties for short horizon returns in financial markets have been identified in the literature, but a satisfactory understanding for their manifestation is yet to be achieved. In this work, we show that a simple asset pricing model with representative agent is able to generate time series of returns that replicate such stylized facts if the risk aversion coefficient is allowed to change endogenously over time in response to unexpected excess returns under evolutionary forces. The same model, under constant risk aversion, would instead generate returns that are essentially Gaussian. We conclude that an endogenous time-varying risk aversion represents a very parsimonious way to make the model match real data on key statistical properties, and therefore deserves careful consideration from economists and practitioners alike.

Analysis of relationships between hourly electricity price and load in deregulated real-time power markets

International Nuclear Information System (INIS)

Lo, K.L.; Wu, Y.K.

2004-01-01

Risk management in the electric power industry involves measuring the risk for all instruments owned by a company. The value of many of these instruments depends directly on electricity prices. In theory, the wholesale price in a real-time market should reflect the short-run marginal cost. However, most markets are not perfectly competitive, therefore by understanding the degree of correlation between price and physical drivers, electric traders and consumers can manage their risk more effectively and efficiently. Market data from two power-pool architectures, both pre-2003 ISO-NE and Australia's NEM, have been studied. The dynamic character of electricity price is mean-reverting, and consists of intra-day and weekly variations, seasonal fluctuations, and instant jumps. Parts of them are affected by load demands. Hourly signals on both price and load are divided into deterministic and random components with a discrete Fourier transform algorithm. Next, the real-time price-load relationship for periodic and random signals is examined. In addition, time-varying volatility models are constructed on random price and random load with the GARCH model, and the correlation between them analysed. Volatility plays a critical role on evaluating option pricing and risk management. (author)

The real-time price elasticity of electricity

International Nuclear Information System (INIS)

Lijesen, Mark G.

2007-01-01

The real-time price elasticity of electricity contains important information on the demand response of consumers to the volatility of peak prices. Despite the importance, empirical estimates of the real-time elasticity are hardly available. This paper provides a quantification of the real-time relationship between total peak demand and spot market prices. We find a low value for the real-time price elasticity, which may partly be explained from the fact that not all users observe the spot market price. If we correct for this phenomenon, we find the elasticity to be fairly low for consumers currently active in the spot market. If this conclusion applies to all users, this would imply a limited scope for government intervention in supply security issues. (Author)

The importance of time cost in pricing outpatient care.

Science.gov (United States)

Heshmat, S

1988-01-01

The purpose of this article is to discuss the component of the full price charged to patients using outpatient care. The full price of a visit to a physician is equal to out-of-pocket payment (money price), and time costs. In particular, the article discusses the concept of time price (marginal value of time for a patient), and presents a specific example to illustrate the concept of time price elasticity. The concepts and information presented in this article can help marketing managers in setting pricing strategy that would explicitly consider time price.

Minimum-Cost Reachability for Priced Timed Automata

DEFF Research Database (Denmark)

Behrmann, Gerd; Fehnker, Ansgar; Hune, Thomas Seidelin

2001-01-01

This paper introduces the model of linearly priced timed automata as an extension of timed automata, with prices on both transitions and locations. For this model we consider the minimum-cost reachability problem: i.e. given a linearly priced timed automaton and a target state, determine...... the minimum cost of executions from the initial state to the target state. This problem generalizes the minimum-time reachability problem for ordinary timed automata. We prove decidability of this problem by offering an algorithmic solution, which is based on a combination of branch-and-bound techniques...... and a new notion of priced regions. The latter allows symbolic representation and manipulation of reachable states together with the cost of reaching them....

Time-varying value of electric energy efficiency

Energy Technology Data Exchange (ETDEWEB)

Mims, Natalie A.; Eckman, Tom; Goldman, Charles

2017-06-30

Electric energy efficiency resources save energy and may reduce peak demand. Historically, quantification of energy efficiency benefits has largely focused on the economic value of energy savings during the first year and lifetime of the installed measures. Due in part to the lack of publicly available research on end-use load shapes (i.e., the hourly or seasonal timing of electricity savings) and energy savings shapes, consideration of the impact of energy efficiency on peak demand reduction (i.e., capacity savings) has been more limited. End-use load research and the hourly valuation of efficiency savings are used for a variety of electricity planning functions, including load forecasting, demand-side management and evaluation, capacity and demand response planning, long-term resource planning, renewable energy integration, assessing potential grid modernization investments, establishing rates and pricing, and customer service. This study reviews existing literature on the time-varying value of energy efficiency savings, provides examples in four geographically diverse locations of how consideration of the time-varying value of efficiency savings impacts the calculation of power system benefits, and identifies future research needs to enhance the consideration of the time-varying value of energy efficiency in cost-effectiveness screening analysis. Findings from this study include: -The time-varying value of individual energy efficiency measures varies across the locations studied because of the physical and operational characteristics of the individual utility system (e.g., summer or winter peaking, load factor, reserve margin) as well as the time periods during which savings from measures occur. -Across the four locations studied, some of the largest capacity benefits from energy efficiency are derived from the deferral of transmission and distribution system infrastructure upgrades. However, the deferred cost of such upgrades also exhibited the greatest range

Space-time modeling of timber prices

Science.gov (United States)

Mo Zhou; Joseph Buongriorno

2006-01-01

A space-time econometric model was developed for pine sawtimber timber prices of 21 geographically contiguous regions in the southern United States. The correlations between prices in neighboring regions helped predict future prices. The impulse response analysis showed that although southern pine sawtimber markets were not globally integrated, local supply and demand...

Minimum-Cost Reachability for Priced Timed Automata

DEFF Research Database (Denmark)

Behrmann, Gerd; Fehnker, Ansgar; Hune, Thomas Seidelin

2001-01-01

This paper introduces the model of linearly priced timed automata as an extension of timed automata, with prices on both transitions and locations. For this model we consider the minimum-cost reachability problem: i.e. given a linearly priced timed automaton and a target state, determine...... the minimum cost of executions from the initial state to the target state. This problem generalizes the minimum-time reachability problem for ordinary timed automata. We prove decidability of this problem by offering an algorithmic solution, which is based on a combination of branch-and-bound techniques...

Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework

Directory of Open Access Journals (Sweden)

Krzysztof Drachal

2018-05-01

Full Text Available This article presents results from modelling spot oil prices by Dynamic Model Averaging (DMA. First, based on a literature review and availability of data, the following oil price drivers have been selected: stock prices indices, stock prices volatility index, exchange rates, global economic activity, interest rates, supply and demand indicators and inventories level. Next, they have been included as explanatory variables in various DMA models with different initial parameters. Monthly data between January 1986 and December 2015 has been analyzed. Several variations of DMA models have been constructed, because DMA requires the initial setting of certain parameters. Interestingly, DMA has occurred to be robust to setting different values to these parameters. It has also occurred that the quality of prediction is the highest for the model with the drivers solely connected with the stock markets behavior. Drivers connected with macroeconomic fundamental indicators have not been found so important. This observation can serve as an argument favoring the hypothesis of the increasing financialization of the oil market, at least in the short-term period. The predictions from other, slightly different modelling variations based on DMA methodology, have happened to be consistent with each other in general. Many constructed models have outperformed alternative forecasting methods. It has also been found that normalization of the initial data, although not necessary for DMA from the theoretical point of view, significantly improves the quality of prediction.

Improving the Forecasting Accuracy of Crude Oil Prices

Directory of Open Access Journals (Sweden)

Xuluo Yin

2018-02-01

Full Text Available Currently, oil is the key element of energy sustainability, and its prices and economy have a strong mutual influence. Modeling a good method to accurately predict oil prices over long future horizons is challenging and of great interest to investors and policymakers. This paper forecasts oil prices using many predictor variables with a new time-varying weight combination approach. In doing so, we first use five single-variable time-varying parameter models to predict crude oil prices separately. Second, every special model is assigned a time-varying weight by the new combination approach. Finally, the forecasting results of oil prices are calculated. The results show that the paper’s method is robust and performs well compared to random walk.

The real-time price elasticity of electricity

NARCIS (Netherlands)

Lijesen, M.G.

2007-01-01

The real-time price elasticity of electricity contains important information on the demand response of consumers to the volatility of peak prices. Despite the importance, empirical estimates of the real-time elasticity are hardly available. This paper provides a quantification of the real-time

Priced Timed Automata

DEFF Research Database (Denmark)

Behrmann, Gerd; Larsen, Kim Guldstrand; Rasmussen, Jacob Illum

2004-01-01

This contribution reports on the considerable effort made recently towards extending and applying well-established timed automata technology to optimal scheduling and planning problems. The effort of the authors in this direction has to a large extent been carried out as part of the European...... projects VHS [22] and AMETIST [17] and are available in the recently released UPPAAL CORA [12], a variant of the real-time verification tool UPPAAL [20,5] specialized for cost-optimal reachability for the extended model of priced timed automata....

Mideast crisis and pricing in the oil futures market

International Nuclear Information System (INIS)

Hamed, A.H.

1992-01-01

Futures prices and the corresponding expected future cash price on crude oil markets differ. The difference is hypothesized to be due to a time varying risk premium where risk is due to either cash price volatility, oil output volatility, or unanticipated oil price movement. And this risk is measured by the conditional variance of the forementioned sources of risk. Using the ARCH (Autoregressive Conditional Heterosckdasticity) model and its extensions this study addresses the determination of the time varying risk premium. Political unrest in the Mideast oil exporting countries is hypothesized to be a determinant of the time varying risk premium in the oil futures market. The empirical tests allow informative inferences to be drawn on the role of political unrest in pricing oil

Microgrids Real-Time Pricing Based on Clustering Techniques

Directory of Open Access Journals (Sweden)

Hao Liu

2018-05-01

Full Text Available Microgrids are widely spreading in electricity markets worldwide. Besides the security and reliability concerns for these microgrids, their operators need to address consumers’ pricing. Considering the growth of smart grids and smart meter facilities, it is expected that microgrids will have some level of flexibility to determine real-time pricing for at least some consumers. As such, the key challenge is finding an optimal pricing model for consumers. This paper, accordingly, proposes a new pricing scheme in which microgrids are able to deploy clustering techniques in order to understand their consumers’ load profiles and then assign real-time prices based on their load profile patterns. An improved weighted fuzzy average k-means is proposed to cluster load curve of consumers in an optimal number of clusters, through which the load profile of each cluster is determined. Having obtained the load profile of each cluster, real-time prices are given to each cluster, which is the best price given to all consumers in that cluster.

Time-varying BRDFs.

Science.gov (United States)

Sun, Bo; Sunkavalli, Kalyan; Ramamoorthi, Ravi; Belhumeur, Peter N; Nayar, Shree K

2007-01-01

The properties of virtually all real-world materials change with time, causing their bidirectional reflectance distribution functions (BRDFs) to be time varying. However, none of the existing BRDF models and databases take time variation into consideration; they represent the appearance of a material at a single time instance. In this paper, we address the acquisition, analysis, modeling, and rendering of a wide range of time-varying BRDFs (TVBRDFs). We have developed an acquisition system that is capable of sampling a material's BRDF at multiple time instances, with each time sample acquired within 36 sec. We have used this acquisition system to measure the BRDFs of a wide range of time-varying phenomena, which include the drying of various types of paints (watercolor, spray, and oil), the drying of wet rough surfaces (cement, plaster, and fabrics), the accumulation of dusts (household and joint compound) on surfaces, and the melting of materials (chocolate). Analytic BRDF functions are fit to these measurements and the model parameters' variations with time are analyzed. Each category exhibits interesting and sometimes nonintuitive parameter trends. These parameter trends are then used to develop analytic TVBRDF models. The analytic TVBRDF models enable us to apply effects such as paint drying and dust accumulation to arbitrary surfaces and novel materials.

Priced Timed Automata:  Theory and Tools

DEFF Research Database (Denmark)

Larsen, Kim Guldstrand

2009-01-01

Priced timed automata are emerging as useful formalisms for modeling and analysing a broad range of resource allocation problems. In this extended abstract, we highlight recent (un)deci\\-dability results related to priced timed automata as well as point to a number of open problems....

An estimation of crude oil import demand in Turkey: Evidence from time-varying parameters approach

International Nuclear Information System (INIS)

Ozturk, Ilhan; Arisoy, Ibrahim

2016-01-01

The aim of this study is to model crude oil import demand and estimate the price and income elasticities of imported crude oil in Turkey based on a time-varying parameters (TVP) approach with the aim of obtaining accurate and more robust estimates of price and income elasticities. This study employs annual time series data of domestic oil consumption, real GDP, and oil price for the period 1966–2012. The empirical results indicate that both the income and price elasticities are in line with the theoretical expectations. However, the income elasticity is statistically significant while the price elasticity is statistically insignificant. The relatively high value of income elasticity (1.182) from this study suggests that crude oil import in Turkey is more responsive to changes in income level. This result indicates that imported crude oil is a normal good and rising income levels will foster higher consumption of oil based equipments, vehicles and services by economic agents. The estimated income elasticity of 1.182 suggests that imported crude oil consumption grows at a higher rate than income. This in turn reduces oil intensity over time. Therefore, crude oil import during the estimation period is substantially driven by income. - Highlights: • We estimated the price and income elasticities of imported crude oil in Turkey. • Income elasticity is statistically significant and it is 1.182. • The price elasticity is statistically insignificant. • Crude oil import in Turkey is more responsive to changes in income level. • Crude oil import during the estimation period is substantially driven by income.

Real-time pricing strategy of micro-grid energy centre considering price-based demand response

Science.gov (United States)

Xu, Zhiheng; Zhang, Yongjun; Wang, Gan

2017-07-01

With the development of energy conversion technology such as power to gas (P2G), fuel cell and so on, the coupling between energy sources becomes more and more closely. Centralized dispatch among electricity, natural gas and heat will become a trend. With the goal of maximizing the system revenue, this paper establishes the model of micro-grid energy centre based on energy hub. According to the proposed model, the real-time pricing strategy taking into account price-based demand response of load is developed. And the influence of real-time pricing strategy on the peak load shifting is discussed. In addition, the impact of wind power predicted inaccuracy on real-time pricing strategy is analysed.

Indirect Load Control for Energy Storage Systems Using Incentive Pricing under Time-of-Use Tariff

Directory of Open Access Journals (Sweden)

Mu-Gu Jeong

2016-07-01

Full Text Available Indirect load control (ILC is a method by which the customer determines load reduction of electricity by using a price signal. One of the ILCs is a time-of-use (TOU tariff, which is the most commonly used time-varying retail pricing. Under the TOU tariff, the customer can reduce the energy cost through an energy storage system (ESS. However, because this tariff is fixed for several months, the ESS operation does not truly reflect the wholesale market price, which could widely fluctuate. To overcome this limitation, this paper proposes an incentive pricing method in which the load-serving entity (LSE gives the incentive pricing signal to the customers with ESSs. Because the ESS charging schedule is determined by the customer through ILC, a bilevel optimization problem that includes the customer optimization problem is utilized to determine the incentive pricing signal. Further, the bilevel optimization problem is reformulated into a one-level problem to be solved by an interior point method. In the proposed incentive scheme: (1 the social welfare increases and (2 the increased social welfare can be equitably divided between the LSE and the customer; and (3 the proposed incentive scheme leads the customer to voluntarily follow the pricing signal.

Real-time electricity pricing mechanism in China based on system dynamics

International Nuclear Information System (INIS)

He, Yongxiu; Zhang, Jixiang

2015-01-01

Highlights: • The system dynamics is used to research the real-time electricity pricing mechanism. • Four kinds of the real-time electricity pricing models are carried out and simulated. • It analysed the electricity price, the user satisfaction and the social benefits under the different models. • Market pricing is the trend of the real-time electricity pricing mechanism. • Initial development path of the real-time price mechanism for China is designed between 2015 and 2030. - Abstract: As an important means of demand-side response, the reasonable formulation of the electricity price mechanism will have an important impact on the balance between the supply and demand of electric power. With the introduction of Chinese intelligence apparatus and the rapid development of smart grids, real-time electricity pricing, as the frontier electricity pricing mechanism in the smart grid, will have great significance on the promotion of energy conservation and the improvement of the total social surplus. From the perspective of system dynamics, this paper studies different real-time electricity pricing mechanisms based on load structure, cost structure and bidding and analyses the situation of user satisfaction and the total social surplus under different pricing mechanisms. Finally, through the comparative analysis of examples under different real-time pricing scenarios, this paper aims to explore and design the future dynamic real-time electricity pricing mechanism in China, predicts the dynamic real-time pricing level and provides a reference for real-time electricity price promotion in the future

Pricing by timing: innovating broadband data plans

Science.gov (United States)

Ha, Sangtae; Joe-Wong, Carlee; Sen, Soumya; Chiang, Mung

2012-01-01

Wireless Internet usage is doubling every year. Users are using more of high bandwidth data applications, and the heavy usage concentrates on several peak hours in a day, forcing ISPs to overprovision their networks accordingly. In order to remain profitable, ISPs have been using pricing as a congestion management tool. We review many of such pricing schemes in practice today and argue that they do not solve ISPs' problem of growing data traffic. We believe that dynamic, time-dependent usage pricing, which charges users based on when they access the Internet, can incentivize users to spread out their bandwidth consumption more evenly across different times of the day, thus helping ISPs to overcome the problem of peak congestion. Congestion pricing is not a new idea in itself, but the time for its implementation in data networks has finally arrived. Our key contribution lies in developing new analysis and a fully integrated system architecture, called TUBE (Time-dependent Usage-based Broadband price Engineering) that enables ISPs to implement the proposed TDP plan. The theory, simulation, and system implementation of TUBE system is further complemented with consumer surveys conducted in India and the US, along with preparations for a field trial that is currently underway.

Loss Aversion and Time-Differentiated Electricity Pricing

Energy Technology Data Exchange (ETDEWEB)

Spurlock, C. Anna [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

2015-06-01

I develop a model of loss aversion over electricity expenditure, from which I derive testable predictions for household electricity consumption while on combination time-of-use (TOU) and critical peak pricing (CPP) plans. Testing these predictions results in evidence consistent with loss aversion: (1) spillover effects - positive expenditure shocks resulted in significantly more peak consumption reduction for several weeks thereafter; and (2) clustering - disproportionate probability of consuming such that expenditure would be equal between the TOUCPP or standard flat-rate pricing structures. This behavior is inconsistent with a purely neoclassical utility model, and has important implications for application of time-differentiated electricity pricing.

Price knowledge during grocery shopping

DEFF Research Database (Denmark)

Jensen, Birger Boutrup; Grunert, Klaus G

2014-01-01

applying a multi-point, multi-measure approach, consumers appear to know more aboutprices than suggested by past research. Determinants of price knowledge are also examined and the results indicate that price knowledge buildsup not only because of active search but also due to accidental exposure to prices......Past research on consumer price knowledge has varied considerably partly due to differences in how and when price knowledge is measured.This paper applies a multi-point, multi-measure approach to reconcile differences in past price knowledge research by examining systematicrelationships between...... time of measurement and type of measures applied. Examination of consumer price knowledge before, during, and afterstore visit sheds light on what is measured at the individual points in time: episodic price knowledge and/or reference prices? With a between-subjects design interviewing 1...

Economic Order Quality Model for Determining the Sales Prices of Fresh Goods at Various Points in Time

Directory of Open Access Journals (Sweden)

Po-Yu Chen

2017-01-01

Full Text Available Although the safe consumption of goods such as food products, medicine, and vaccines is related to their freshness, consumers frequently understand less than suppliers about the freshness of goods when they purchase them. Because of this lack of information, apart from sales prices, consumers refer only to the manufacturing and expiration dates when deciding whether to purchase and how many of these goods to buy. If dealers could determine the sales price at each point in time and customers’ intention to buy goods of varying freshness, then dealers could set an optimal inventory cycle and allocate a weekly sales price for each point in time, thereby maximizing the profit per unit time. Therefore, in this study, an economic order quality model was established to enable discussion of the optimal control of sales prices. The technique for identifying the optimal solution for the model was determined, the characteristics of the optimal solution were demonstrated, and the implications of the solution’s sensitivity analysis were explained.

Locational price spreads and the pricing of contracts for difference. Evidence from the Nordic market

International Nuclear Information System (INIS)

Marckhoff, Jan; Wimschulte, Jens

2009-01-01

In electricity markets, not only does the risk of substantial price variations over time exist, but so does the risk of price variations over space, as prices between locations can differ due to transmission congestion. To manage this risk, Contracts for Difference (CfDs), i.e., forwards on the spread between a particular area price and the (unconstrained) system price, were introduced at the Scandinavian electricity exchange Nord Pool at the end of 2000. We empirically investigate the pricing of these CfDs over the period 2001 through 2006 and find that CfD prices contain significant risk premia. Their sign and magnitude, however, differ substantially between areas and delivery periods, because areas are subject to transmission congestion to a varying extent. While the relation between risk premia and time-to-maturity is not uniform for CfDs, there is a negative relation for implied area and system forwards, which can be explained by the relative hedging demand of market participants. In addition, we find that risk premia of CfDs and implied area forwards vary systematically with the variance and skewness of the underlying spot prices. This confirms both implications of the Bessembinder and Lemmon [Bessembinder, H., Lemmon, M.L., 2002. Equilibrium pricing and optimal hedging in electricity forward markets. Journal of Finance, 57, 1347-1382] model. (author)

Real-time pricing when some consumers resist in saving electricity

International Nuclear Information System (INIS)

Salies, Evens

2013-01-01

Successful real-time electricity pricing depends firstly upon consumers' willingness to subscribe to such terms and, secondly, on their ability to curb consumption levels. The present paper addresses both issues by considering consumers differentiated by their electricity saving costs, half of whom resist saving electricity. We demonstrate that when consumers are free to adopt real-time prices, producers prefer charging inefficient prices and, in so doing, discriminate against that portion of the consumer population which faces no saving costs. We also find that efficient marginal cost pricing is feasible, but is incompatible with mass adoption of real-time prices. - Highlights: • We model consumers switching from uniform to real-time electricity pricing (RTP). • Half the consumer population is pro-RTP and half resists saving electricity. • Efficient RTP is feasible but is incompatible with mass adoption

Online Estimation of Time-Varying Volatility Using a Continuous-Discrete LMS Algorithm

Directory of Open Access Journals (Sweden)

Jacques Oksman

2008-09-01

Full Text Available The following paper addresses a problem of inference in financial engineering, namely, online time-varying volatility estimation. The proposed method is based on an adaptive predictor for the stock price, built from an implicit integration formula. An estimate for the current volatility value which minimizes the mean square prediction error is calculated recursively using an LMS algorithm. The method is then validated on several synthetic examples as well as on real data. Throughout the illustration, the proposed method is compared with both UKF and offline volatility estimation.

Resource-Optimal Scheduling Using Priced Timed Automata

DEFF Research Database (Denmark)

Larsen, Kim Guldstrand; Rasmussen, Jacob Illum; Subramani, K.

2004-01-01

In this paper, we show how the simple structure of the linear programs encountered during symbolic minimum-cost reachability analysis of priced timed automata can be exploited in order to substantially improve the performance of the current algorithm. The idea is rooted in duality of linear......-80 percent performance gain. As a main application area, we show how to solve energy-optimal task graph scheduling problems using the framework of priced timed automata....

The tell-tale look: viewing time, preferences, and prices.

Directory of Open Access Journals (Sweden)

Brian C Gunia

Full Text Available Even the simplest choices can prompt decision-makers to balance their preferences against other, more pragmatic considerations like price. Thus, discerning people's preferences from their decisions creates theoretical, empirical, and practical challenges. The current paper addresses these challenges by highlighting some specific circumstances in which the amount of time that people spend examining potential purchase items (i.e., viewing time can in fact reveal their preferences. Our model builds from the gazing literature, in a purchasing context, to propose that the informational value of viewing time depends on prices. Consistent with the model's predictions, four studies show that when prices are absent or moderate, viewing time provides a signal that is consistent with a person's preferences and purchase intentions. When prices are extreme or consistent with a person's preferences, however, viewing time is a less reliable predictor of either. Thus, our model highlights a price-contingent "viewing bias," shedding theoretical, empirical, and practical light on the psychology of preferences and visual attention, and identifying a readily observable signal of preference.

The tell-tale look: viewing time, preferences, and prices.

Science.gov (United States)

Gunia, Brian C; Murnighan, J Keith

2015-01-01

Even the simplest choices can prompt decision-makers to balance their preferences against other, more pragmatic considerations like price. Thus, discerning people's preferences from their decisions creates theoretical, empirical, and practical challenges. The current paper addresses these challenges by highlighting some specific circumstances in which the amount of time that people spend examining potential purchase items (i.e., viewing time) can in fact reveal their preferences. Our model builds from the gazing literature, in a purchasing context, to propose that the informational value of viewing time depends on prices. Consistent with the model's predictions, four studies show that when prices are absent or moderate, viewing time provides a signal that is consistent with a person's preferences and purchase intentions. When prices are extreme or consistent with a person's preferences, however, viewing time is a less reliable predictor of either. Thus, our model highlights a price-contingent "viewing bias," shedding theoretical, empirical, and practical light on the psychology of preferences and visual attention, and identifying a readily observable signal of preference.

A Faster Algorithm for Solving One-Clock Priced Timed Games

DEFF Research Database (Denmark)

Hansen, Thomas Dueholm; Ibsen-Jensen, Rasmus; Miltersen, Peter Bro

2013-01-01

previously known time bound for solving one-clock priced timed games was 2O(n2+m) , due to Rutkowski. For our improvement, we introduce and study a new algorithm for solving one-clock priced timed games, based on the sweep-line technique from computational geometry and the strategy iteration paradigm from......One-clock priced timed games is a class of two-player, zero-sum, continuous-time games that was defined and thoroughly studied in previous works. We show that one-clock priced timed games can be solved in time m 12 n n O(1), where n is the number of states and m is the number of actions. The best...

A Faster Algorithm for Solving One-Clock Priced Timed Games

DEFF Research Database (Denmark)

Hansen, Thomas Dueholm; Ibsen-Jensen, Rasmus; Miltersen, Peter Bro

2012-01-01

previously known time bound for solving one-clock priced timed games was 2^(O(n^2+m)), due to Rutkowski. For our improvement, we introduce and study a new algorithm for solving one-clock priced timed games, based on the sweep-line technique from computational geometry and the strategy iteration paradigm from......One-clock priced timed games is a class of two-player, zero-sum, continuous-time games that was defined and thoroughly studied in previous works. We show that one-clock priced timed games can be solved in time m 12^n n^(O(1)), where n is the number of states and m is the number of actions. The best...

Real Time Pricing and the Real Live Firm

Energy Technology Data Exchange (ETDEWEB)

Moezzi, Mithra; Goldman, Charles; Sezgen, Osman; Bharvirkar, Ranjit; Hopper, Nicole

2004-05-26

Energy economists have long argued the benefits of real time pricing (RTP) of electricity. Their basis for modeling customers response to short-term fluctuations in electricity prices are based on theories of rational firm behavior, where management strives to minimize operating costs and optimize profit, and labor, capital and energy are potential substitutes in the firm's production function. How well do private firms and public sector institutions operating conditions, knowledge structures, decision-making practices, and external relationships comport with these assumptions and how might this impact price response? We discuss these issues on the basis of interviews with 29 large (over 2 MW) industrial, commercial, and institutional customers in the Niagara Mohawk Power Corporation service territory that have faced day-ahead electricity market prices since 1998. We look at stories interviewees told about why and how they respond to RTP, why some customers report that they can't, and why even if they can, they don't. Some firms respond as theorized, and we describe their load curtailment strategies. About half of our interviewees reported that they were unable to either shift or forego electricity consumption even when prices are high ($0.50/kWh). Reasons customers gave for why they weren't price-responsive include implicit value placed on reliability, pricing structures, lack of flexibility in adjusting production inputs, just-in-time practices, perceived barriers to onsite generation, and insufficient time. We draw these observations into a framework that could help refine economic theory of dynamic pricing by providing real-world descriptions of how firms behave and why.

Sensitivity of price elasticity of demand to aggregation, unobserved heterogeneity, price trends, and price endogeneity: Evidence from U.S. Data

International Nuclear Information System (INIS)

Miller, Mark; Alberini, Anna

2016-01-01

Price elasticity estimates of residential electricity demand vary widely across the energy economics and policy literature. In this paper, we seek to explain these findings using three nationwide datasets from the U.S. – the American Housing Survey, Forms EIA-861, and the Residential Energy Consumption Survey. We examine the role of the sample period, level of aggregation, use of panel data, use of instrumental variables, and inclusion of housing characteristics and capital stock. Our findings suggest that price elasticities have remained relatively constant over time. Upon splitting our panel datasets into annual cross sections, we do observe a negative relationship between price elasticities and the average price. Whether prices are rising or falling appears to have little effect on our estimates. We also find that aggregating our data can result in both higher and lower price elasticity estimates, depending on the dataset used, and that controlling for unit-level fixed effects with panel data generally results in more inelastic demand functions. Addressing the endogeneity of price and/or measurement error in price with instrumental variables has a small but noticeable effect on the price elasticities. Finally, controlling for housing characteristics and capital stock produces a lower price elasticity. - Highlights: • The price elasticity of residential electricity demand varies widely across studies. • We use three large datasets from the US to examine reasons for such wide variation. • Some assessed effects include aggregation, unobserved heterogeneity, and price trends. • Correcting for such issues can change the estimated price elasticity by 50–100%.

Optimal pricing and lot-sizing for perishable inventory with price and time dependent ramp-type demand

Science.gov (United States)

Panda, S.; Saha, S.; Basu, M.

2013-01-01

Product perishability is an important aspect of inventory control. To minimise the effect of deterioration, retailers in supermarkets, departmental store managers, etc. always want higher inventory depletion rate. In this article, we propose a dynamic pre- and post-deterioration cumulative discount policy to enhance inventory depletion rate resulting low volume of deterioration cost, holding cost and hence higher profit. It is assumed that demand is a price and time dependent ramp-type function and the product starts to deteriorate after certain amount of time. Unlike the conventional inventory models with pricing strategies, which are restricted to a fixed number of price changes and to a fixed cycle length, we allow the number of price changes before as well as after the start of deterioration and the replenishment cycle length to be the decision variables. Before start of deterioration, discounts on unit selling price are provided cumulatively in successive pricing cycles. After the start of deterioration, discounts on reduced unit selling price are also provided in a cumulative way. A mathematical model is developed and the existence of the optimal solution is verified. A numerical example is presented, which indicates that under the cumulative effect of price discounting, dynamic pricing policy outperforms static pricing strategy. Sensitivity analysis of the model is carried out.

Holographic cinematography of time-varying reflecting and time-varying phase objects using a Nd:YAG laser

Science.gov (United States)

Decker, A. J.

1982-01-01

The use of a Nd:YAG laser to record holographic motion pictures of time-varying reflecting objects and time-varying phase objects is discussed. Sample frames from both types of holographic motion pictures are presented. The holographic system discussed is intended for three-dimensional flow visualization of the time-varying flows that occur in jet-engine components.

Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices

International Nuclear Information System (INIS)

Keles, Dogan; Genoese, Massimo; Möst, Dominik; Fichtner, Wolf

2012-01-01

This paper evaluates different financial price and time series models, such as mean reversion, autoregressive moving average (ARMA), integrated ARMA (ARIMA) and general autoregressive conditional heteroscedasticity (GARCH) process, usually applied for electricity price simulations. However, as these models are developed to describe the stochastic behaviour of electricity prices, they are extended by a separate data treatment for the deterministic components (trend, daily, weekly and annual cycles) of electricity spot prices. Furthermore price jumps are considered and implemented within a regime-switching model. Since 2008 market design allows for negative prices at the European Energy Exchange, which also occurred for several hours in the last years. Up to now, only a few financial and time series approaches exist, which are able to capture negative prices. This paper presents a new approach incorporating negative prices. The evaluation of the different approaches presented points out that the mean reversion and the ARMA models deliver the lowest mean root square error between simulated and historical electricity spot prices gained from the European Energy Exchange. These models posses also lower mean average errors than GARCH models. Hence, they are more suitable to simulate well-fitting price paths. Furthermore it is shown that the daily structure of historical price curves is better captured applying ARMA or ARIMA processes instead of mean-reversion or GARCH models. Another important outcome of the paper is that the regime-switching approach and the consideration of negative prices via the new proposed approach lead to a significant improvement of the electricity price simulation. - Highlights: ► Considering negative prices improves the results of time-series and financial models for electricity prices. ► Regime-switching approach captures the jumps and base prices quite well. ► Removing and separate modelling of deterministic annual, weekly and daily

Correlated continuous time random walk and option pricing

Science.gov (United States)

Lv, Longjin; Xiao, Jianbin; Fan, Liangzhong; Ren, Fuyao

2016-04-01

In this paper, we study a correlated continuous time random walk (CCTRW) with averaged waiting time, whose probability density function (PDF) is proved to follow stretched Gaussian distribution. Then, we apply this process into option pricing problem. Supposing the price of the underlying is driven by this CCTRW, we find this model captures the subdiffusive characteristic of financial markets. By using the mean self-financing hedging strategy, we obtain the closed-form pricing formulas for a European option with and without transaction costs, respectively. At last, comparing the obtained model with the classical Black-Scholes model, we find the price obtained in this paper is higher than that obtained from the Black-Scholes model. A empirical analysis is also introduced to confirm the obtained results can fit the real data well.

Frequency Based Real-time Pricing for Residential Prosumers

Science.gov (United States)

Hambridge, Sarah Mabel

This work is the first to explore frequency based pricing for secondary frequency control as a price-reactive control mechanism for residential prosumers. A frequency based real-time electricity rate is designed as an autonomous market control mechanism for residential prosumers to provide frequency support as an ancillary service. In addition, prosumers are empowered to participate in dynamic energy transactions, therefore integrating Distributed Energy Resources (DERs), and increasing distributed energy storage onto the distributed grid. As the grid transitions towards DERs, a new market based control system will take the place of the legacy distributed system and possibly the legacy bulk power system. DERs provide many benefits such as energy independence, clean generation, efficiency, and reliability to prosumers during blackouts. However, the variable nature of renewable energy and current lack of installed energy storage on the grid will create imbalances in supply and demand as uptake increases, affecting the grid frequency and system operation. Through a frequency-based electricity rate, prosumers will be encouraged to purchase energy storage systems (ESS) to offset their neighbor's distributed generation (DG) such as solar. Chapter 1 explains the deregulation of the power system and move towards Distributed System Operators (DSOs), as prosumers become owners of microgrids and energy cells connected to the distributed system. Dynamic pricing has been proposed as a benefit to prosumers, giving them the ability to make decisions in the energy market, while also providing a way to influence and control their behavior. Frequency based real-time pricing is a type of dynamic pricing which falls between price-reactive control and transactive control. Prosumer-to-prosumer transactions may take the place of prosumer-to-utility transactions, building The Energy Internet. Frequency based pricing could be a mechanism for determining prosumer prices and supporting

Monopoly models with time-varying demand function

Science.gov (United States)

Cavalli, Fausto; Naimzada, Ahmad

2018-05-01

We study a family of monopoly models for markets characterized by time-varying demand functions, in which a boundedly rational agent chooses output levels on the basis of a gradient adjustment mechanism. After presenting the model for a generic framework, we analytically study the case of cyclically alternating demand functions. We show that both the perturbation size and the agent's reactivity to profitability variation signals can have counterintuitive roles on the resulting period-2 cycles and on their stability. In particular, increasing the perturbation size can have both a destabilizing and a stabilizing effect on the resulting dynamics. Moreover, in contrast with the case of time-constant demand functions, the agent's reactivity is not just destabilizing, but can improve stability, too. This means that a less cautious behavior can provide better performance, both with respect to stability and to achieved profits. We show that, even if the decision mechanism is very simple and is not able to always provide the optimal production decisions, achieved profits are very close to those optimal. Finally, we show that in agreement with the existing empirical literature, the price series obtained simulating the proposed model exhibit a significant deviation from normality and large volatility, in particular when underlying deterministic dynamics become unstable and complex.

Discount-Optimal Infinite Runs in Priced Timed Automata

DEFF Research Database (Denmark)

Fahrenberg, Uli; Larsen, Kim Guldstrand

2009-01-01

We introduce a new discounting semantics for priced timed automata. Discounting provides a way to model optimal-cost problems for infinite traces and has applications in optimal scheduling and other areas. In the discounting semantics, prices decrease exponentially, so that the contribution...

The Triggers, Timing and Speed of New Product Price Landings

NARCIS (Netherlands)

C. Hernández-Mireles (Carlos); D. Fok (Dennis); Ph.H.B.F. Franses (Philip Hans)

2008-01-01

textabstractMany high-tech products and durable goods exhibit exactly one significant price cut some time after their launch. We call this sudden transition from high to low prices the price landing. In this paper we present a new model that describes two important features of price landings: their

Option Pricing with Time-changed Lévy Processes

DEFF Research Database (Denmark)

Klingler, Sven; Kim, Young Shin; Rachev, Svetlozar T.

2013-01-01

In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct...

The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR

OpenAIRE

Arratibel, Olga; Michaelis, Henrike

2014-01-01

This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to analyse whether the reaction of output and prices to interest rate and exchange rate shocks has changed across time (1996-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding some rev...

Price setting in turbulent times

DEFF Research Database (Denmark)

Ólafsson, Tjörvi; Pétursdóttir, Ásgerdur; Vignisdóttir, Karen Á.

This price setting survey among Icelandic firms aims to make two contributions to the literature. First, it studies price setting in an advanced economy within a more turbulent macroeconomic environment than has previously been done. The results indicate that price adjustments are to a larger...... extent driven by exchange rate fluctuations than in most other advanced countries. The median Icelandic firm reviews its prices every four months and changes them every six months. The main sources of price rigidity and the most commonly used price setting methods are the same as in most other countries....... A second contribution to the literature is our analysis of the nexus between price setting and exchange rate movements, a topic that has attracted surprisingly limited attention in this survey-based literature. A novel aspect of our approach is to base our analysis on a categorisation of firms...

Zhang neural network for online solution of time-varying convex quadratic program subject to time-varying linear-equality constraints

International Nuclear Information System (INIS)

Zhang Yunong; Li Zhan

2009-01-01

In this Letter, by following Zhang et al.'s method, a recurrent neural network (termed as Zhang neural network, ZNN) is developed and analyzed for solving online the time-varying convex quadratic-programming problem subject to time-varying linear-equality constraints. Different from conventional gradient-based neural networks (GNN), such a ZNN model makes full use of the time-derivative information of time-varying coefficient. The resultant ZNN model is theoretically proved to have global exponential convergence to the time-varying theoretical optimal solution of the investigated time-varying convex quadratic program. Computer-simulation results further substantiate the effectiveness, efficiency and novelty of such ZNN model and method.

Impact of Stock Market Structure on Intertrade Time and Price Dynamics

Science.gov (United States)

Ivanov, Plamen Ch.; Yuen, Ainslie; Perakakis, Pandelis

2014-01-01

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization–a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing

Impact of stock market structure on intertrade time and price dynamics.

Science.gov (United States)

Ivanov, Plamen Ch; Yuen, Ainslie; Perakakis, Pandelis

2014-01-01

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing

Exporter Price Premia?

DEFF Research Database (Denmark)

Jäkel, Ina Charlotte; Sørensen, Allan

This paper provides new evidence on manufacturing firms' output prices: in Denmark, on average, exported varieties are sold at a lower price (i.e. a negative exporter price premium) relative to only domestically sold varieties. This finding stands in sharp contrast to previous studies, which have...... found positive exporter price premia. We also document that the exporter price premium varies substantially across products (both in terms of sign and magnitude). We show that in a standard heterogeneous firms model with heterogeneity in quality as well as production efficiency there is indeed no clear......-cut prediction on the sign of the exporter price premium. However, the model unambiguously predicts a negative exporter price premium in terms of quality-adjusted prices, i.e. prices per unit of quality. This prediction is broadly borne out in the Danish data: while the magnitude of the premium varies across...

Time-varying Crash Risk

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae

We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on re...

Convergence of European spot market prices for natural gas. A Real-Time Analysis of market integration using the Kalman filter

International Nuclear Information System (INIS)

Siliverstovs, Boriss; Neumann, Anne

2005-01-01

This paper provides a textbook example of an econometric analysis of the integration between two commodity markets and the subsequent price convergence or absence thereof. We analyze price relations between spot markets for natural gas in Europe. The European market for natural gas is currently undergoing a liberalization process with the aim of creating a single, unified market. We use time-varying coefficient estimation models, applying the Kalman filter to test whether price convergence between different locations is really taking place. Our results reveal that the construction of a pipeline between the UK and Zeebrugge (Belgium) has lead to almost perfect price convergence between theses locations; on the other hand, liberalization on the European continent does not seem to be working so far. (Author)

Transfer Pricing

DEFF Research Database (Denmark)

Nielsen, Søren Bo

2014-01-01

Against a background of rather mixed evidence about transfer pricing practices in multinational enterprises (MNEs) and varying attitudes on the part of tax authorities, this paper explores how multiple aims in transfer pricing can be pursued across four different transfer pricing regimes. A MNE h...

Impact of Rainfall, Sales Method, and Time on Land Prices

OpenAIRE

Stephens, Steve; Schurle, Bryan

2013-01-01

Land prices in Western Kansas are analyzed using regression to estimate the influence of rainfall, sales method, and time of sale. The estimates from regression indicate that land prices decreased about $27 for each range that was farther west which can be converted to about $75 per inch of average rainfall. In addition, the influence of method of sale (private sale or auction) is estimated along with the impact of time of sale. Auction sales prices are approximately $100 higher per acre than...

Choice Overload, Satisficing Behavior, and Price Distribution in a Time Allocation Model

Directory of Open Access Journals (Sweden)

Francisco Álvarez

2014-01-01

Full Text Available Recent psychological research indicates that consumers that search exhaustively for the best option of a market product—known as maximizers—eventually feel worse than consumers who just look for something good enough—called satisficers. We formulate a time allocation model to explore the relationship between different distributions of prices of the product and the satisficing behavior and the related welfare of the consumer. We show numerically that, as the number of options becomes large, the maximizing behavior produces less and less welfare and eventually leads to choice paralysis—these are effects of choice overload—whereas satisficing conducts entail higher levels of satisfaction and do not end up in paralysis. For different price distributions, we provide consistent evidence that maximizers are better off for a low number of options, whereas satisficers are better off for a sufficiently large number of options. We also show how the optimal satisficing behavior is affected when the underlying price distribution varies. We provide evidence that the mean and the dispersion of a symmetric distribution of prices—but not the shape of the distribution—condition the satisficing behavior of consumers. We also show that this need not be the case for asymmetric distributions.

Time-changed geometric fractional Brownian motion and option pricing with transaction costs

Science.gov (United States)

Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu

2012-08-01

This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.

Numerical Methods for Pricing American Options with Time-Fractional PDE Models

Directory of Open Access Journals (Sweden)

Zhiqiang Zhou

2016-01-01

Full Text Available In this paper we develop a Laplace transform method and a finite difference method for solving American option pricing problem when the change of the option price with time is considered as a fractal transmission system. In this scenario, the option price is governed by a time-fractional partial differential equation (PDE with free boundary. The Laplace transform method is applied to the time-fractional PDE. It then leads to a nonlinear equation for the free boundary (i.e., optimal early exercise boundary function in Laplace space. After numerically finding the solution of the nonlinear equation, the Laplace inversion is used to transform the approximate early exercise boundary into the time space. Finally the approximate price of the American option is obtained. A boundary-searching finite difference method is also proposed to solve the free-boundary time-fractional PDEs for pricing the American options. Numerical examples are carried out to compare the Laplace approach with the finite difference method and it is confirmed that the former approach is much faster than the latter one.

Analysis for Embedded Systems: Experiments with Priced Timed Automata

DEFF Research Database (Denmark)

Ovatman, Tolga; Brekling, Aske Wiid; Hansen, Michael Reichhardt

2010-01-01

costs of those models. In order to achieve this, a basic model is built using priced timed automata and some resource consumption scenarios are verified. Even though the experiments are performed on small and basic models, we believe we have taken a basis step in showing that it is promising to use...... priced timed automata and Uppaal Cora as a model checking tool in reasoning about resource consumption of embedded systems....

Oil price pass-through into inflation

International Nuclear Information System (INIS)

Chen, Shiu-Sheng

2009-01-01

This paper uses data from 19 industrialized countries to investigate oil price pass-through into inflation across countries and over time. A time-varying pass-through coefficient is estimated and the determinants of the recent declining effects of oil shocks on inflation are investigated. The appreciation of the domestic currency, a more active monetary policy in response to inflation, and a higher degree of trade openness are found to explain the decline in oil price pass-through. (author)

ECONOMICAL PLANS EFFECTS ON CHARCOAL PRICES

Directory of Open Access Journals (Sweden)

José Luiz Pereira Rezende

2007-06-01

Full Text Available Energy is essential for human needs satisfaction. With the evolution of machinery, man becomes more and more dependent on the energy stocked in fossil fuels, comparatively to the primitive economy. Wood charcoal is a thermal-reducer used in Brazilian pig iron and steel industries, and its price is formed in an oligopsonic market. Over time, the charcoal prices have varied in function of endogenous and exogenous factors, needing, therefore, to be deflated so that they can be compared in two or more points in time. This work analyzed the variations of charcoal real prices, in national currency; compared and analyzed the real charcoal price in nominal and in real US Dollar and; analyzed the real prices of charcoal, comparatively to the real oil prices. The analyses were accomplished in the period from January 1975 to December 2002. The time series of charcoal prices, in domestic currency were deflated using IGP-DI, considering august, 1994=100, and charcoal prices were also converted to American dollar and deflated using CPI, considering the period 1982-84=100. It was compared, then, the real and nominal charcoal prices. It concluded that the real charcoal prices in Brazilian domestic currency, or in American dollar, presented a decreasing tendency along time. The inflationary disarray, in the 80´s and the first half of the 90 ´s, provoked a big price variation in the period; from the beginning the XXI century, charcoal prices were more influenced by the exchange rate; in the energy crisis period, charcoal prices suffered big changes that, however, did not persist along time.

The voluntary price for the small consumer: Real-time pricing in Spain

International Nuclear Information System (INIS)

Roldán Fernández, Juan Manuel; Payán, Manuel Burgos; Santos, Jesús Manuel Riquelme; García, Ángel Luis Trigo

2017-01-01

In 2013, a period of reform was initiated of the regulatory framework of the Spanish electricity sector. A year later, the methodology for the calculation of the Voluntary Price for the Small Consumer (VPSC) was approved: a real-time price tariff for small domestic consumers. Under this price-setting system, VPSC consumers are billed according to their hourly consumption and hourly prices along the day. Directive 27/2014/EU, on energy saving, was also transposed to Spanish regulation in 2014. The impact on the Spanish electricity market and domestic VPSC consumers of these two recent energy policy modifications are analyzed in this work. A qualitative model, based on the flexibility of the merit-order curves, is first introduced to formulate a number of hypotheses. A set of scenarios are then examined to quantify the main effects on the market and on domestic consumers. The results show that domestic energy-saving, and, to a lesser extent, load-shifting scenarios, can diminish the mean hourly price and the cost of the annual traded energy in the market. Nevertheless, these reductions are mainly granted to large qualified consumers, since domestic consumers mostly benefit from the reduction of their energy demand rather than from a reduction of the price. - Graphical abstract: Load saving and load-shifting performed by small VPSC consumers reduces the hourly clearing price and the traded energy leading to some rent transfer from the generators to the purchasing agents. The cost saving for VPSC consumers is mainly related to the energy they saved. They profit only partially from the market cost saving. - Highlights: • Merit-order effect related to energy saving and load-shifting are identified. • Domestic consumers are able to conduct energy saving and load-shifting at no cost. • Cyclic load-shifting reduces the traded energy and the economic cost in the market. • Rent transfer form generators to purchasing agents catalyzed by costumers’ saving. �

Understanding Price Controls and Non-Price Competition with Matching Theory

OpenAIRE

Hatfield, John William; Plott, Charles R.; Tanaka, Tomomi

2012-01-01

We develop a quality competition model to understand how price controls affect market outcomes in buyer-seller markets with discrete goods of varying quality. While competitive equilibria do not necessarily exist in such markets when price controls are imposed, we show that stable outcomes do exist and characterize the set of stable outcomes in the presence of price restrictions. In particular, we show that price controls induce non-price competition: price floors induce the trade of ineffici...

A closed-loop energy price controlling method for real-time energy balancing in a smart grid energy market

International Nuclear Information System (INIS)

Alagoz, B. Baykant; Kaygusuz, Asim; Akcin, Murat; Alagoz, Serkan

2013-01-01

Future smart grids will require a flexible, observable, and controllable network for reliable and efficient energy delivery under uncertain generation and demand conditions. One of the mechanisms for efficient and reliable energy generation is dynamic demand-responsive generation management based on energy price adjustments that creates a balance in energy markets. This study presents a closed-loop PID (proportional–integral–derivative) controller-based price control method for autonomous and real-time balancing of energy demand and generation in smart grid electricity markets. The PID control system can regulate energy prices online to respond dynamically and instantaneously to the varying energy demands of grid consumers. Independent energy suppliers in the smart grid decide whether to sell their energy to the grid according to the energy prices declared by the closed-loop PID controller system. Energy market simulations demonstrate that PID-controlled energy price regulation can effectively maintain an energy balance for hourly demand fluctuations of consumers. - Highlights: • This study presents a control theoretic approach for management of energy balance. • A closed-loop PID controller-based price controlling method is used in smart grid. • The simulation results demonstrate advantages of PID-based energy price control. • This method is appropriate for demand responsive management of smart grid markets

A note on the optimal pricing strategy in the discrete-time Geo/Geo/1 queuing system with sojourn time-dependent reward

Directory of Open Access Journals (Sweden)

Doo Ho Lee

Full Text Available This work studies the optimal pricing strategy in a discrete-time Geo/Geo/1 queuing system under the sojourn time-dependent reward. We consider two types of pricing schemes. The first one is called the ex-post payment scheme where the server charges a price that is proportional to the time a customer spends in the system, and the second one is called ex-ante payment scheme where the server charges a flat price for all services. In each pricing scheme, a departing customer receives the reward that is inversely proportional to his/her sojourn time. The server should make the optimal pricing decisions in order to maximize its expected profits per time unit in each pricing scheme. This work also investigates customer's equilibrium joining or balking behavior under server's optimal pricing strategy. Numerical experiments are also conducted to validate our analysis. Keywords: Optimal pricing, Equilibrium behavior, Geo/Geo/1 queue, Sojourn time-dependent reward

Optimal scheduling using priced timed automata

DEFF Research Database (Denmark)

Behrmann, Gerd; Larsen, Kim Guldstrand; Rasmussen, Jacob Illum

2005-01-01

This contribution reports on the considerable effort made recently towards extending and applying well-established timed automata technology to optimal scheduling and planning problems. The effort of the authors in this direction has to a large extent been carried out as part of the European...... projects VHS [20] and AMETIST [16] and are available in the recently released UPPAAL CORA [12], a variant of the real-time verification tool UPPAAL [18, 5] specialized for cost-optimal reachability for the extended model of so-called priced timed automata....

Value of time: Speeding behavior and gasoline prices

OpenAIRE

Wolff, Hendrik

2012-01-01

Do drivers reduce speeds when gasoline prices are high? Previous research investigating this energy conservation hypothesis produced mixed results. We take a fresh look at the data and estimate a significant negative relationship between speeding and gasoline prices. This presents a new methodology of deriving the 'Value of Time' (VOT) based on the intensive margin (previous VOT studies compare across the extensive margin) which has important advantages to circumvent potential omitted variabl...

Stochastic arbitrage return and its implications for option pricing

OpenAIRE

Fedotov, Sergei; Panayides, Stephanos

2004-01-01

The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random proces...

Price Uncertainty and Optimal Hedging in the Agricultural Market

Directory of Open Access Journals (Sweden)

Nicolae ISTUDOR

2014-06-01

Full Text Available The increased volatility of the agricultural prices has detrimental effects on the economic welfare and raises concerns regarding poverty and malnutrition at a global level. Financial risk management can be an efficient solution for limiting the effects of international agricultural price volatility. The paper analyzes the behavior of the U.S. wheat and corn prices, emphasizing their highly volatile and unpredictable nature. Given the existence of the basis risk, the estimation of the optimal hedge ratio is needed in order to provide an efficient hedging strategy against price risks. The role of public authorities in this context can consist in promoting education in the fields of hedging and understanding the agricultural price volatility risk. We estimate static and time varying optimal hedge ratios for wheat and corn through several methods. Based on the out of sample hedging effectiveness given by the variance reduction, the methods are compared and the results show that the time varying hedge ratios estimated through rolling window OLS and GARCH methods outperform the static counterparts.

Longitudinal trends in gasoline price and physical activity: The CARDIA study

Science.gov (United States)

Hou, Ningqi; Popkin, Barry M; Jacobs, David R; Song, Yan; Guilkey, David K; He, Ka; Lewis, Cora E.; Gordon-Larsen, Penny

2011-01-01

Objective To investigate longitudinal associations between community-level gasoline price and physical activity (PA). Method In the Coronary Artery Risk Development in Young Adults study, 5,115 black and white participants aged 18–30 at baseline 1985–86 were recruited from four U.S. cities (Birmingham, Chicago, Minneapolis and Oakland) and followed over time. We used data from 3 follow-up exams: 1992–93, 1995–96, and 2000–01, when the participants were located across 48 states. From questionnaire data, a total PA score was summarized in exercise units (EU) based on intensity and frequency of 13 PA categories. Using Geographic Information Systems, participants’ residential locations were linked to county-level inflation-adjusted gasoline price data collected by the Council for Community & Economic Research. We used a random-effect longitudinal regression model to examine associations between time-varying gasoline price and time-varying PA, controlling for age, race, gender, baseline study center, and time-varying education, marital status, household income, county cost of living, county bus fare, census block-group poverty, and urbanicity. Results Holding all control variables constant, a 25-cent increase in inflation-adjusted gasoline price was significantly associated with an increase of 9.9 EU in total PA (95%CI: 0.8–19.1). Conclusion Rising prices of gasoline may be associated with an unintended increase in leisure PA. PMID:21338621

Design of 2D time-varying vector fields.

Science.gov (United States)

Chen, Guoning; Kwatra, Vivek; Wei, Li-Yi; Hansen, Charles D; Zhang, Eugene

2012-10-01

Design of time-varying vector fields, i.e., vector fields that can change over time, has a wide variety of important applications in computer graphics. Existing vector field design techniques do not address time-varying vector fields. In this paper, we present a framework for the design of time-varying vector fields, both for planar domains as well as manifold surfaces. Our system supports the creation and modification of various time-varying vector fields with desired spatial and temporal characteristics through several design metaphors, including streamlines, pathlines, singularity paths, and bifurcations. These design metaphors are integrated into an element-based design to generate the time-varying vector fields via a sequence of basis field summations or spatial constrained optimizations at the sampled times. The key-frame design and field deformation are also introduced to support other user design scenarios. Accordingly, a spatial-temporal constrained optimization and the time-varying transformation are employed to generate the desired fields for these two design scenarios, respectively. We apply the time-varying vector fields generated using our design system to a number of important computer graphics applications that require controllable dynamic effects, such as evolving surface appearance, dynamic scene design, steerable crowd movement, and painterly animation. Many of these are difficult or impossible to achieve via prior simulation-based methods. In these applications, the time-varying vector fields have been applied as either orientation fields or advection fields to control the instantaneous appearance or evolving trajectories of the dynamic effects.

Using time series structural characteristics to analyze grain prices in food insecure countries

Science.gov (United States)

Davenport, Frank; Funk, Chris

2015-01-01

Two components of food security monitoring are accurate forecasts of local grain prices and the ability to identify unusual price behavior. We evaluated a method that can both facilitate forecasts of cross-country grain price data and identify dissimilarities in price behavior across multiple markets. This method, characteristic based clustering (CBC), identifies similarities in multiple time series based on structural characteristics in the data. Here, we conducted a simulation experiment to determine if CBC can be used to improve the accuracy of maize price forecasts. We then compared forecast accuracies among clustered and non-clustered price series over a rolling time horizon. We found that the accuracy of forecasts on clusters of time series were equal to or worse than forecasts based on individual time series. However, in the following experiment we found that CBC was still useful for price analysis. We used the clusters to explore the similarity of price behavior among Kenyan maize markets. We found that price behavior in the isolated markets of Mandera and Marsabit has become increasingly dissimilar from markets in other Kenyan cities, and that these dissimilarities could not be explained solely by geographic distance. The structural isolation of Mandera and Marsabit that we find in this paper is supported by field studies on food security and market integration in Kenya. Our results suggest that a market with a unique price series (as measured by structural characteristics that differ from neighboring markets) may lack market integration and food security.

Varying the number of bidders in the first-price sealed-bid auction: experimental evidence for the one-shot game

NARCIS (Netherlands)

Füllbrunn, S.C.; Neugebauer, T.

2013-01-01

The paper reports experimental data on the behavior in the first-price sealed-bid auction for a varying number of bidders when values and bids are private information. This feedback-free design is proposed for the experimental test of the one-shot game situation. We consider both within-subjects and

Comparison of control systems for the optimisation of ice storage in a dynamic real time electricity pricing environment

International Nuclear Information System (INIS)

Murphy, M.D.; O’Mahony, M.J.; Upton, J.

2015-01-01

Highlights: • A cold thermal energy storage system model was created and validated. • Pseudo real time electricity pricing was derived to represent the smart grid. • A demand side management optimisation algorithm was developed. • Demand side management algorithm performance was compared to a standard controller. • Overall the demand side management algorithm produced modest cost savings. - Abstract: The objective of this study was to assess the benefits of introducing a demand side management optimisation controller to a cold thermal storage ice bank. This controller consisted of an ice bank model, an air temperature forecast model and an optimisation algorithm. The financial and grid utilisation benefits produced by implementation of this controller over the current state of the art in ice bank load shifting control was tested in a day ahead real time electricity pricing forecast environment. This hypothetical real time electricity price was based on the cost of electricity in the Irish wholesale market. Multiple ice bank charge levels were simulated in order to quantify the performance of two control methods for varying operating conditions. First, the “standard controller” was based on the current modus operandi for ice bank systems where ice was generated for food cooling at night when the off-peak electricity tariff is available (00:00–08:00 h). Second, the “upgraded controller” was developed as a bespoke Demand Side Management control system for food refrigeration in a future electricity pricing environment. It consisted of a dual function load shifting optimisation algorithm, an ice bank model, and a predictive air temperature model. A preliminary study was also carried out to test the robustness of the controller’s performance in an uncertain real time electricity pricing forecast scenario. Both economic and grid management benefits were found by simulating the operation of the cold thermal storage load shifting controller in a

Design of 2D Time-Varying Vector Fields

KAUST Repository

Chen, Guoning

2012-10-01

Design of time-varying vector fields, i.e., vector fields that can change over time, has a wide variety of important applications in computer graphics. Existing vector field design techniques do not address time-varying vector fields. In this paper, we present a framework for the design of time-varying vector fields, both for planar domains as well as manifold surfaces. Our system supports the creation and modification of various time-varying vector fields with desired spatial and temporal characteristics through several design metaphors, including streamlines, pathlines, singularity paths, and bifurcations. These design metaphors are integrated into an element-based design to generate the time-varying vector fields via a sequence of basis field summations or spatial constrained optimizations at the sampled times. The key-frame design and field deformation are also introduced to support other user design scenarios. Accordingly, a spatial-temporal constrained optimization and the time-varying transformation are employed to generate the desired fields for these two design scenarios, respectively. We apply the time-varying vector fields generated using our design system to a number of important computer graphics applications that require controllable dynamic effects, such as evolving surface appearance, dynamic scene design, steerable crowd movement, and painterly animation. Many of these are difficult or impossible to achieve via prior simulation-based methods. In these applications, the time-varying vector fields have been applied as either orientation fields or advection fields to control the instantaneous appearance or evolving trajectories of the dynamic effects. © 1995-2012 IEEE.

Design of 2D Time-Varying Vector Fields

KAUST Repository

Chen, Guoning; Kwatra, Vivek; Wei, Li-Yi; Hansen, Charles D.; Zhang, Eugene

2012-01-01

Design of time-varying vector fields, i.e., vector fields that can change over time, has a wide variety of important applications in computer graphics. Existing vector field design techniques do not address time-varying vector fields. In this paper, we present a framework for the design of time-varying vector fields, both for planar domains as well as manifold surfaces. Our system supports the creation and modification of various time-varying vector fields with desired spatial and temporal characteristics through several design metaphors, including streamlines, pathlines, singularity paths, and bifurcations. These design metaphors are integrated into an element-based design to generate the time-varying vector fields via a sequence of basis field summations or spatial constrained optimizations at the sampled times. The key-frame design and field deformation are also introduced to support other user design scenarios. Accordingly, a spatial-temporal constrained optimization and the time-varying transformation are employed to generate the desired fields for these two design scenarios, respectively. We apply the time-varying vector fields generated using our design system to a number of important computer graphics applications that require controllable dynamic effects, such as evolving surface appearance, dynamic scene design, steerable crowd movement, and painterly animation. Many of these are difficult or impossible to achieve via prior simulation-based methods. In these applications, the time-varying vector fields have been applied as either orientation fields or advection fields to control the instantaneous appearance or evolving trajectories of the dynamic effects. © 1995-2012 IEEE.

Optimal Conditional Reachability for Multi-Priced Timed Automata

DEFF Research Database (Denmark)

Larsen, Kim Guldstrand; Rasmussen, Jacob Illum

2005-01-01

In this paper, we prove decidability of the optimal conditional reachability problem for multi-priced timed automata, an extension of timed automata with multiple cost variables evolving according to given rates for each location. More precisely, we consider the problem of determining the minimal...

Dynamic pricing of electricity for residential customers. The evidence from Michigan

Energy Technology Data Exchange (ETDEWEB)

Faruqui, A.; Akaba, L. [The Brattle Group, 201 Mission Street, Suite 2800, San Francisco, CA 94105 (United States); Sergici, S. [The Brattle Group, 44 Brattle Street, Cambridge, MA 02138 (United States)

2013-08-15

The rollout of smart meters has enabled the provision of dynamic pricing to residential customers. However, doubts remain whether households can respond to time-varying price signals and that is preventing the full-scale rollout of dynamic pricing and the attainment of economic efficiency. Experiments are being conducted to test price responsiveness. We analyze data from a pilot in Michigan which featured two dynamic pricing rates and an enabling technology. Unlike most other pilots, it also included a group of 'information only' customers who were provided information on time-varying prices but billed on standard rates. Similarly, unlike most other pilots, it also included two control groups, one of whom knew they were in the pilot and one of whom did not. This was designed to test for the presence of a Hawthorne effect. Consistent with the large body of experimental literature, we find that customers, including low-income participants, do respond to dynamic pricing. We also find that the response to critical peak pricing rates is similar to the response to peak time rebates, consistent with the finding of one prior experiment but inconsistent with the finding of two prior experiments. We also find that the 'information only' customers respond to the provision of pricing information but at a substantially lower rate than the customers on dynamic pricing. We find that the response to enabling technology is muted. We do not find any evidence to suggest that a Hawthorne effect existed in this experiment.

Global Stability of Polytopic Linear Time-Varying Dynamic Systems under Time-Varying Point Delays and Impulsive Controls

Directory of Open Access Journals (Sweden)

M. de la Sen

2010-01-01

Full Text Available This paper investigates the stability properties of a class of dynamic linear systems possessing several linear time-invariant parameterizations (or configurations which conform a linear time-varying polytopic dynamic system with a finite number of time-varying time-differentiable point delays. The parameterizations may be timevarying and with bounded discontinuities and they can be subject to mixed regular plus impulsive controls within a sequence of time instants of zero measure. The polytopic parameterization for the dynamics associated with each delay is specific, so that (q+1 polytopic parameterizations are considered for a system with q delays being also subject to delay-free dynamics. The considered general dynamic system includes, as particular cases, a wide class of switched linear systems whose individual parameterizations are timeinvariant which are governed by a switching rule. However, the dynamic system under consideration is viewed as much more general since it is time-varying with timevarying delays and the bounded discontinuous changes of active parameterizations are generated by impulsive controls in the dynamics and, at the same time, there is not a prescribed set of candidate potential parameterizations.

Pricing of electricity in a time of change - some key issues

International Nuclear Information System (INIS)

Mostert, W.

1995-01-01

The paper covers four topics: (I) what does full cost coverage mean in the Eastern European power sector, (II) LRMC (Long Run Marginal Cost) pricing in regulated utilities versus free market prices; (III) limits to the internalization of external costs in fuel pricing, (IV) pricing of IPPs (Independent Power Producer). The paper argues that the tariff which allows full cost coverage in the Eastern European power sector should be defined as the minimum tariff which allows 30% self-financing of investments and a rate of return of at least 5% on invested assets. The appropriate level of self-financing relates to the appropriate capital structure of the company; the rate of return to the ability to attract finance in the long run. During the last twenty years there has been general consensus among power economists that the application of the LRMC pricing principle for the setting of tariffs was the best principle to ensure efficiency on both the demand as well as the supply side. In free markets involving TPA (Third Party Access) and spot markets, that principle can no longer be applied. In times of scarcity, prices will be above LMRC; in times of surplus capacity below LRMC. Economists have argued for years that external costs and benefits have to be ''internalized'' in tariffs and prices in order to provide consumers and investors with the right pricing principles

Stochastic arbitrage return and its implication for option pricing

Science.gov (United States)

Fedotov, Sergei; Panayides, Stephanos

2005-01-01

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.

Time varying voltage combustion control and diagnostics sensor

Science.gov (United States)

Chorpening, Benjamin T [Morgantown, WV; Thornton, Jimmy D [Morgantown, WV; Huckaby, E David [Morgantown, WV; Fincham, William [Fairmont, WV

2011-04-19

A time-varying voltage is applied to an electrode, or a pair of electrodes, of a sensor installed in a fuel nozzle disposed adjacent the combustion zone of a continuous combustion system, such as of the gas turbine engine type. The time-varying voltage induces a time-varying current in the flame which is measured and used to determine flame capacitance using AC electrical circuit analysis. Flame capacitance is used to accurately determine the position of the flame from the sensor and the fuel/air ratio. The fuel and/or air flow rate (s) is/are then adjusted to provide reduced flame instability problems such as flashback, combustion dynamics and lean blowout, as well as reduced emissions. The time-varying voltage may be an alternating voltage and the time-varying current may be an alternating current.

A Heterogeneous Agent Model of Asspet Price with Three Time Delays

Directory of Open Access Journals (Sweden)

Akio Matsumoto

2016-09-01

Full Text Available This paper considers a continuous-time heterogeneous agent model ofa ...nancial market with one risky asset, two types of agents (i.e., thefundamentalists and the chartists, and three time delays. The chartistdemand is determined through a nonlinear function of the di¤erence be-tween the current price and a weighted moving average of the delayedprices whereas the fundamentalist demand is governed by the di¤erencebetween the current price and the fundamental value. The asset price dy-namics is described by a nonlinear delay di¤erential equation. Two mainresults are analytically and numerically shown:(i the delay destabilizes the market price and generates cyclic oscillationsaround the equilibrium;(ii under multiple delays, stability loss and gain repeatedly occurs as alength of the delay increases.

Optimal Infinite Runs in One-Clock Priced Timed Automata

DEFF Research Database (Denmark)

David, Alexandre; Ejsing-Duun, Daniel; Fontani, Lisa

We address the problem of finding an infinite run with the optimal cost-time ratio in a one-clock priced timed automaton and pro- vide an algorithmic solution. Through refinements of the quotient graph obtained by strong time-abstracting bisimulation partitioning, we con- struct a graph with time...

Forecasting electricity spot-prices using linear univariate time-series models

International Nuclear Information System (INIS)

Cuaresma, Jesus Crespo; Hlouskova, Jaroslava; Kossmeier, Stephan; Obersteiner, Michael

2004-01-01

This paper studies the forecasting abilities of a battery of univariate models on hourly electricity spot prices, using data from the Leipzig Power Exchange. The specifications studied include autoregressive models, autoregressive-moving average models and unobserved component models. The results show that specifications, where each hour of the day is modelled separately present uniformly better forecasting properties than specifications for the whole time-series, and that the inclusion of simple probabilistic processes for the arrival of extreme price events can lead to improvements in the forecasting abilities of univariate models for electricity spot prices. (Author)

Synthetic river flow time series generator for dispatch and spot price forecast

International Nuclear Information System (INIS)

Flores, R.A.

2007-01-01

Decision-making in electricity markets is complicated by uncertainties in demand growth, power supplies and fuel prices. In Peru, where the electrical power system is highly dependent on water resources at dams and river flows, hydrological uncertainties play a primary role in planning, price and dispatch forecast. This paper proposed a signal processing method for generating new synthetic river flow time series as a support for planning and spot market price forecasting. River flow time series are natural phenomena representing a continuous-time domain process. As an alternative synthetic representation of the original river flow time series, this proposed signal processing method preserves correlations, basic statistics and seasonality. It takes into account deterministic, periodic and non periodic components such as those due to the El Nino Southern Oscillation phenomenon. The new synthetic time series has many correlations with the original river flow time series, rendering it suitable for possible replacement of the classical method of sorting historical river flow time series. As a dispatch and planning approach to spot pricing, the proposed method offers higher accuracy modeling by decomposing the signal into deterministic, periodic, non periodic and stochastic sub signals. 4 refs., 4 tabs., 13 figs

Multi-Step Time Series Forecasting with an Ensemble of Varied Length Mixture Models.

Science.gov (United States)

Ouyang, Yicun; Yin, Hujun

2018-05-01

Many real-world problems require modeling and forecasting of time series, such as weather temperature, electricity demand, stock prices and foreign exchange (FX) rates. Often, the tasks involve predicting over a long-term period, e.g. several weeks or months. Most existing time series models are inheritably for one-step prediction, that is, predicting one time point ahead. Multi-step or long-term prediction is difficult and challenging due to the lack of information and uncertainty or error accumulation. The main existing approaches, iterative and independent, either use one-step model recursively or treat the multi-step task as an independent model. They generally perform poorly in practical applications. In this paper, as an extension of the self-organizing mixture autoregressive (AR) model, the varied length mixture (VLM) models are proposed to model and forecast time series over multi-steps. The key idea is to preserve the dependencies between the time points within the prediction horizon. Training data are segmented to various lengths corresponding to various forecasting horizons, and the VLM models are trained in a self-organizing fashion on these segments to capture these dependencies in its component AR models of various predicting horizons. The VLM models form a probabilistic mixture of these varied length models. A combination of short and long VLM models and an ensemble of them are proposed to further enhance the prediction performance. The effectiveness of the proposed methods and their marked improvements over the existing methods are demonstrated through a number of experiments on synthetic data, real-world FX rates and weather temperatures.

Timed arrays wideband and time varying antenna arrays

CERN Document Server

Haupt, Randy L

2015-01-01

Introduces timed arrays and design approaches to meet the new high performance standards The author concentrates on any aspect of an antenna array that must be viewed from a time perspective. The first chapters briefly introduce antenna arrays and explain the difference between phased and timed arrays. Since timed arrays are designed for realistic time-varying signals and scenarios, the book also reviews wideband signals, baseband and passband RF signals, polarization and signal bandwidth. Other topics covered include time domain, mutual coupling, wideband elements, and dispersion. The auth

Branch and price for the time-dependent vehicle routing problem with time windows

DEFF Research Database (Denmark)

Dabia, Said; Dabia, Said; Van Woensel, Tom

2013-01-01

of column generation, and a tailored labeling algorithm is used to solve the pricing problem. We introduce new dominance criteria that allow more label dominance. For our numerical results, we modified Solomon's data sets by adding time dependency. Our algorithm is able to solve about 63% of the instances...... solution methods to the DM-TDVRPTW are based on (meta-)heuristics. The decomposition of an arc-based formulation leads to a setpartitioning problem as the master problem, and a time-dependent shortest path problem with resource constraints as the pricing problem. The master problem is solved by means...... with 25 customers, 38% of the instances with 50 customers, and 15% of the instances with 100 customers. © 2013 INFORMS....

Entropy-based financial asset pricing.

Directory of Open Access Journals (Sweden)

Mihály Ormos

Full Text Available We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return-entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy.

Entropy-based financial asset pricing.

Science.gov (United States)

Ormos, Mihály; Zibriczky, Dávid

2014-01-01

We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return-entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy.

Jumps and stochastic volatility in oil prices: Time series evidence

International Nuclear Information System (INIS)

Larsson, Karl; Nossman, Marcus

2011-01-01

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model clearly outperforms the others in terms of a superior fit to data. Our estimation method allows us to obtain a detailed study of oil prices during two periods of extreme market stress included in our sample; the Gulf war and the recent financial crisis. We also address the economic significance of model choice in two option pricing applications. The implied volatilities generated by the different estimated models are compared and we price a real option to develop an oil field. Our findings indicate that model choice can have a material effect on the option values.

Three essays on access pricing

Science.gov (United States)

Sydee, Ahmed Nasim

access pricing with congestion and in which investments in infrastructure are lumpy. To fix ideas, the model is formulated in the context of airport infrastructure investments, which captures both the element of congestion and the lumpiness involved in infrastructure investments. The optimal investment program suggests how many units of capacity should be installed and at which times. Because time is continuous in the model, the discounted cost -- despite the lumpiness of capacity additions -- can be made to vary continuously by varying the time a capacity addition is made. The main results that emerge from the analysis can be described as follows: First, the global demand for air travel rises with time and experiences an upward jump whenever a capacity addition is made. Second, the access price is constant and stays at the basic level when the system is not congested. When the system is congested, a congestion surcharge is imposed on top of the basic level, and the congestion surcharge rises with the level of congestion until the next capacity addition is made at which time the access price takes a downward jump. Third, the individual demand for air travel is constant before congestion sets in and after the last capacity addition takes place. During a time interval in which congestion rises, the individual demand for travel is below the level that prevails when there is no congestion and declines as congestion worsens. The third essay contains a model of access pricing for natural gas transmission pipelines, both when pipeline operators are regulated and when they behave strategically. The high sunk costs involved in building a pipeline network constitute a serious barrier of entry, and competitive behaviour in the transmission pipeline sector cannot be expected. Most of the economic analyses of access pricing for natural gas transmission pipelines are carried out from the regulatory perspective, and the access price paid by shippers are cost-based. The model formalized

Dynamic Pricing

DEFF Research Database (Denmark)

Sharifi, Reza; Anvari-Moghaddam, Amjad; Fathi, S. Hamid

2017-01-01

Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes h...... of dynamic pricing can lead to increased willingness of consumers to participate in DR programs which in turn improve the operation of liberalized electricity markets.......Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes...

Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model

International Nuclear Information System (INIS)

Chai Jian; Guo, Ju-E.; Meng Lei; Wang Shouyang

2011-01-01

As the uncertainty of oil price increases, impacts of the influential factors on oil price vary over time. It is of great importance to explore the core factors and its time-varying influence on oil price. In view of this, based on the PATH-ANALYSIS model, this paper obtains the core factors, builds an oil price system VAR model, which uses demand, supply, price, and inventory as endogenous variables, and China's net imports as well as dollar index as exogenous variables. Then we set up a BVAR-TVP (Time varying parameter) model to analyze dynamic impacts of core factors on oil price. The results show that: (1) oil prices became more sensitive to oil supply changes, and the influence delays became shorter; (2) the impact of oil inventories on oil prices with a time lag of two quarters but has a downward trend; (3) the impact of oil consumption on oil prices with a time lag of two quarters, and this effect is increasingly greater; (4) the US dollar index is always the important factor of oil price and its control power increases gradually, and the financial crisis (occurred in 2008) further strengthens the influence of US dollar. - Highlights: ► We build an oil price VAR model based on the PATH-ANALYSIS results. ► The dynamic effects of core factors on oil price was studied by BVAR-TVP model. ► Oil prices became more sensitive to oil supply changes. ► The effect of oil consumption on oil prices is increasingly greater. ► Financial crisis further strengthens the influence of US dollar on oil price.

Oil price and financial markets: Multivariate dynamic frequency analysis

International Nuclear Information System (INIS)

Creti, Anna; Ftiti, Zied; Guesmi, Khaled

2014-01-01

The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters' markets than in the importers' ones. - Highlights: • A new time-varying measure for the stock markets and oil price relationship in different horizons. • We propose a new empirical methodology: multivariate frequency approach. • We propose a comparison between oil importing and exporting countries. • We show that oil is not always countercyclical with respect to stock markets. • When high oil prices originate from supply shocks, oil is countercyclical with stock markets

Carbon financial markets: A time-frequency analysis of CO2 prices

Science.gov (United States)

Sousa, Rita; Aguiar-Conraria, Luís; Soares, Maria Joana

2014-11-01

We characterize the interrelation of CO2 prices with energy prices (electricity, gas and coal), and with economic activity. Previous studies have relied on time-domain techniques, such as Vector Auto-Regressions. In this study, we use multivariate wavelet analysis, which operates in the time-frequency domain. Wavelet analysis provides convenient tools to distinguish relations at particular frequencies and at particular time horizons. Our empirical approach has the potential to identify relations getting stronger and then disappearing over specific time intervals and frequencies. We are able to examine the coherency of these variables and lead-lag relations at different frequencies for the time periods in focus.

Time Series Analysis of Wheat flour Price Shocks in Pakistan: A Case Analysis

OpenAIRE

Asad Raza Abdi; Ali Hassan Halepoto; Aisha Bashir Shah; Faiz M. Shaikh

2013-01-01

The current research investigates the wheat flour Price Shocks in Pakistan: A case analysis. Data was collected by using secondary sources by using Time series Analysis, and data were analyzed by using SPSS-20 version. It was revealed that the price of wheat flour increases from last four decades, and trend of price shocks shows that due to certain market variation and supply and demand shocks also play a positive relationship in price shocks in the wheat prices. It was further revealed th...

Mediation analysis with time varying exposures and mediators.

Science.gov (United States)

VanderWeele, Tyler J; Tchetgen Tchetgen, Eric J

2017-06-01

In this paper we consider causal mediation analysis when exposures and mediators vary over time. We give non-parametric identification results, discuss parametric implementation, and also provide a weighting approach to direct and indirect effects based on combining the results of two marginal structural models. We also discuss how our results give rise to a causal interpretation of the effect estimates produced from longitudinal structural equation models. When there are time-varying confounders affected by prior exposure and mediator, natural direct and indirect effects are not identified. However, we define a randomized interventional analogue of natural direct and indirect effects that are identified in this setting. The formula that identifies these effects we refer to as the "mediational g-formula." When there is no mediation, the mediational g-formula reduces to Robins' regular g-formula for longitudinal data. When there are no time-varying confounders affected by prior exposure and mediator values, then the mediational g-formula reduces to a longitudinal version of Pearl's mediation formula. However, the mediational g-formula itself can accommodate both mediation and time-varying confounders and constitutes a general approach to mediation analysis with time-varying exposures and mediators.

Optimal models of extreme volume-prices are time-dependent

International Nuclear Information System (INIS)

Rocha, Paulo; Boto, João Pedro; Raischel, Frank; Lind, Pedro G

2015-01-01

We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled. To show these two features we analyze stocks of the New York stock market with four different models: Γ, Γ-inverse, log-normal, and Weibull distributions. To evaluate the accuracy of each model we use standard relative deviations as well as the Kullback-Leibler distance and introduce an additional distance particularly suited to evaluate how accurate are the models for the distribution tails (large volume-price). Finally we put our findings in perspective and discuss how they can be extended to other situations in finance engineering

Time series ARIMA models for daily price of palm oil

Science.gov (United States)

Ariff, Noratiqah Mohd; Zamhawari, Nor Hashimah; Bakar, Mohd Aftar Abu

2015-02-01

Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.

Important variables in explaining real-time peak price in the independent power market of Ontario

International Nuclear Information System (INIS)

Rueda, I.E.A.; Marathe, A.

2005-01-01

This paper uses support vector machines (SVM) based learning algorithm to select important variables that help explain the real-time peak electricity price in the Ontario market. The Ontario market was opened to competition only in May 2002. Due to the limited number of observations available, finding a set of variables that can explain the independent power market of Ontario (IMO) real-time peak price is a significant challenge for the traders and analysts. The kernel regressions of the explanatory variables on the IMO real-time average peak price show that non-linear dependencies exist between the explanatory variables and the IMO price. This non-linear relationship combined with the low variable-observation ratio rule out conventional statistical analysis. Hence, we use an alternative machine learning technique to find the important explanatory variables for the IMO real-time average peak price. SVM sensitivity analysis based results find that the IMO's predispatch average peak price, the actual import peak volume, the peak load of the Ontario market and the net available supply after accounting for load (energy excess) are some of the most important variables in explaining the real-time average peak price in the Ontario electricity market. (author)

Time is up: increasing shadow price of time in primary-care office visits.

Science.gov (United States)

Tai-Seale, Ming; McGuire, Thomas

2012-04-01

A physician's own time is a scarce resource in primary care, and the physician must constantly evaluate the gain from spending more time with the current patient against moving to address the health-care needs of the next. We formulate and test two alternative hypotheses. The first hypothesis is based on the premise that with time so scarce, physicians equalize the marginal value of time across patients. The second, alternative hypothesis states that physicians allocate the same time to each patient, regardless of how much the patient benefits from the time at the margin. For our empirical work, we examine the presence of a sharply increasing subjective shadow price of time around the 'target' time using video recordings of 385 visits by elderly patients to their primary care physician. We structure the data at the 'topic' level and find evidence consistent with the alternative hypothesis. Specifically, time elapsed within a visit is a very strong determinant of the current topic being the 'last topic'. This finding implies the physician's shadow price of time is rising during the course of a visit. We consider whether dislodging a target-time mentality from physicians (and patients) might contribute to more productive primary care practice. Copyright © 2011 John Wiley & Sons, Ltd.

Real-time electricity pricing in a deregulated environment using artificial intelligence

Energy Technology Data Exchange (ETDEWEB)

Dondo, M.G.

1998-12-31

The challenge of implementing real-time pricing of electricity was discussed. Several electric utilities want to incorporate real-time pricing into their rate policies. Conventional programming methods are not fast enough to process and distribute information in real time. Therefore, a new method that would match the current advances in communication speeds is needed. Also, conventional programming methods do not incorporate the uncertainties that are inherent in the lives of humans. Therefore, it is necessary to incorporate this fuzziness into the model. This study showed that the elements of speed and uncertainties can be readily incorporated into the determination of spot-pricing based electricity rates. A unique computational intelligence model was designed which consists of a feedforward neural network based on back-propagation training and a fuzzy logic model. The work has been demonstrated on the IEEE test systems and the Nova Scotia Power Corporation`s system.

Optimal Load Response to Time-of-Use Power Price for Demand Side Management in Denmark

DEFF Research Database (Denmark)

Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

2010-01-01

-of-use power price for demand side management in order to save the energy costs as much as possible. 3 typical different kinds of loads (industrial load, residential load and commercial load) in Denmark are chosen as study cases. The energy costs decrease up to 9.6% with optimal load response to time......-of-use power price for different loads. Simulation results show that the optimal load response to time-of-use power price for demand side management generates different load profiles and reduces the load peaks. This kind of load patterns may also have significant effects on the power system normal operation.......Since the hourly spot market price is available one day ahead in Denmark, the price could be transferred to the consumers and they may shift their loads from high price periods to the low price periods in order to save their energy costs. This paper presents a load optimization method to time...

Tuberculosis drug issues: prices, fixed-dose combination products and second-line drugs.

Science.gov (United States)

Laing, R O; McGoldrick, K M

2000-12-01

Access to tuberculosis drugs depends on multiple factors. Selection of a standard list of TB drugs to procure is the first step. This paper reviews the advantages and disadvantages of procuring and using fixed-dose combination (FDC) products for both the intensive and continuation phases of treatment. The major advantages are to prevent the emergence of resistance, to simplify logistic management and to reduce costs. The major disadvantage is the need for the manufacturers to assure the quality of these FDCs by bioavailability testing. The paper reports on the inclusion of second-line TB drugs in the 1999 WHO Essential Drug List (EDL). The need to ensure that these drugs are used within established DOTS-Plus programs is stressed. The price of TB drugs is determined by many factors, including producer prices, local taxes and duties as well as mark-ups and fees. TB drug prices for both the public and private sectors from industrialized and developing countries are reported. Price trends over time are also reported. The key findings of this study are that TB drug prices have generally declined in developing countries while they have increased in developed countries, both for the public and private sectors. Prices vary between countries, with the US paying as much as 95 times the price paid in a specific developing country. The prices of public sector first-line TB drugs vary little between countries, although differences do exist due to the procurement methods used. The price of tuberculin, a diagnostic agent, has increased dramatically in the US, with substantial inter-country variations in price. The paper suggests that further research is necessary to identify the reasons for the price disparities and changes over time, and suggests methods which can be used by National Tuberculosis Programme managers to ensure availability of quality assured TB drugs at low prices.

Correlation between Chinese and international energy prices based on a HP filter and time difference analysis

International Nuclear Information System (INIS)

He, Yongxiu; Wang, Bing; Wang, Jianhui; Xiong, Wei; Xia, Tian

2013-01-01

To establish a reasonable system and mechanism for Chinese energy prices, we use the Granger causality test, Hodrick–Prescott (HP) filter and time difference analysis to research the pricing relationship between Chinese and international energy prices. We find that Chinese and international crude oil prices changed synchronously while Chinese refined oil prices follow the changes of international oil prices with the time difference being about 1 month to 2 months. Further, Australian coal prices Granger causes Chinese coal prices, and there is a high correlation between them. The U.S. electricity price is influenced by the WTI crude oil price, the U.S. gasoline price and the HenryHub gas price. Due to the unreasonable price-setting mechanism and regulation from the central government, China′s terminal market prices for both electricity and natural gas do not reflect the real supply–demand situation. This paper provides quantitative results on the correlation between Chinese and international energy prices to better predict the impact of international energy price fluctuations on China′s domestic energy supply and guide the design of more efficient energy pricing policies. Moreover, it provides references for developing countries to improve their energy market systems and trading, and to coordinate domestic and international energy markets. -- Highlights: •The Hodrick-Prescott filter and time difference analysis are used to research the correlation among energy prices. •Our study finds that the U.S. and British refined oil prices Granger cause the Chinese refined oil price. •Both Chinese and the Australian coal prices play an important role in the international coal market. •The Chinese terminal electric power and terminal natural gas prices are not highly correlated. •The results are useful for guiding the design of more efficient energy pricing policies in China

Customer response to day-ahead market hourly pricing: Choices and performance

International Nuclear Information System (INIS)

Hopper, Nicole; Goldman, Charles; Bharvirkar, Ranjit; Neenan, Bernie

2006-01-01

Real-time pricing (RTP) has been advocated to address extreme price volatility and market power in electricity markets. This study of Niagara Mohawk Power Corporation's largest customers analyzes their choices and performance in response to day-ahead, default-service RTP. Overall price response is modest: 119 customers are estimated to reduce their peak demand by about 10% at high prices. Manufacturing customers are most responsive with a price elasticity of 0.16, followed by government/education customers (0.11), while commercial/retail, healthcare and public works customers are, at present, relatively unresponsive. Within market segments, individual customer response varies significantly. (author)

Time-varying properties of renal autoregulatory mechanisms

DEFF Research Database (Denmark)

Zou, Rui; Cupples, Will A; Yip, K P

2002-01-01

In order to assess the possible time-varying properties of renal autoregulation, time-frequency and time-scaling methods were applied to renal blood flow under broad-band forced arterial blood pressure fluctuations and single-nephron renal blood flow with spontaneous oscillations obtained from...... normotensive (Sprague-Dawley, Wistar, and Long-Evans) rats, and spontaneously hypertensive rats. Time-frequency analyses of normotensive and hypertensive blood flow data obtained from either the whole kidney or the single-nephron show that indeed both the myogenic and tubuloglomerular feedback (TGF) mechanisms...... have time-varying characteristics. Furthermore, we utilized the Renyi entropy to measure the complexity of blood-flow dynamics in the time-frequency plane in an effort to discern differences between normotensive and hypertensive recordings. We found a clear difference in Renyi entropy between...

Do food and oil prices co-move?

International Nuclear Information System (INIS)

Reboredo, Juan C.

2012-01-01

This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. - Highlights: ► We study co-movement between food and oil markets through copulas. ► Food prices are neutral to the effects of changes in oil prices. ► Oil price spikes had no causal effect on agricultural price spikes. ► Oil–corn and oil–soybean dependence increased in recent years. ► Food subsidy policies and price controls are unnecessary to avoid extreme oil prices.

On using priced timed automata to achieve optimal scheduling

DEFF Research Database (Denmark)

Rasmussen, Jacob Illum; Larsen, Kim Guldstrand; Subramani, K.

2006-01-01

This contribution reports on the considerable effort made recently towards extending and applying well-established timed automata technology to optimal scheduling and planning problems. The effort of the authors in this direction has to a large extent been carried out as part of the European proj...... of so-called priced timed automata....

Price learning during grocery shopping

DEFF Research Database (Denmark)

Jensen, Birger Boutrup

Many attempts have been made to measure consumers' price knowledge for groceries. However, the results have varied considerably and conflict with results of reference price research. This is the first study to examine price knowledge before, during, and after store visit, thus enabling a study...... of what consumers learn about prices during grocery shopping. Three measures of price knowledge corresponding to different levels of price information processing were applied. Results indicate that price learning does take place and that episodic price knowledge after store exit is far more widespread...... than expected. Consequently, a new view of how consumer price knowledge evolves during grocery shopping is presented....

Industrial and residential electricity demand dynamics in Japan: How did price and income elasticities evolve from 1989 to 2014?

International Nuclear Information System (INIS)

Wang, Nan; Mogi, Gento

2017-01-01

This study estimates the price and income elasticities of industrial and residential electricity demand in Japan with the annual data from 1989 to 2014. A time varying parameter (TVP) model with the Kalman filter is applied to monitor the evolution of consumer behaviors in the “post-bubble” period given the exogenous shock (financial crisis in 2008) and the structural breaks (electricity deregulation and Fukushima Daiichi crisis). The TVP model can provide a robust estimation of elasticities and can detect the outliers and the structural breaks. The results suggest that both industrial and residential consumers become less sensitive to price after the electricity deregulation and the financial crisis, and more sensitive to price after the Fukushima Daiichi crisis. Especially the industrial sector is less sensitive to price after the retail deregulation. By contrast, the income elasticities of industrial and residential sector consumers are stable during the examined period. Results also indicate that a negative relationship exists between the price elasticity of electricity demand and the price level of electricity after the electric sector deregulation. Some insights on the further electric sector reform and the environmental taxation in Japan are also provided. - Highlights: • A time varying parameter model is calculated with the Kalman filter. • Income elasticities are stable while price elasticities are time-varying. • Industrial sector is less sensitive to price change than residential sector. • Negative relationship between price elasticity and price level is found.

Dynamic Pricing for Resource Consumption in Cloud Service

Directory of Open Access Journals (Sweden)

Bin Cao

2018-01-01

Full Text Available This paper studies dynamic pricing for cloud service where different resources are consumed by different users. The traditional cloud resource pricing models can be divided into two categories: on-demand service and reserved service. The former only takes the using time into account and is unfair for the users with long using time and little concurrency. The latter charges the same price to all the users and does not consider the resource consumption of users. Therefore, in this paper, we propose a flexible dynamic pricing model for cloud resources, which not only takes into account the occupying time and resource consumption of different users but also considers the maximal concurrency of resource consumption. As a result, on the one hand, this dynamic pricing model can help users save the cost of cloud resources. On the other hand, the profits of service providers are guaranteed. The key of the pricing model is how to efficiently calculate the maximal concurrency of resource consumption since the cost of providers is dynamically varied based on the maximal concurrency. To support this function in real time, we propose a data structure based on the classical B+ tree and the implementation for its corresponding basic operations like insertion, deletion, split, and query. Finally, the experiment results show that we can complete the dynamic pricing query on 10 million cloud resource usage records within 0.2 seconds on average.

Stock price dynamics and option valuations under volatility feedback effect

Science.gov (United States)

Kanniainen, Juho; Piché, Robert

2013-02-01

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

Evaluating availability and price of essential medicines in Boston area (Massachusetts, USA) using WHO/HAI methodology.

Science.gov (United States)

Sharma, Abhishek; Rorden, Lindsey; Ewen, Margaret; Laing, Richard

2016-01-01

Many patients even those with health insurance pay out-of-pocket for medicines. We investigated the availability and prices of essential medicines in the Boston area. Using the WHO/HAI methodology, availability and undiscounted price data for both originator brand (OB) and lowest price generic (LPG) equivalent versions of 25 essential medicines (14 prescription; 11 over-the-counter (OTC)) were obtained from 17 private pharmacies. The inclusion and prices of 26 essential medicines in seven pharmacy discount programs were also studied. The medicine prices were compared with international reference prices (IRPs). In surveyed pharmacies, the OB medicines were less available as compared to the generics. The OB and LPG versions of OTC medicines were 21.33 and 11.53 times the IRP, respectively. The median prices of prescription medicines were higher, with OB and LPG versions at 158.14 and 38.03 times the IRP, respectively. In studied pharmacy discount programs, the price ratios of surveyed medicines varied from 4.4-13.9. While noting the WHO target that consumers should pay no more than four times the IRPs, medicine prices were considerably higher in the Boston area. The prices for medicines included in the pharmacy discount programs were closest to WHO's target. Consumers should shop around, as medicine inclusion and prices vary across discount programs. In order for consumers to identify meaningful potential savings through comparison shopping, price transparency is needed.

Pemodelan Markov Switching Dengan Time-varying Transition Probability

OpenAIRE

Savitri, Anggita Puri; Warsito, Budi; Rahmawati, Rita

2016-01-01

Exchange rate or currency is an economic variable which reflects country's state of economy. It fluctuates over time because of its ability to switch the condition or regime caused by economic and political factors. The changes in the exchange rate are depreciation and appreciation. Therefore, it could be modeled using Markov Switching with Time-Varying Transition Probability which observe the conditional changes and use information variable. From this model, time-varying transition probabili...

Impact of optimal load response to real-time electricity price on power system constraints in Denmark

DEFF Research Database (Denmark)

Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

2010-01-01

Since the hourly spot market price is available one day ahead in Denmark, the price could be transferred to the consumers and they may shift their loads from high price periods to the low price periods in order to save their energy costs. The optimal load response to a real-time electricity price...... and may represent the future of electricity markets in some ways, is chosen as the studied power system in this paper. A distribution system where wind power capacity is 126% of maximum loads is chosen as the study case. This paper presents a nonlinear load optimization method to real-time power price...... for demand side management in order to save the energy costs as much as possible. Simulation results show that the optimal load response to a real-time electricity price has some good impacts on power system constraints in a distribution system with high wind power penetrations....

Fish is food--the FAO's fish price index.

Science.gov (United States)

Tveterås, Sigbjørn; Asche, Frank; Bellemare, Marc F; Smith, Martin D; Guttormsen, Atle G; Lem, Audun; Lien, Kristin; Vannuccini, Stefania

2012-01-01

World food prices hit an all-time high in February 2011 and are still almost two and a half times those of 2000. Although three billion people worldwide use seafood as a key source of animal protein, the Food and Agriculture Organization (FAO) of the United Nations-which compiles prices for other major food categories-has not tracked seafood prices. We fill this gap by developing an index of global seafood prices that can help to understand food crises and may assist in averting them. The fish price index (FPI) relies on trade statistics because seafood is heavily traded internationally, exposing non-traded seafood to price competition from imports and exports. Easily updated trade data can thus proxy for domestic seafood prices that are difficult to observe in many regions and costly to update with global coverage. Calculations of the extent of price competition in different countries support the plausibility of reliance on trade data. Overall, the FPI shows less volatility and fewer price spikes than other food price indices including oils, cereals, and dairy. The FPI generally reflects seafood scarcity, but it can also be separated into indices by production technology, fish species, or region. Splitting FPI into capture fisheries and aquaculture suggests increased scarcity of capture fishery resources in recent years, but also growth in aquaculture that is keeping pace with demand. Regionally, seafood price volatility varies, and some prices are negatively correlated. These patterns hint that regional supply shocks are consequential for seafood prices in spite of the high degree of seafood tradability.

Fish is food--the FAO's fish price index.

Directory of Open Access Journals (Sweden)

Sigbjørn Tveterås

Full Text Available World food prices hit an all-time high in February 2011 and are still almost two and a half times those of 2000. Although three billion people worldwide use seafood as a key source of animal protein, the Food and Agriculture Organization (FAO of the United Nations-which compiles prices for other major food categories-has not tracked seafood prices. We fill this gap by developing an index of global seafood prices that can help to understand food crises and may assist in averting them. The fish price index (FPI relies on trade statistics because seafood is heavily traded internationally, exposing non-traded seafood to price competition from imports and exports. Easily updated trade data can thus proxy for domestic seafood prices that are difficult to observe in many regions and costly to update with global coverage. Calculations of the extent of price competition in different countries support the plausibility of reliance on trade data. Overall, the FPI shows less volatility and fewer price spikes than other food price indices including oils, cereals, and dairy. The FPI generally reflects seafood scarcity, but it can also be separated into indices by production technology, fish species, or region. Splitting FPI into capture fisheries and aquaculture suggests increased scarcity of capture fishery resources in recent years, but also growth in aquaculture that is keeping pace with demand. Regionally, seafood price volatility varies, and some prices are negatively correlated. These patterns hint that regional supply shocks are consequential for seafood prices in spite of the high degree of seafood tradability.

Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

OpenAIRE

Filis, George; Degiannakis, S.; Floros, C.

2011-01-01

The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and Oil-importing: USA, Germany, Netherlands. The contemporaneous correlation results show that i) although time-varying correlation does not differ for oil-importing and oil-exporting economies, ii) the correlation i...

股指期货对现货时变相依结构的多尺度研究%Multi-scale Study on Time-varying Dependency Structure between the Stock Index Futures and the Actual

Institute of Scientific and Technical Information of China (English)

彭选华; 傅强

2011-01-01

Copula theory is very popular to model the dependency structure between the price of future and spot market in financial analysis including risk hedge,hedging portfolio and price discovery.This paper considers the innovation asymmetric impact on the price and the time-varying characteristics of the dependency structure,and constructs a time-varying T-Copula-GJR-GARCH model by using a GJR-GARCH model to fit the two returns,respectively.By choosing the DCC equation to depict the dynamic structure of the time-varying coefficient,and based on high frequency price data from 5 to 60 minute of the Hu-Shen 300 index futures and stock market,we establish a time-varying T-Copula-GJR-GARCH（1,1）-T model by time-scale.The results indicate the dependent structure changes over time-scale,which may be explained by the market microstructure and heterogeneity of the investors.Hence,this paper reveals the potential time-varying dependency patterns between China＇s stock index futures and spot market at multi-scale time horizons.%股指期货与现货之间的相依结构是Copula理论在金融分析中套期保值、组合风险对冲及价格发现等应用的热点。考虑到新息对价格的非对称冲击和相依结构的时变特征,利用GJR-GARCH模型对股指期货和现货的收益率序列建模,选用DCC方程刻画二者之间时变相关系数的演化结构,构建时变T-Copula-GJR-GARCH模型。针对沪深300指数现货与期货5～60分钟的高频数据,分尺度拟合时变T-Copula-GJR-GARCH（1,1）-t模型,结果表明相依结构随时间尺度变化而变化,这或许可由市场微观结构差异及投资者的

Experimental evidence for amplitude death induced by a time-varying interaction

Energy Technology Data Exchange (ETDEWEB)

Suresh, K. [Centre for Nonlinear Dynamics, School of Physics, Bharathidasan University, Tiruchirappalli 620024, Tamil Nadu (India); Shrimali, M.D. [Department of Physics, Central University of Rajasthan, NH-8, Bandar Sindri, Ajmer 305 801 (India); Prasad, Awadhesh [Department of Physics and Astrophysics, University of Delhi, Delhi 110 007 (India); Thamilmaran, K., E-mail: maran.cnld@gmail.com [Centre for Nonlinear Dynamics, School of Physics, Bharathidasan University, Tiruchirappalli 620024, Tamil Nadu (India)

2014-08-01

In this paper, we study the time-varying interaction in coupled oscillatory systems. For this purpose, we have designed a novel time-varying resistive network using an analog switch and inverter circuits. We have applied this time-varying resistive network to mutually coupled identical Chua's oscillators. When the resistances are varied in time, we find that amplitude death arises in coupled identical oscillators. This has been observed numerically as well as verified through hardware experiments. - Highlights: • We have implemented the time-varying interaction in coupled oscillatory systems. • We have designed a novel time-varying resistive network using an analog switch and inverter circuits. • When the resistances are varied in time, we find that amplitude death arises in coupled identical oscillators.

Varying the number of bidders in the first-price sealed-bid auction: experimental evidence for the one-shot game

OpenAIRE

Tibor Neugebauer; Sascha F llbrunn

2013-01-01

The paper reports experimental data on the behavior in the first-price sealed-bid auction for a varying number of bidders when values and bids are private information. This feedback-free design is proposed for the experimental test of the one-shot game situation. We consider both within-subject and betweensubjects variations. In line with the qualitative risk neutral Nash equilibrium prediction, the data show that bids increase in the number of bidders. However, in auctions involving a small ...

The effects of residential real-time pricing contracts on transco loads, pricing, and profitability: Simulations using the N-ABLE trademark agent-based model

International Nuclear Information System (INIS)

Ehlen, Mark A.; Scholand, Andrew J.; Stamber, Kevin L.

2007-01-01

An agent-based model is constructed in which a demand aggregator sells both uniform-price and real-time price (RTP) contracts to households as means for adding price elasticity in residential power use sectors, particularly during peak-price hours of the day. Simulations suggest that RTP contracts help a demand aggregator (1) shift its long-term contracts toward off-peak hours, thereby reducing its cost of power and (2) increase its short-run profits if it is one of the first aggregators to have large numbers of RTP contracts; but (3) create susceptibilities to short-term market demand and price volatilities. (author)

Analysis of time-varying psoriasis lesion image patterns

DEFF Research Database (Denmark)

Maletti, Gabriela Mariel; Ersbøll, Bjarne Kjær; Nielsen, Allan Aasbjerg

2004-01-01

The multivariate alteration detection transform is applied to pairs of within and between time varying registered psoriasis image patterns. Color band contribution to the variates explaining maximal change is analyzed.......The multivariate alteration detection transform is applied to pairs of within and between time varying registered psoriasis image patterns. Color band contribution to the variates explaining maximal change is analyzed....

Impact of sucrose contents and cooking time on cowpea prices in Senegal

Directory of Open Access Journals (Sweden)

Mb.D Faye

2014-07-01

Full Text Available An alternative approach to traditional consumer behaviour and demand theory is characteristics theory, which assumes that a consumer’s utility function is generated by the characteristics, or attributes, that goods and services possess. Instead of a utility being a function of a product, it becomes a function of the attributes provided by these products. In this paper a hedonic pricing model is used to investigate the influence of sucrose level and cooking time on cowpea prices in Senegal.  Cooking time has a significant impact on price only at Tilene market in Dakar, while the sucrose contents tend to provide a premium throughout. Further investigation shows that the local varieties, AW, Matam and Ndiassiw have higher sucrose contents than the other cowpea varieties.

The Effect of Prior Knowledge on Price Acceptability and the Type of Information Examined.

OpenAIRE

Rao, Akshay R; Sieben, Wanda A

1992-01-01

This article assesses whether differences in prior knowledge result in differences in (1) price acceptability and (2) the extent to which different types of information are examined. Using a personal computer-based methodology, subjects who varied in their prior product knowledge provided price responses, and the time they spent examining various kinds of information was measured. Acceptable price-range and points (price limits) were found to be lowest for low-knowledge subjects. Further, the...

Optimal batch production strategies under continuous price decrease and time discounting

Directory of Open Access Journals (Sweden)

Mandal S.

2007-01-01

Full Text Available Single price discount in unit cost for bulk purchasing is quite common in reality as well as in inventory literature. However, in today's high-tech industries such as personal computers and mobile industries, continuous decrease in unit cost is a regular phenomenon. In the present paper, an attempt has been made to investigate the effects of continuous price decrease and time-value of money on optimal decisions for inventoried goods having time-dependent demand and production rates. The proposed models are developed over a finite time horizon considering both shortages and without shortages in inventory. Numerical examples are taken to illustrate the developed models and to examine the sensitivity of model parameters.

Finite-time stability of neutral-type neural networks with random time-varying delays

Science.gov (United States)

Ali, M. Syed; Saravanan, S.; Zhu, Quanxin

2017-11-01

This paper is devoted to the finite-time stability analysis of neutral-type neural networks with random time-varying delays. The randomly time-varying delays are characterised by Bernoulli stochastic variable. This result can be extended to analysis and design for neutral-type neural networks with random time-varying delays. On the basis of this paper, we constructed suitable Lyapunov-Krasovskii functional together and established a set of sufficient linear matrix inequalities approach to guarantee the finite-time stability of the system concerned. By employing the Jensen's inequality, free-weighting matrix method and Wirtinger's double integral inequality, the proposed conditions are derived and two numerical examples are addressed for the effectiveness of the developed techniques.

Entropy Rate of Time-Varying Wireless Networks

DEFF Research Database (Denmark)

Cika, Arta; Badiu, Mihai Alin; Coon, Justin P.

2018-01-01

In this paper, we present a detailed framework to analyze the evolution of the random topology of a time-varying wireless network via the information theoretic notion of entropy rate. We consider a propagation channel varying over time with random node positions in a closed space and Rayleigh...... fading affecting the connections between nodes. The existence of an edge between two nodes at given locations is modeled by a Markov chain, enabling memory effects in network dynamics. We then derive a lower and an upper bound on the entropy rate of the spatiotemporal network. The entropy rate measures...

The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices

Energy Technology Data Exchange (ETDEWEB)

Meyler, Aidan [European Central Bank, Frankfurt am Main (Germany)

2009-11-15

Crude and refined oil prices have been relatively high and volatile on a sustained basis since 1999. This paper considers the pass through of oil prices into consumer liquid (i.e. petrol, diesel and heating) fuel prices in such an environment. The pass through of oil prices into consumer liquid fuel prices has already been addressed extensively in the literature. Nonetheless much of this literature has either focused on the United States or on a time period when oil prices were relatively stable, or has used monthly data. The main contribution of this paper is a comprehensive combination of many features that have been considered before but rarely jointly. These features include: (1) the analysis of the euro area as an aggregate and a large number of countries (the initial 12 member states); (2) the consideration of different time periods; (3) the modelling of the data in raw levels rather than in log levels. This turns out to have important implications for our findings; (4) the use of high frequency (weekly) data, which, as results will suggest, are the lowest frequency one should consider; (5) the investigation of the different stages of the production chain from crude oil prices to retail distribution - refining costs and margins, distribution and retailing costs and margins; (6) the examination of prices including and excluding taxes - excise and value-added; (7) the modelling of prices for three fuel types - passenger car petrol and diesel separately and home heating fuel oil; (8) lastly we also address the issue of possible asymmetries, allowing for the pass through to vary according to (a) whether price are increasing or decreasing and (b) whether price levels are above or below their equilibrium level. The main findings are as follows: First, as distribution and retailing costs and margins have been broadly stable on average, the modelling of the relationship between consumer prices excluding taxes and upstream prices in raw levels rather than in

The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices

International Nuclear Information System (INIS)

Meyler, Aidan

2009-01-01

Crude and refined oil prices have been relatively high and volatile on a sustained basis since 1999. This paper considers the pass through of oil prices into consumer liquid (i.e. petrol, diesel and heating) fuel prices in such an environment. The pass through of oil prices into consumer liquid fuel prices has already been addressed extensively in the literature. Nonetheless much of this literature has either focused on the United States or on a time period when oil prices were relatively stable, or has used monthly data. The main contribution of this paper is a comprehensive combination of many features that have been considered before but rarely jointly. These features include: (1) the analysis of the euro area as an aggregate and a large number of countries (the initial 12 member states); (2) the consideration of different time periods; (3) the modelling of the data in raw levels rather than in log levels. This turns out to have important implications for our findings; (4) the use of high frequency (weekly) data, which, as results will suggest, are the lowest frequency one should consider; (5) the investigation of the different stages of the production chain from crude oil prices to retail distribution - refining costs and margins, distribution and retailing costs and margins; (6) the examination of prices including and excluding taxes - excise and value-added; (7) the modelling of prices for three fuel types - passenger car petrol and diesel separately and home heating fuel oil; (8) lastly we also address the issue of possible asymmetries, allowing for the pass through to vary according to (a) whether price are increasing or decreasing and (b) whether price levels are above or below their equilibrium level. The main findings are as follows: First, as distribution and retailing costs and margins have been broadly stable on average, the modelling of the relationship between consumer prices excluding taxes and upstream prices in raw levels rather than in

Modelling weather effects for impact analysis of residential time-of-use electricity pricing

International Nuclear Information System (INIS)

Miller, Reid; Golab, Lukasz; Rosenberg, Catherine

2017-01-01

Analyzing the impact of pricing policies such as time-of-use (TOU) is challenging in the presence of confounding factors such as weather. Motivated by a lack of consensus and model selection details in prior work, we present a methodology for modelling the effect of weather on residential electricity demand. The best model is selected according to explanatory power, out-of-sample prediction accuracy, goodness of fit and interpretability. We then evaluate the effect of mandatory TOU pricing in a local distribution company in southwestern Ontario, Canada. We use a smart meter dataset of over 20,000 households which is particularly suited to our analysis: it contains data from the summer before and after the implementation of TOU pricing in November 2011, and all customers transitioned from tiered rates to TOU rates at the same time. We find that during the summer rate season, TOU pricing results in electricity conservation across all price periods. The average demand change during on-peak and mid-peak periods is −2.6% and −2.4% respectively. Changes during off-peak periods are not statistically significant. These TOU pricing effects are less pronounced compared to previous studies, underscoring the need for clear, reproducible impact analyses which include full details about the model selection process. - Highlights: • We study models for the effect of weather on residential electricity demand. • We evaluate the effect of mandatory TOU pricing in a local distribution company in Ontario, Canada. • We find the effect of TOU pricing to be less pronounced compared to previous studies.

Impact of carbon cost on wholesale electricity price: A note on price pass-through issues

Energy Technology Data Exchange (ETDEWEB)

Kim, Wook [Korea Southern Power Co., 167, Samsung-dong, Gangnam-gu, Seoul 135-791 (Korea); Chattopadhyay, Deb [Saha International, Level 26, 385 Bourke Street, Melbourne, VIC 3000 (Australia); Park, Jong-bae [Electrical Engineering Department, Konkuk University, 1 Hwayang-dong, Kwanggin-gu, Seoul 143-701 (Korea)

2010-08-15

Carbon costs - either in the form of a carbon tax or through permit prices in an emissions trading scheme - would ultimately be reflected in higher electricity prices. Carbon cost ''pass-through'' is critical to the survival of existing coal generation assets and has been discussed widely as a measure of business impact in the electricity industry. This paper sets out in a structured way the factors that determine price pass-through and why this may differ greatly across different systems. Although the basic concept of price pass-through is simple, a clear understanding of the underlying factors is critical to developing insights on how carbon cost would impact on existing coal generation businesses. It is shown that pass-through can vary drastically if the underlying dispatch potential of generators varies significantly across alternative emissions reduction scenarios. It can also vary depending on the availability of competing cleaner forms of generation. Pass-through as a measure of business performance is, therefore, hard to generalize across different circumstances and should be interpreted carefully. (author)

Multivariate time-varying volatility modeling using probabilistic fuzzy systems

NARCIS (Netherlands)

Basturk, N.; Almeida, R.J.; Golan, R.; Kaymak, U.

2016-01-01

Methods to accurately analyze financial risk have drawn considerable attention in financial institutions. One difficulty in financial risk analysis is the fact that banks and other financial institutions invest in several assets which show time-varying volatilities and hence time-varying financial

Detecting method for crude oil price fluctuation mechanism under different periodic time series

International Nuclear Information System (INIS)

Gao, Xiangyun; Fang, Wei; An, Feng; Wang, Yue

2017-01-01

Highlights: • We proposed the concept of autoregressive modes to indicate the fluctuation patterns. • We constructed transmission networks for studying the fluctuation mechanism. • There are different fluctuation mechanism under different periodic time series. • Only a few types of autoregressive modes control the fluctuations in crude oil price. • There are cluster effects during the fluctuation mechanism of autoregressive modes. - Abstract: Current existing literatures can characterize the long-term fluctuation of crude oil price time series, however, it is difficult to detect the fluctuation mechanism specifically under short term. Because each fluctuation pattern for one short period contained in a long-term crude oil price time series have dynamic characteristics of diversity; in other words, there exhibit various fluctuation patterns in different short periods and transmit to each other, which reflects the reputedly complicate and chaotic oil market. Thus, we proposed an incorporated method to detect the fluctuation mechanism, which is the evolution of the different fluctuation patterns over time from the complex network perspective. We divided crude oil price time series into segments using sliding time windows, and defined autoregressive modes based on regression models to indicate the fluctuation patterns of each segment. Hence, the transmissions between different types of autoregressive modes over time form a transmission network that contains rich dynamic information. We then capture transmission characteristics of autoregressive modes under different periodic time series through the structure features of the transmission networks. The results indicate that there are various autoregressive modes with significantly different statistical characteristics under different periodic time series. However, only a few types of autoregressive modes and transmission patterns play a major role in the fluctuation mechanism of the crude oil price, and these

Long memory of financial time series and hidden Markov models with time-varying parameters

DEFF Research Database (Denmark)

Nystrup, Peter; Madsen, Henrik; Lindström, Erik

Hidden Markov models are often used to capture stylized facts of daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior for the ability to reproduce the stylized...... facts have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time-varying. It is shown that a two-state Gaussian hidden Markov model with time-varying parameters is able to reproduce the long memory of squared...... daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step predictions....

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars Peter

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...... moments of the risk neutral distribution. Parameter inference using Gibbs sampling is explained and we detail how to compute risk neutral predictive densities taking into account parameter uncertainty. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared...

Agent-Based Modeling of Day-Ahead Real Time Pricing in a Pool-Based Electricity Market

Directory of Open Access Journals (Sweden)

Sh. Yousefi

2011-09-01

Full Text Available In this paper, an agent-based structure of the electricity retail market is presented based on which day-ahead (DA energy procurement for customers is modeled. Here, we focus on operation of only one Retail Energy Provider (REP agent who purchases energy from DA pool-based wholesale market and offers DA real time tariffs to a group of its customers. As a model of customer response to the offered real time prices, an hourly acceptance function is proposed in order to represent the hourly changes in the customer’s effective demand according to the prices. Here, Q-learning (QL approach is applied in day-ahead real time pricing for the customers enabling the REP agent to discover which price yields the most benefit through a trial-and-error search. Numerical studies are presented based on New England day-ahead market data which include comparing the results of RTP based on QL approach with that of genetic-based pricing.

Fuzzy time-series based on Fibonacci sequence for stock price forecasting

Science.gov (United States)

Chen, Tai-Liang; Cheng, Ching-Hsue; Jong Teoh, Hia

2007-07-01

Time-series models have been utilized to make reasonably accurate predictions in the areas of stock price movements, academic enrollments, weather, etc. For promoting the forecasting performance of fuzzy time-series models, this paper proposes a new model, which incorporates the concept of the Fibonacci sequence, the framework of Song and Chissom's model and the weighted method of Yu's model. This paper employs a 5-year period TSMC (Taiwan Semiconductor Manufacturing Company) stock price data and a 13-year period of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) stock index data as experimental datasets. By comparing our forecasting performances with Chen's (Forecasting enrollments based on fuzzy time-series. Fuzzy Sets Syst. 81 (1996) 311-319), Yu's (Weighted fuzzy time-series models for TAIEX forecasting. Physica A 349 (2004) 609-624) and Huarng's (The application of neural networks to forecast fuzzy time series. Physica A 336 (2006) 481-491) models, we conclude that the proposed model surpasses in accuracy these conventional fuzzy time-series models.

Detecting Chaos from Agricultural Product Price Time Series

Directory of Open Access Journals (Sweden)

Xin Su

2014-12-01

Full Text Available Analysis of the characteristics of agricultural product price volatility and trend forecasting are necessary to formulate and implement agricultural price control policies. Taking wholesale cabbage prices as an example, a multiple test methodology has been adopted to identify the nonlinearity, fractality, and chaos of the data. The approaches used include the R/S analysis, the BDS test, the power spectra, the recurrence plot, the largest Lyapunov exponent, the Kolmogorov entropy, and the correlation dimension. The results show that there is chaos in agricultural wholesale price data, which provides a good theoretical basis for selecting reasonable forecasting models as prediction techniques based on chaos theory can be applied to forecasting agricultural prices.

Pricing and Timing Strategies for New Product Using Agent-Based Simulation of Behavioural Consumers

OpenAIRE

Keeheon Lee; Hoyeop Lee; Chang Ouk Kim

2014-01-01

In this study, we are interested in the problem of determining the pricing and timing strategies of a new product by developing an agent-based product diffusion simulation. In the proposed simulation model, agents imitate behavioural consumers, who are reference dependent and risk averse in the evaluation of new products and whose interactions create word-of-mouth regarding new products. Pricing and timing strategies involve the timing of a new product release, the timing of providing a disco...

The third oil price surge. What's different this time?

International Nuclear Information System (INIS)

Kesicki, Fabian

2010-01-01

The period from 2003 to 2008 was marked by an oil price increase comparable to the two oil price crises in the 1970s. This paper looks in detail at the situation of the oil price crises 30 years ago and compares them along various aspects on the demand and supply side with the recent price increase to identify similarities and differences. While both oil price crises in 1973 and 1979/1980 were ultimately caused by supply actions of members of the Organisation of Petroleum Exporting Countries (OPEC), all three oil price crises were preceded by high demand growth. Other aspects that favoured a high oil price in all three cases were low investments in new oil fields, as a consequence low spare capacity, and a weak US dollar. In addition, the recent oil price surge has been characterised by a high global refinery utilisation and refineries that did not adapt fast enough to the rising demand for lighter oil products. Moreover, broader geopolitical uncertainties, combined with risks associated with the oil trade helped push the oil price into a triple-digit zone. Speculation played only a limited and temporary role in accelerating price movements during the recent price increase. (author)

Technology Timing and Pricing In the Presence of an Installed Base

OpenAIRE

Qiu_Hong Wang; Kai-Lung Hui

2005-01-01

This paper studies a vendor.s timing and pricing strategies to tackle its own installed base when selling a newly improved product. We characterize the market with either a partly- or fully- covered installed base, consumers. relative willingness to pay for the newly improved version of the product, and their relative payoffs from delayed purchase. Instead of using the conventional assumption of constant consumer reservation price, we propose that if consumers already own an existing (old) ve...

Exploring the impact of co-varying water availability and energy price on productivity and profitability of Alpine hydropower

Science.gov (United States)

Anghileri, Daniela; Botter, Martina; Castelletti, Andrea; Burlando, Paolo

2016-04-01

Alpine hydropower systems are experiencing dramatic changes both from the point of view of hydrological conditions, e.g., water availability and frequency of extremes events, and of energy market conditions, e.g., partial or total liberalization of the market and increasing share of renewable power sources. Scientific literature has, so far, mostly focused on the analysis of climate change impacts and associated uncertainty on hydropower operation, underlooking the consequences that socio-economic changes, e.g., energy demand and/or price changes, can have on hydropower productivity and profitability. In this work, we analyse how hydropower reservoir operation is affected by changes in both water availability and energy price. We consider stochastically downscaled climate change scenarios of precipitation and temperature to simulate reservoir inflows using a physically explicit hydrological model. We consider different scenarios of energy demand and generation mix to simulate energy prices using an electricity market model, which includes different generation sources, demand sinks, and features of the transmission lines. We then use Multi-Objective optimization techniques to design the operation of hydropower reservoirs for different purposes, e.g. maximization of revenue and/or energy production. The objective of the work is to assess how the tradeoffs between the multiple operating objectives evolve under different co-varying climate change and socio-economic scenarios and to assess the adaptive capacity of the system. The modeling framework is tested on the real-world case study of the Mattmark reservoir in Switzerland.

Overcoming Spurious Regression Using time-Varying Fourier ...

African Journals Online (AJOL)

Non-stationary time series data have been traditionally analyzed in the frequency domain by assuming constant amplitudes regardless of the timelag. A new approach called time-varying amplitude method (TVAM) is presented here. Oscillations are analyzed for changes in the magnitude of Fourier Coefficients which are ...

Vesicle biomechanics in a time-varying magnetic field.

Science.gov (United States)

Ye, Hui; Curcuru, Austen

2015-01-01

Cells exhibit distortion when exposed to a strong electric field, suggesting that the field imposes control over cellular biomechanics. Closed pure lipid bilayer membranes (vesicles) have been widely used for the experimental and theoretical studies of cellular biomechanics under this electrodeformation. An alternative method used to generate an electric field is by electromagnetic induction with a time-varying magnetic field. References reporting the magnetic control of cellular mechanics have recently emerged. However, theoretical analysis of the cellular mechanics under a time-varying magnetic field is inadequate. We developed an analytical theory to investigate the biomechanics of a modeled vesicle under a time-varying magnetic field. Following previous publications and to simplify the calculation, this model treated the inner and suspending media as lossy dielectrics, the membrane thickness set at zero, and the electric resistance of the membrane assumed to be negligible. This work provided the first analytical solutions for the surface charges, electric field, radial pressure, overall translational forces, and rotational torques introduced on a vesicle by the time-varying magnetic field. Frequency responses of these measures were analyzed, particularly the frequency used clinically by transcranial magnetic stimulation (TMS). The induced surface charges interacted with the electric field to produce a biomechanical impact upon the vesicle. The distribution of the induced surface charges depended on the orientation of the coil and field frequency. The densities of these charges were trivial at low frequency ranges, but significant at high frequency ranges. The direction of the radial force on the vesicle was dependent on the conductivity ratio between the vesicle and the medium. At relatively low frequencies (biomechanics under a time-varying magnetic field. Biological effects of clinical TMS are not likely to occur via alteration of the biomechanics of brain

Selecting Lower Priced Items.

Science.gov (United States)

Kleinert, Harold L.; And Others

1988-01-01

A program used to teach moderately to severely mentally handicapped students to select the lower priced items in actual shopping activities is described. Through a five-phase process, students are taught to compare prices themselves as well as take into consideration variations in the sizes of containers and varying product weights. (VW)

Real Time Updating Genetic Network Programming for Adapting to the Change of Stock Prices

Science.gov (United States)

Chen, Yan; Mabu, Shingo; Shimada, Kaoru; Hirasawa, Kotaro

The key in stock trading model is to take the right actions for trading at the right time, primarily based on the accurate forecast of future stock trends. Since an effective trading with given information of stock prices needs an intelligent strategy for the decision making, we applied Genetic Network Programming (GNP) to creating a stock trading model. In this paper, we propose a new method called Real Time Updating Genetic Network Programming (RTU-GNP) for adapting to the change of stock prices. There are three important points in this paper: First, the RTU-GNP method makes a stock trading decision considering both the recommendable information of technical indices and the candlestick charts according to the real time stock prices. Second, we combine RTU-GNP with a Sarsa learning algorithm to create the programs efficiently. Also, sub-nodes are introduced in each judgment and processing node to determine appropriate actions (buying/selling) and to select appropriate stock price information depending on the situation. Third, a Real Time Updating system has been firstly introduced in our paper considering the change of the trend of stock prices. The experimental results on the Japanese stock market show that the trading model with the proposed RTU-GNP method outperforms other models without real time updating. We also compared the experimental results using the proposed method with Buy&Hold method to confirm its effectiveness, and it is clarified that the proposed trading model can obtain much higher profits than Buy&Hold method.

Impact of speculator's expectations of returns and time scales of investment on crude oil price behaviors

International Nuclear Information System (INIS)

He, Ling-Yun; Fan, Ying; Wei, Yi-Ming

2009-01-01

Based on time series of crude oil prices (daily spot), this paper analyses price fluctuation with two significant parameters τ (speculators' time scales of investment) and ε (speculators' expectations of return) by using Zipf analysis technique, specifically, by mapping τ-returns of prices into 3-alphabeted sequences (absolute frequencies) and 2-alphabeted sequences (relative frequencies), containing the fundamental information of price fluctuations. This paper empirically explores parameters and identifies various types of speculators' cognition patterns of price behavior. In order to quantify the degree of distortion, a feasible reference is proposed: an ideal speculator. Finally, this paper discusses the similarities and differences between those cognition patterns of speculators' and those of an ideal speculator. The resultant analyses identify the possible distortion of price behaviors by their patterns. (author)

A dispatch based pricing model for the New Zealand electricity market

International Nuclear Information System (INIS)

Ring, B.J.; Read, E.G.

1996-01-01

Work undertaken for the New Zealand transmission grid is described. Prices derived from an observed system dispatch can be used in the short-run coordination of a competitive wholesale electricity market. These prices vary across space and time, reflecting differences in marginal costs and changing demand. Markets for emergency reserve generating capacity can be integrated with a market for power. Used in conjunction with longer term contracts, such short-run prices have the potential to allow competitive power system operation without significant loss of coordination efficiencies. 2 figs., 26 refs

Modelling Time-Varying Volatility in Financial Returns

DEFF Research Database (Denmark)

Amado, Cristina; Laakkonen, Helinä

2014-01-01

The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and their implications for the capital markets. We contribute to this literature by using a modified...... version of the time-varying GARCH model of Amado and Teräsvirta (2013) to analyze whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into two time-varying conditional components: the first...... being captured by a stable GARCH(1,1) process and the second driven by the level of uncertainty in the financial market....

Integration of capacity, pricing, and lead-time decisions in a decentralized supply chain

NARCIS (Netherlands)

Zhu, Stuart X.

We consider a decentralized supply chain consisting of a supplier and a retailer facing price- and lead-time-sensitive demand. The decision process is modelled by a Stackelberg game where the supplier, as a leader, determines the capacity and the wholesale price, and the retailer, as a follower,

Identification of time-varying nonlinear systems using differential evolution algorithm

DEFF Research Database (Denmark)

Perisic, Nevena; Green, Peter L; Worden, Keith

2013-01-01

(DE) algorithm for the identification of time-varying systems. DE is an evolutionary optimisation method developed to perform direct search in a continuous space without requiring any derivative estimation. DE is modified so that the objective function changes with time to account for the continuing......, thus identification of time-varying systems with nonlinearities can be a very challenging task. In order to avoid conventional least squares and gradient identification methods which require uni-modal and double differentiable objective functions, this work proposes a modified differential evolution...... inclusion of new data within an error metric. This paper presents results of identification of a time-varying SDOF system with Coulomb friction using simulated noise-free and noisy data for the case of time-varying friction coefficient, stiffness and damping. The obtained results are promising and the focus...

Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices

International Nuclear Information System (INIS)

Ewing, Bradley T.; Thompson, Mark A.

2007-01-01

This paper examines the empirical relationship between oil prices and several key macroeconomic variables. In particular, we investigate the cyclical comovements of crude oil prices with output, consumer prices, unemployment, and stock prices. The methodology involves the use of the Hodrick-Prescott [Hodrick, R.J., Prescott, E.C., 1980. Post-War US Business Cycles: An Empirical Investigation. Working Paper, Carnegie Mellon University] and Baxter-King [Baxter, M., King, R.G., 1999. Measuring business cycles: approximate band-pass filters for economic time series. Review of Economics and Statistics 81, 575-593] filters, as well as the recently developed full-sample asymmetric Christiano-Fitzgerald [Christiano, L.J., Fitzgerald, T.J., 2003. The band pass filter. International Economic Review 44, 435-465] band-pass filter. Contemporaneous and cross-correlation estimates are made using the stationary cyclical components of the time series to make inference about the degree to which oil prices move with the cycle. Besides documenting a number of important cyclical relationships using three different time series filtering methods, the results suggest that crude oil prices are procyclical and lag industrial production. Additionally, we find that oil prices lead consumer prices. (author)

A survey of utility experience with real time pricing: implications for policymakers seeking price responsive demand

International Nuclear Information System (INIS)

Barbose, Galen; Goldman, Charles; Neenan, Bernard

2005-01-01

Economists and policy makers frequently propose real time pricing (RTP) as a strategy for facilitating price responsive demand, thereby improving the performance of electricity markets and regional networks. While theoretically appealing, many practical and empirical issues related to RTP remain unresolved or poorly understood. Over the past two decades, more than 70 utilities in the U.S. have offered voluntary RTP tariffs, on either a pilot or permanent basis. However, most have operated in relative obscurity, and little information has made its way into the public domain. To address this gap, we conducted a conducted a comprehensive review of voluntary RTP programs in the U.S. by surveying 43 U.S. utilities and reviewing regulatory documents, tariffs, program evaluations, and other publicly available sources. Based on this review of RTP program experience, we identify key trends related to utilities' motivations and goals for implementing RTP, evolution of RTP tariff design, program participation, participant price response, and program outlook. Experience with voluntary RTP programs has been mixed. Several utilities have demonstrated that voluntary RTP programs are capable of generating significant load reductions. However, most programs have attracted relatively few participants and therefore have generated quite limited load reductions. About 2700 non-residential customers were enrolled in RTP programs in 2003, representing more than 11 000 MW of load. We then draw from these findings to identify implications for policy makers and regulators that are currently considering RTP as a strategy for facilitating price responsive demand

Consumption growth and time-varying expected stock returns

DEFF Research Database (Denmark)

Vinther Møller, Stig

2008-01-01

When the consumption growth rate is measured based upon fourth quarter data, it tracks predictable variation in future excess stock returns. Low fourth quarter consumption growth rates predict high future excess stock returns such that expected returns are high at business cycle troughs and low...... of each calendar year, and at possibly random times in between. The consumption growth rate measured based upon fourth quarter data is a much stronger predictive variable than benchmark predictive variables such as the dividend-price ratio, the term spread, and the default spread....

Real-Time Pricing in the Nordic Power markets

International Nuclear Information System (INIS)

Kopsakangas Savolainen, Maria; Svento, Rauli

2012-01-01

In this paper we study the potential effects of Real-Time Pricing (RTP) of electricity on the need for long-run capacities in the Nordic Power markets. A characteristic of the Nordic Power market is the large variety of production technologies, of which hydro and nuclear power are capacity constrained. We analyze the impact of RTP on: the need for total, peak and midmerit capacities; total demand; prices; peak demand hours; and economic welfare. We have also studied whether the results of RTP are sensitive to the simultaneous implementation of tradable emission permits. We find that RTP diminishes the need for total capacity even with inelastic demand. Our results show that even with modest assumptions related to RTP participation, the annual midmerit and peaker capacity efficiency savings amount to 97 million Euros, which are around 6% of their total annual investment costs. The price of the peak demand hour clearly diminishes as the share of the RTP customers increases or demand becomes more price elastic. We compare RTP and tradable emission permits as two separate instruments in reaching energy use efficiencies and show how these two instruments must be seen as complementary and not as substitutable instruments. We show how RTP and tradable emission permits have a positive correlation in promoting market access of renewable energy sources. We find that welfare effects of the implementation of RTP are positive. - Highlights: ► RTP diminishes the need for total capacity even with inelastic demand. ► The capacity efficiency savings are around 6% of their annual investment costs. ► RTP and ETS should be seen as complementary and not as substitutable instruments. ► RTP and ETS have a positive correlation in promoting market access of renewables. ► Welfare effects of the implementation of RTP are positive.

Time-varying linear control for tiltrotor aircraft

Directory of Open Access Journals (Sweden)

Jing ZHANG

2018-04-01

Full Text Available Tiltrotor aircraft have three flight modes: helicopter mode, airplane mode, and transition mode. A tiltrotor has characteristics of highly nonlinear, time-varying flight dynamics and inertial/control couplings in its transition mode. It can transit from the helicopter mode to the airplane mode by tilting its nacelles, and an effective controller is crucial to accomplish tilting transition missions. Longitudinal dynamic characteristics of the tiltrotor are described by a nonlinear Lagrange-form model, which takes into account inertial/control couplings and aerodynamic interferences. Reference commands for airspeed velocity and attitude in the transition mode are calculated dynamically by visiting a command library which is founded in advance by analyzing the flight envelope of the tiltrotor. A Time-Varying Linear (TVL model is obtained using a Taylor-expansion based online linearization technique from the nonlinear model. Subsequently, based on an optimal control concept, an online optimization based control method with input constraints considered is proposed. To validate the proposed control method, three typical tilting transition missions are simulated using the nonlinear model of XV-15 tiltrotor aircraft. Simulation results show that the controller can be used to control the tiltrotor throughout its operating envelop which includes a transition flight, and can also deal with vertical gust disturbances. Keywords: Constrained optimal control, Inertia/control couplings, Tiltrotor aircraft, Time-varying control, Transition mode

Identification of Time-Varying Pilot Control Behavior in Multi-Axis Control Tasks

Science.gov (United States)

Zaal, Peter M. T.; Sweet, Barbara T.

2012-01-01

Recent developments in fly-by-wire control architectures for rotorcraft have introduced new interest in the identification of time-varying pilot control behavior in multi-axis control tasks. In this paper a maximum likelihood estimation method is used to estimate the parameters of a pilot model with time-dependent sigmoid functions to characterize time-varying human control behavior. An experiment was performed by 9 general aviation pilots who had to perform a simultaneous roll and pitch control task with time-varying aircraft dynamics. In 8 different conditions, the axis containing the time-varying dynamics and the growth factor of the dynamics were varied, allowing for an analysis of the performance of the estimation method when estimating time-dependent parameter functions. In addition, a detailed analysis of pilots adaptation to the time-varying aircraft dynamics in both the roll and pitch axes could be performed. Pilot control behavior in both axes was significantly affected by the time-varying aircraft dynamics in roll and pitch, and by the growth factor. The main effect was found in the axis that contained the time-varying dynamics. However, pilot control behavior also changed over time in the axis not containing the time-varying aircraft dynamics. This indicates that some cross coupling exists in the perception and control processes between the roll and pitch axes.

Scaling properties in time-varying networks with memory

Science.gov (United States)

Kim, Hyewon; Ha, Meesoon; Jeong, Hawoong

2015-12-01

The formation of network structure is mainly influenced by an individual node's activity and its memory, where activity can usually be interpreted as the individual inherent property and memory can be represented by the interaction strength between nodes. In our study, we define the activity through the appearance pattern in the time-aggregated network representation, and quantify the memory through the contact pattern of empirical temporal networks. To address the role of activity and memory in epidemics on time-varying networks, we propose temporal-pattern coarsening of activity-driven growing networks with memory. In particular, we focus on the relation between time-scale coarsening and spreading dynamics in the context of dynamic scaling and finite-size scaling. Finally, we discuss the universality issue of spreading dynamics on time-varying networks for various memory-causality tests.

Price convergence and information efficiency in German natural gas markets

International Nuclear Information System (INIS)

Growitsch, Christian; Stronzik, Marcus; Nepal, Rabindra

2012-01-01

In 2007, Germany changed network access regulation in the natural gas sector and introduced a so-called entry-exit system. The re-regulation's spot market effects remain to be examined. We use cointegration analysis and a state space model with time-varying coefficients to study the development of natural gas spot prices in the two major trading hubs in Germany and the interlinked Dutch spot market. To analyse information efficiency in more detail, the state space model is extended to an error correction model. Overall, our results suggest a reasonable degree of price convergence between the corresponding hubs. However, allowing for time-variant adjustment processes, the remaining price differentials are only partly explained by transportation costs, indicating capacity constraints. Nonetheless, market efficiency in terms of information processing has increased considerably among Germany and The Netherlands.

Effects of time delay on stochastic resonance of the stock prices in financial system

Energy Technology Data Exchange (ETDEWEB)

Li, Jiang-Cheng [Department of Physics, Yunnan University, Kunming, 650091 (China); Li, Chun [Department of Computer Science, Puer Teachers' College, Puer 665000 (China); Mei, Dong-Cheng, E-mail: meidch@ynu.edu.cn [Department of Physics, Yunnan University, Kunming, 650091 (China)

2014-06-13

The effect of time delay on stochastic resonance of the stock prices in finance system was investigated. The time delay is introduced into the Heston model driven by the extrinsic and intrinsic periodic information for stock price. The signal power amplification (SPA) was calculated by numerical simulation. The results indicate that an optimal critical value of delay time maximally enhances the reverse-resonance in the behaviors of SPA as a function of long-run variance of volatility or cross correlation coefficient between noises for both cases of intrinsic and extrinsic periodic information. Moreover, in both cases, being a critical value in the delay time, when the delay time takes value below the critical value, reverse-resonance increases with the delay time increasing, however, when the delay time takes value above the critical value, the reverse-resonance decrease with the delay time increasing. - Highlights: • The effects of delay time on stochastic resonance of the stock prices was investigated. • There is an optimal critical value of delay time maximally enhances the reverse-resonance • The reverse-resonance increases with the delay time increasing as the delay time takes value below the critical value • The reverse-resonance decrease with the delay time increasing as the delay time takes value above the critical value.

Effects of time delay on stochastic resonance of the stock prices in financial system

International Nuclear Information System (INIS)

Li, Jiang-Cheng; Li, Chun; Mei, Dong-Cheng

2014-01-01

The effect of time delay on stochastic resonance of the stock prices in finance system was investigated. The time delay is introduced into the Heston model driven by the extrinsic and intrinsic periodic information for stock price. The signal power amplification (SPA) was calculated by numerical simulation. The results indicate that an optimal critical value of delay time maximally enhances the reverse-resonance in the behaviors of SPA as a function of long-run variance of volatility or cross correlation coefficient between noises for both cases of intrinsic and extrinsic periodic information. Moreover, in both cases, being a critical value in the delay time, when the delay time takes value below the critical value, reverse-resonance increases with the delay time increasing, however, when the delay time takes value above the critical value, the reverse-resonance decrease with the delay time increasing. - Highlights: • The effects of delay time on stochastic resonance of the stock prices was investigated. • There is an optimal critical value of delay time maximally enhances the reverse-resonance • The reverse-resonance increases with the delay time increasing as the delay time takes value below the critical value • The reverse-resonance decrease with the delay time increasing as the delay time takes value above the critical value

Testing for time-varying loadings in dynamic factor models

DEFF Research Database (Denmark)

Mikkelsen, Jakob Guldbæk

Abstract: In this paper we develop a test for time-varying factor loadings in factor models. The test is simple to compute and is constructed from estimated factors and residuals using the principal components estimator. The hypothesis is tested by regressing the squared residuals on the squared...... there is evidence of time-varying loadings on the risk factors underlying portfolio returns for around 80% of the portfolios....

Essays on Empirical Asset Pricing

DEFF Research Database (Denmark)

Gormsen, Niels Joachim

that the expected return to the distant-future cash flows increases by more in bad times than the expected return to near-future cash flows does. This new stylized fact is important for understanding why the expected return on the market portfolio as a whole varies over time. In addition, it has strong implications...... for which economic model that drives the return to stocks. Indeed, I find that none of the canonical asset pricing models can explain this new stylized fact while also explaining the previously documented facts about stock returns. The second chapter, called Conditional Risk, studies how the expected return...... on individual stocks is influenced by the fact that their riskiness varies over time. We introduce a new ”conditional-risk factor”, which is a simple method for determining how much of the expected return to individual stocks that can be explained by time variation in their market risk, i.e. market betas. Using...

Time-Varying Periodicity in Intraday Volatility

DEFF Research Database (Denmark)

Andersen, Torben Gustav; Thyrsgaard, Martin; Todorov, Viktor

We develop a nonparametric test for deciding whether return volatility exhibits time-varying intraday periodicity using a long time-series of high-frequency data. Our null hypothesis, commonly adopted in work on volatility modeling, is that volatility follows a stationary process combined...... with a constant time-of-day periodic component. We first construct time-of-day volatility estimates and studentize the high-frequency returns with these periodic components. If the intraday volatility periodicity is invariant over time, then the distribution of the studentized returns should be identical across...... with estimating volatility moments through their sample counterparts. Critical values are computed via easy-to-implement simulation. In an empirical application to S&P 500 index returns, we find strong evidence for variation in the intraday volatility pattern driven in part by the current level of volatility...

A Multiperiod Equilibrium Pricing Model

Directory of Open Access Journals (Sweden)

Minsuk Kwak

2014-01-01

Full Text Available We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity, one nontradable underlying (temperature, and also a contingent claim (weather derivative written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

Pricing of Claims in Discrete Time with Partial Information

International Nuclear Information System (INIS)

Rognlien Dahl, Kristina

2013-01-01

We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller’s price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively

Pricing of Claims in Discrete Time with Partial Information

Energy Technology Data Exchange (ETDEWEB)

Rognlien Dahl, Kristina, E-mail: kristrd@math.uio.no [University of Oslo, Department of Mathematics (Norway)

2013-10-15

We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.

Finite-Time Stability of Large-Scale Systems with Interval Time-Varying Delay in Interconnection

Directory of Open Access Journals (Sweden)

T. La-inchua

2017-01-01

Full Text Available We investigate finite-time stability of a class of nonlinear large-scale systems with interval time-varying delays in interconnection. Time-delay functions are continuous but not necessarily differentiable. Based on Lyapunov stability theory and new integral bounding technique, finite-time stability of large-scale systems with interval time-varying delays in interconnection is derived. The finite-time stability criteria are delays-dependent and are given in terms of linear matrix inequalities which can be solved by various available algorithms. Numerical examples are given to illustrate effectiveness of the proposed method.

Modeling information diffusion in time-varying community networks

Science.gov (United States)

Cui, Xuelian; Zhao, Narisa

2017-12-01

Social networks are rarely static, and they typically have time-varying network topologies. A great number of studies have modeled temporal networks and explored social contagion processes within these models; however, few of these studies have considered community structure variations. In this paper, we present a study of how the time-varying property of a modular structure influences the information dissemination. First, we propose a continuous-time Markov model of information diffusion where two parameters, mobility rate and community attractiveness, are introduced to address the time-varying nature of the community structure. The basic reproduction number is derived, and the accuracy of this model is evaluated by comparing the simulation and theoretical results. Furthermore, numerical results illustrate that generally both the mobility rate and community attractiveness significantly promote the information diffusion process, especially in the initial outbreak stage. Moreover, the strength of this promotion effect is much stronger when the modularity is higher. Counterintuitively, it is found that when all communities have the same attractiveness, social mobility no longer accelerates the diffusion process. In addition, we show that the local spreading in the advantage group has been greatly enhanced due to the agglomeration effect caused by the social mobility and community attractiveness difference, which thus increases the global spreading.

Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?

OpenAIRE

Lakshmi Balasubramanyan

2005-01-01

Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time varying volatility comovement and spillover impact the true variance-covariance matrix under a time-varying correlation set up. Statistically significant volatility spillover and comovement between US, UK and Japan is found. To demonstrate the importance of modelling volatility comovement and spillover, we look at a simple portfo...

Theoretical and Empirical Review of Asset Pricing Models: A Structural Synthesis

Directory of Open Access Journals (Sweden)

Saban Celik

2012-01-01

Full Text Available The purpose of this paper is to give a comprehensive theoretical review devoted to asset pricing models by emphasizing static and dynamic versions in the line with their empirical investigations. A considerable amount of financial economics literature devoted to the concept of asset pricing and their implications. The main task of asset pricing model can be seen as the way to evaluate the present value of the pay offs or cash flows discounted for risk and time lags. The difficulty coming from discounting process is that the relevant factors that affect the pay offs vary through the time whereas the theoretical framework is still useful to incorporate the changing factors into an asset pricing models. This paper fills the gap in literature by giving a comprehensive review of the models and evaluating the historical stream of empirical investigations in the form of structural empirical review.

Newtonian cosmology with a time-varying constant of gravitation

International Nuclear Information System (INIS)

McVittie, G.C.

1978-01-01

Newtonian cosmology is based on the Eulerian equations of fluid mechanics combined with Poisson's equation modified by the introduction of a time-varying G. Spherically symmetric model universes are worked out with instantaneously uniform densities. They are indeterminate unless instantaneous uniformity of the pressure is imposed. When G varies as an inverse power of the time, the models can in some cases be shown to depend on the solution of a second-order differential equation which also occurs in the Friedmann models of general relativity. In Section 3, a method for 'passing through' a singularity of this equation is proposed which entails making four arbitrary mathematical assumptions. When G varies as (time) -1 , models with initially cycloidal motion are possible, each cycle becoming longer as time progresses. Finally, gravitation becomes so weak that the model expands to infinity. Kinetic and potential energies for the whole model are derived from the basic equations; their sum is not constant. (author)

Detecting price manipulation in the financial market

OpenAIRE

Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, T. M.

2014-01-01

Market abuse has attracted much attention from financial regulators around the world but it is difficult to fully prevent. One of the reasons is the lack of thoroughly studies of the market abuse strategies and the corresponding effective market abuse approaches. In this paper, the strategies of reported price manipulation cases are analysed as well as the related empirical studies. A transformation is then defined to convert the time-varying financial trading data into pseudo-stationary time...

Nonlinear Pricing to Produce Information

OpenAIRE

David J. Braden; Shmuel S. Oren

1994-01-01

We investigate the firm's dynamic nonlinear pricing problem when facing consumers whose tastes vary according to a scalar index. We relax the standard assumption that the firm knows the distribution of this index. In general the firm should determine its marginal price schedule as if it were myopic, and produce information by lowering the price schedule; “bunching” consumers at positive purchase levels should be avoided. As a special case we also consider a market characterized by homogeneous...

Time-varying correlation and common structures in volatility

NARCIS (Netherlands)

Liu, Yang

2016-01-01

This thesis studies time series properties of the covariance structure of multivariate asset returns. First, the time-varying feature of correlation is investigated at the intraday level with a new correlation model incorporating the intraday correlation dynamics. Second, the thesis develops a

Pricing mechanism for real-time balancing in regional electricity markets

NARCIS (Netherlands)

De Weerdt, M.M.; Ketter, W.; Collins, J.

2011-01-01

We consider the problem of designing a pricing mechanism for precisely controlling the real-time balance in electricity markets, where retail brokers aggregate the supply and demand of a number of individual customers, and must purchase or sell power at the wholesale level such that the total supply

Dynamic Oligopoly Pricing: Evidence from the Airline Industry

OpenAIRE

Siegert, Caspar; Ulbricht, Robert

2014-01-01

We explore how pricing dynamics in the European airline industry vary with the competitive environment. Our results highlight substantial variations in pricing dynamics that are consistent with a theory of intertemporal price discrimination. First, the rate at which prices increase towards the scheduled travel date is decreasing in competition, supporting the idea that competition restrains the ability of airlines to price-discriminate. Second, the sensitivity to competition is substantially ...

Riding the Electricity Market as an Energy Management Strategy: Savings from Real-Time Pricing

Energy Technology Data Exchange (ETDEWEB)

Chiles, Thomas [U.S. General Services Administration, Washington, D.C. (United States); Shutika, Kenneth [U.S. General Services Administration, Washington, D.C. (United States); Coleman, Philip [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

2018-03-13

Dynamic pricing of electricity, in which retail prices facing customers are responsive to changes in the underlying wholesale markets, represents a step towards economic efficiency in that customers get exposed to some or all of the costs facing wholesale market players. But what do customers who opt for this greater exposure – available in the roughly 15 “de-regulated” states, as well as, to some extent, from some regulated utilities – get in return for their risks? The U.S. General Services Administration (GSA) took a retrospective eight-year look at what the savings would have been had they let the loads for which they purchase electricity in the Washington, DC area buy electricity on the real-time pricing (RTP) market – the dynamic pricing option with the highest risk – as opposed to the strategy they chose in actuality, which was fixing flat prices with 3rd-party providers. We found that opting for RTP for the eight years of the study (2005 through 2012) would have resulted in 17% savings, or almost a quarter of a billion dollars, relative to GSA’s actual prices from the 3rd-party suppliers. This is particularly astonishing given that GSA appeared to have timed the market well during the study period, consistently beating the standard offer products provided by the distribution utilities. The issue of budgetary predictability poses an obstacle for customers (especially government ones) considering RTP and, to a lesser extent, other dynamic pricing options. Indeed, GSA would have lost money with RTP in two of the eight years, one of them substantially. But the magnitude of the savings is indisputably compelling and, even if it may be somewhat aberrational due to high congestion in the DC market, begs consideration by large electricity users currently paying to “lock in” fixed flat prices.

Integrated model for pricing, delivery time setting, and scheduling in make-to-order environments

Science.gov (United States)

Garmdare, Hamid Sattari; Lotfi, M. M.; Honarvar, Mahboobeh

2018-03-01

Usually, in make-to-order environments which work only in response to the customer's orders, manufacturers for maximizing the profits should offer the best price and delivery time for an order considering the existing capacity and the customer's sensitivity to both the factors. In this paper, an integrated approach for pricing, delivery time setting and scheduling of new arrival orders are proposed based on the existing capacity and accepted orders in system. In the problem, the acquired market demands dependent on the price and delivery time of both the manufacturer and its competitors. A mixed-integer non-linear programming model is presented for the problem. After converting to a pure non-linear model, it is validated through a case study. The efficiency of proposed model is confirmed by comparing it to both the literature and the current practice. Finally, sensitivity analysis for the key parameters is carried out.

Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases

International Nuclear Information System (INIS)

Radchenko, S.

2005-01-01

This paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases. Several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed. In all models, the degree of asymmetry in gasoline prices declines with an increase in oil price volatility. The results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with Bayesian updating. (author)

North American oriented strand board markets, arbitrage activity, and market price dynamics: A smooth transition approach

Science.gov (United States)

Barry Goodwin; Matthew Holt; Jeffrey P. Prestemon

2011-01-01

Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-à-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important...

Pricing of Fluctuations in Electricity Markets

OpenAIRE

Tsitsiklis, John N.; Xu, Yunjian

2012-01-01

In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability of demand on conventional thermal generating units. We address this issue by explicitly modeling the ancillary cost associated with demand variability. We argue that a time-varying price equal to the suppliers' instantaneous marginal cost may not achieve s...

American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution

DEFF Research Database (Denmark)

Stentoft, Lars Peter

In this paper we propose a feasible way to price American options in a model with time varying volatility and conditional skewness and leptokurtosis using GARCH processes and the Normal Inverse Gaussian distribution. We show how the risk neutral dynamics can be obtained in this model, we interpret...... properties shows that there are important option pricing differences compared to the Gaussian case as well as to the symmetric special case. A large scale empirical examination shows that our model outperforms the Gaussian case for pricing options on three large US stocks as well as a major index...

Rushing into American Dream? House Prices, Timing of Homeownership, and Adjustment of Consumer Credit

OpenAIRE

Agarwal, Sumit; Hu, Luojia; Huang, Xing

2013-01-01

In this paper we use a large panel of individuals from Consumer Credit Panel dataset to study the timing of homeownership as a function of credit constraints and expectations of future house price. Our panel data allows us to track individuals over time and we model the transition probability of their first home purchase. We find that in MSAs with highest quartile house price growth, the median individual become homeowners earlier by 5 years in their lifecycle compared to MSAs with lowest qua...

North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach

OpenAIRE

Goodwin, Barry K.; Holt, Matthew T.; Prestemon, Jeffery P.

2008-01-01

Price dynamics for North American oriented strand board (OSB) markets are examined. The role of transactions costs are explored vis-a-vis the law of one price. Weekly data, February 3rd, 1995 through October 9th, 2009, are used in the analysis. Nonlinearities induced by unobservable transactions costs are modeled by estimating Time-Varying Smooth Transition Autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important features of these markets; price...

STS pricing policy

Science.gov (United States)

Lee, C. M.; Stone, B.

1982-01-01

In 1977 NASA published Shuttle Reimbursement Policies for Civil U.S. Government, DOD and Commercial and Foreign Users. These policies were based on the principle of total cost recovery over a period of time with a fixed flat price for initial period to time to enhance transition. This fixed period was to be followed with annual adjustments thereafter, NASA is establishing a new price for 1986 and beyond. In order to recover costs, that price must be higher than the initial fixed price through FY 1985. NASA intends to remain competitive. Competitive posture includes not only price, but other factors such as assured launch, reliability, and unique services. NASA's pricing policy considers all these factors.

Visualizing time-varying harmonics using filter banks

NARCIS (Netherlands)

Duque, C.A.; Da Silveira, P.M.; Ribeiro, P.F.

2011-01-01

Although it is well known that Fourier analysis is in reality only accurately applicable to steady state waveforms, it is a widely used tool to study and monitor time-varying signals, such as are commonplace in electrical power systems. The disadvantages of Fourier analysis, such as frequency

Stabilization of the Wave Equation with Boundary Time-Varying Delay

Directory of Open Access Journals (Sweden)

Hao Li

2014-01-01

Full Text Available We study the stabilization of the wave equation with variable coefficients in a bounded domain and a time-varying delay term in the time-varying, weakly nonlinear boundary feedbacks. By the Riemannian geometry methods and a suitable assumption of nonlinearity, we obtain the uniform decay of the energy of the closed loop system.

Consumers' price knowledge before, during, and after store visit

DEFF Research Database (Denmark)

Jensen, Birger Boutrup

Many attempts have been made to measure consumers' price knowledge for frequently purchased goods. However, the results have varied considerably and conflict with the results of reference price studies. This is the first study to examine consumers' price knowledge before, during, and after store...... visit, thus enabling a study of what consumers learn about prices during the store visit, and consequently the relationship between reference prices and episodic price knowledge. The project applies three measures of consumers' price knowledge corresponding to different levels of price information...

Pricing offshore wind power

International Nuclear Information System (INIS)

Levitt, Andrew C.; Kempton, Willett; Smith, Aaron P.; Musial, Walt; Firestone, Jeremy

2011-01-01

Offshore wind offers a very large clean power resource, but electricity from the first US offshore wind contracts is costlier than current regional wholesale electricity prices. To better understand the factors that drive these costs, we develop a pro-forma cash flow model to calculate two results: the levelized cost of energy, and the breakeven price required for financial viability. We then determine input values based on our analysis of capital markets and of 35 operating and planned projects in Europe, China, and the United States. The model is run for a range of inputs appropriate to US policies, electricity markets, and capital markets to assess how changes in policy incentives, project inputs, and financial structure affect the breakeven price of offshore wind power. The model and documentation are made publicly available. - Highlights: → We calculate the Breakeven Price (BP) required to deploy offshore wind plants. → We determine values for cost drivers and review incentives structures in the US. → We develop 3 scenarios using today's technology but varying in industry experience. → BP differs widely by Cost Scenario; relative policy effectiveness varies by stage. → The low-range BP is below regional market values in the Northeast United States.

Investigating Time-Varying Drivers of Grid Project Emissions Impacts

Energy Technology Data Exchange (ETDEWEB)

Barrett, Emily L.; Thayer, Brandon L.; Pal, Seemita; Studarus, Karen E.

2017-11-15

The emissions consequences of smart grid technologies depend heavily on their context and vary not only by geographical location, but by time of year. The same technology operated to meet the same objective may increase the emissions associated with energy generation for part of the year and decrease emissions during other times. The Grid Project Impact Quantification (GridPIQ) tool provides the ability to estimate these seasonal variations and garner insight into the time-varying drivers of grid project emissions impacts. This work leverages GridPIQ to examine the emissions implications across years and seasons of adding energy storage technology to reduce daily peak demand in California and New York.

Stylized facts of price gaps in limit order books

International Nuclear Information System (INIS)

Gu, Gao-Feng; Xiong, Xiong; Zhang, Yong-Jie; Chen, Wei; Zhang, Wei; Zhou, Wei-Xing

2016-01-01

Highlights: • We uncover several stylized facts of price gaps for Chinese stocks. • The distribution of price gaps has a power-law tail for all stocks. • Gap time series is long-range correlated and possesses multifractal nature. • The statistical properties vary from stock to stock and are not universal. • We unveil buy–sell asymmetry phenomena for individual stocks. - Abstract: Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the properties of price gaps have not been thoroughly studied due to the less availability of ultrahigh frequency data. In the paper, we rebuild the LOB dynamics based on the order flow data of 26 A-share stocks traded on the Shenzhen Stock Exchange in 2003. Three key empirical statistical properties of price gaps are investigated. We find that the distribution of price gaps has a power-law tail for all stocks with an average tail exponent close to 3.2. Applying modern statistical methods, we confirm that the gap time series are long-range correlated and possess multifractal nature. These three features appear to be different in the measures across stocks, but they are similar for the buy and sell LOBs within each stock. Furthermore, we also unveil buy–sell asymmetry phenomena in the properties of price gaps on the buy and sell sides of the LOBs for individual stocks. These findings deepen our understanding of the dynamics of liquidity of common stocks and can be used to calibrate agent-based computational financial models.

German energy prices top the scale as Commission examines price transparency

International Nuclear Information System (INIS)

Anon.

1994-01-01

The results of the price transparency directive indicate clearly that gas and electricity prices to both large and small consumers vary widely between member states. And one message which will hit home to large industrial consumers of gas and electricity when they examine the Commission's recent analysis is that relocating or setting up a subsidiary in Germany is a decision which must be taken with care. The Commission's first attempt to examine the directive's operation reveals that the majority of gas and electricity prices in Germany are higher than those in the bulk of other member states. While the reasons for this are known - for electricity it is mainly due to the Kohlepfennig, a surcharge added to power bills to support the uneconomic coal industry -the Commission's analysis focuses on the price difference between member states rather than the various reasons - tariff policy, taxes, environmental costs - for the difference. (Author)

Three Papers on the Political Consequences of Oil Prices

Science.gov (United States)

Crespo Tenorio, Adriana

Given the importance of oil in any country's energy needs, it should not be surprising that the increasing volatility of oil prices in the past decades is a challenge for most political systems. While the political and economic impact of natural resource wealth in general is strongly debated, the political consequences of these sudden shifts have gone understudied. This dissertation examines the relationship between politics and oil from a new perspective. First, I implement a Bayesian meta-regression model to assess the state of research on the natural resource curse, finding that the measurement of resources is one of the most important sources of the debate. In the second part of the dissertation, I turn to discussing the impact of fuel prices on politics. I argue that at the domestic level, rational leaders feel pressured to compensate for oil price shocks because they are held accountable for these shifts by their constituents. This hypothesis is tested using Bayesian multilevel models that allow state and time-varying information to be matched to individual survey responses for a sample of voters in nine American states between 2008 and 2009. This chapter shows that fuel prices are related to appraisals of the economy only during electoral periods. The results also provide evidence that the degree to which voters use fuel prices to evaluate the president's performance varies greatly across party lines. At the global level, I posit in the final chapter that cross-country cooperation in other issue areas is pursued to mitigate the economic impact of oil price volatility. By developing a Bayesian bivariate Poisson change-point model and implementing it using MCMC methods, I find that fuel price shifts are related to increased trade networks, especially for oil-exporting countries.

Determinants of contractor pricing strategy

OpenAIRE

Moses, O. Douglas

1988-01-01

This paper investigates pricing strategies used by major defense contractors. Two pricing strategies are identified and discussed: penetration, which calls for a relatively low initial price followed by little reduction in price over time, and skimming, which calls for a relatively high initial price coupled with greater reduction in price over time. It is argued that contractor pricing strategy will depend on features of the defense program under consideration and featur...

Predictive densities for day-ahead electricity prices using time-adaptive quantile regression

DEFF Research Database (Denmark)

Jónsson, Tryggvi; Pinson, Pierre; Madsen, Henrik

2014-01-01

A large part of the decision-making problems actors of the power system are facing on a daily basis requires scenarios for day-ahead electricity market prices. These scenarios are most likely to be generated based on marginal predictive densities for such prices, then enhanced with a temporal...... dependence structure. A semi-parametric methodology for generating such densities is presented: it includes: (i) a time-adaptive quantile regression model for the 5%–95% quantiles; and (ii) a description of the distribution tails with exponential distributions. The forecasting skill of the proposed model...

Energy price risk management

International Nuclear Information System (INIS)

Evans, J.W.G.

1998-01-01

While long term, fixed price contracts for fuel procurement and export of excess power may lock in the economics of a CHP plant, these do not necessarily give the best pricing opportunities that may exist during the life of those contracts. A more prudent approach may be to vary the length of the contracts and markets are now developing in gas and electricity to assist in the management of such a portfolio. (Author)

Understanding gasoline pricing in Canada

International Nuclear Information System (INIS)

2001-04-01

This brochure is designed to help consumers understand how gasoline is priced and explained why prices increase, fluctuate and vary by location, city or region. The price of a litre of gasoline reflects the costs of crude oil, refining, retailing and taxes. Taxes are usually the largest single component of gasoline prices, averaging 40 to 50 per cent of the pump price. The cost of crude oil makes up another 35 to 45 per cent of the price. Refining costs make up 10 to 15 per cent while the remaining 5 to 10 per cent represents retail costs. Gasoline retailers make a profit of about 1 cent per litre. The latest network technology allows national and regional retail chains to constantly monitor price fluctuations to change their prices at gasoline stations at a moments notice to keep up with the competition and to protect their market shares. Several government studies, plus the Conference Board of Canada, have reported that competition is working in favour of Canadian motorists. This brochure also explained the drawbacks of regulating crude and pump prices with the reminder that crude prices were regulated in the 1970s with many negative consequences. 2 tabs., 1 fig

Fractality of profit landscapes and validation of time series models for stock prices

Science.gov (United States)

Yi, Il Gu; Oh, Gabjin; Kim, Beom Jun

2013-08-01

We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters p and q, and the sell (buy) decision is made when the log return is larger (smaller) than p (-q). We discretize the unit square (p,q) ∈ [0,1] × [0,1] into the N × N square grid and the profit Π(p,q) is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: the number M of local maxima follows the power-law form M ˜ Na, but the scaling exponent a is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent a ≈ 1.6 observed for real stock markets. We suggest that the fractality of profit landscape characterized by a ≈ 1.6 can be a useful measure to validate time series model for stock prices.

Ex-vessel Fish Price Database: Disaggregating Prices for Low-Priced Species from Reduction Fisheries

Directory of Open Access Journals (Sweden)

Travis C. Tai

2017-11-01

Full Text Available Ex-vessel fish prices are essential for comprehensive fisheries management and socioeconomic analyses for fisheries science. In this paper, we reconstructed a global ex-vessel price database with the following areas of improvement: (1 compiling reported prices explicitly listed as “for reduction to fishmeal and fish oil” to estimate prices separately for catches destined for fishmeal and fish oil production, and other non-direct human consumption purposes; (2 including 95% confidence limit estimates for each price estimation; and (3 increasing the number of input data and the number of price estimates to match the reconstructed Sea Around Us catch database. Our primary focus was to address this first area of improvement as ex-vessel prices for catches destined for non-direct human consumption purposes were substantially overestimated, notably in countries with large reduction fisheries. For example in Peru, 2010 landed values were estimated as 3.8 billion real 2010 USD when using separate prices for reduction fisheries, compared with 5.8 billion using previous methods with only one price for all end-products. This update of the price database has significant global and country-specific impacts on fisheries price and landed value trends over time.

76 FR 30869 - Promoting Transmission Investment Through Pricing Reform

Science.gov (United States)

2011-05-27

...] Promoting Transmission Investment Through Pricing Reform May 19, 2011. AGENCY: Federal Energy Regulatory... varied. \\1\\ Promoting Transmission Investment through Pricing Reform, Order No. 679, 71 FR 43294 (Jul. 31... issued Order No. 679, Promoting Transmission Investment through Pricing Reform, which was further refined...

Nonlinear recurrent neural networks for finite-time solution of general time-varying linear matrix equations.

Science.gov (United States)

Xiao, Lin; Liao, Bolin; Li, Shuai; Chen, Ke

2018-02-01

In order to solve general time-varying linear matrix equations (LMEs) more efficiently, this paper proposes two nonlinear recurrent neural networks based on two nonlinear activation functions. According to Lyapunov theory, such two nonlinear recurrent neural networks are proved to be convergent within finite-time. Besides, by solving differential equation, the upper bounds of the finite convergence time are determined analytically. Compared with existing recurrent neural networks, the proposed two nonlinear recurrent neural networks have a better convergence property (i.e., the upper bound is lower), and thus the accurate solutions of general time-varying LMEs can be obtained with less time. At last, various different situations have been considered by setting different coefficient matrices of general time-varying LMEs and a great variety of computer simulations (including the application to robot manipulators) have been conducted to validate the better finite-time convergence of the proposed two nonlinear recurrent neural networks. Copyright © 2017 Elsevier Ltd. All rights reserved.

Crude oil prices: Speculation versus fundamentals

Science.gov (United States)

Kolodziej, Marek Krzysztof

Beginning in 2004, the price of crude oil fluctuates rapidly over a wide range. Large and rapid price increases have recessionary consequences and dampen long-term infrastructural investment. I investigate whether price changes are driven by market fundamentals or speculation. With regard to market fundamentals, I revisit econometric evidence for the importance of demand shocks, as proxied by dry maritime cargo rates, on oil prices. When I eliminate transportation costs from both sides of the equation, disaggregate OPEC and non-OPEC production, and allow for more than one cointegrating relation, I find that previous specifications are inconsistent with arguments that demand shocks play an important role. Instead, results confirm the importance of OPEC supply shocks. I investigate two channels by which speculation may affect oil prices; the direct effect of trader behavior and changes in oil from a commodity to a financial asset. With regard to trader behavior, I find evidence that trader positions are required to explain the spread between spot and futures prices of crude oil on the New York Mercantile Exchange. The inclusion of trader positions clarifies the process of equilibrium error correction, such that there is bidirectional causality between prices and trader positions. This creates the possibility of speculative bubbles. With regard to oil as a commodity and/or financial asset, I use a Kalman Filter model to estimate the time-varying partial correlation between returns to investments in equity and oil markets. This correlation changes from negative to positive at the onset of the 2008 financial crisis. The low interest rates used to rescue the economy depress convenience yields, which reduces the benefits of holding oil as a commodity. Instead, oil becomes a financial asset (on net) as the oil market changed from contango to backwardation. Contradicting simple political narratives, my research suggests that both market fundamentals and speculation drive

Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

DEFF Research Database (Denmark)

Nystrup, Peter; Madsen, Henrik; Lindström, Erik

2016-01-01

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time-varying behavior have not been thoroughly examined. This paper presents an adaptive...... to reproduce with a hidden Markov model. Capturing the time-varying behavior of the parameters also leads to improved one-step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations....

Branch-and-Cut-and-Price for the Pickup and Delivery Problem with Time Windows

DEFF Research Database (Denmark)

Røpke, Stefan; Cordeau, Jean-Francois

2009-01-01

In the pickup and delivery problem with time windows (PDPTW), vehicle routes must be designed to satisfy a set of transportation requests, each involving a pickup and a delivery location, under capacity, time window, and precedence constraints. This paper introduces a new branch......-and-cut-and-price algorithm in which lower bounds are computed by solving through column generation the linear programming relaxation of a set partitioning formulation. Two pricing subproblems are considered in the column generation algorithm: an elementary and a non-elementary shortest path problem. Valid inequalities...

A METHODOLOGY FOR THE CHOICE OF THE BEST FITTING CONTINUOUS-TIME STOCHASTIC MODELS OF CRUDE OIL PRICE: THE CASE OF RUSSIA

Directory of Open Access Journals (Sweden)

Hamidreza Mostafaei

2013-01-01

Full Text Available In this study, it has been attempted to select the best continuous- time stochastic model, in order to describe and forecast the oil price of Russia, by information and statistics about oil price that has been available for oil price in the past. For this purpose, method of The Maximum Likelihood Estimation is implemented for estimation of the parameters of continuous-time stochastic processes. The result of unit root test with a structural break, reveals that time series of the crude oil price is a stationary series. The simulation of continuous-time stochastic processes and the mean square error between the simulated prices and the market ones shows that the Geometric Brownian Motion is the best model for the Russian crude oil price.

Continuous time modelling with individually varying time intervals for oscillating and non-oscillating processes.

Science.gov (United States)

Voelkle, Manuel C; Oud, Johan H L

2013-02-01

When designing longitudinal studies, researchers often aim at equal intervals. In practice, however, this goal is hardly ever met, with different time intervals between assessment waves and different time intervals between individuals being more the rule than the exception. One of the reasons for the introduction of continuous time models by means of structural equation modelling has been to deal with irregularly spaced assessment waves (e.g., Oud & Delsing, 2010). In the present paper we extend the approach to individually varying time intervals for oscillating and non-oscillating processes. In addition, we show not only that equal intervals are unnecessary but also that it can be advantageous to use unequal sampling intervals, in particular when the sampling rate is low. Two examples are provided to support our arguments. In the first example we compare a continuous time model of a bivariate coupled process with varying time intervals to a standard discrete time model to illustrate the importance of accounting for the exact time intervals. In the second example the effect of different sampling intervals on estimating a damped linear oscillator is investigated by means of a Monte Carlo simulation. We conclude that it is important to account for individually varying time intervals, and encourage researchers to conceive of longitudinal studies with different time intervals within and between individuals as an opportunity rather than a problem. © 2012 The British Psychological Society.

Assessing the effect of oil price on world food prices: Application of principal component analysis

International Nuclear Information System (INIS)

Esmaeili, Abdoulkarim; Shokoohi, Zainab

2011-01-01

The objective of this paper is to investigate the co-movement of food prices and the macroeconomic index, especially the oil price, by principal component analysis to further understand the influence of the macroeconomic index on food prices. We examined the food prices of seven major products: eggs, meat, milk, oilseeds, rice, sugar and wheat. The macroeconomic variables studied were crude oil prices, consumer price indexes, food production indexes and GDP around the world between 1961 and 2005. We use the Scree test and the proportion of variance method for determining the optimal number of common factors. The correlation coefficient between the extracted principal component and the macroeconomic index varies between 0.87 for the world GDP and 0.36 for the consumer price index. We find the food production index has the greatest influence on the macroeconomic index and that the oil price index has an influence on the food production index. Consequently, crude oil prices have an indirect effect on food prices. - Research Highlights: →We investigate the co-movement of food prices and the macroeconomic index. →The crude oil price has indirect effect on the world GDP via its impacts on food production index. →The food production index is the source of causation for CPI and GDP is affected by CPI. →The results confirm an indirect effect among oil price, food price principal component.

Lyapunov Functions to Caputo Fractional Neural Networks with Time-Varying Delays

Directory of Open Access Journals (Sweden)

Ravi Agarwal

2018-05-01

Full Text Available One of the main properties of solutions of nonlinear Caputo fractional neural networks is stability and often the direct Lyapunov method is used to study stability properties (usually these Lyapunov functions do not depend on the time variable. In connection with the Lyapunov fractional method we present a brief overview of the most popular fractional order derivatives of Lyapunov functions among Caputo fractional delay differential equations. These derivatives are applied to various types of neural networks with variable coefficients and time-varying delays. We show that quadratic Lyapunov functions and their Caputo fractional derivatives are not applicable in some cases when one studies stability properties. Some sufficient conditions for stability of equilibrium of nonlinear Caputo fractional neural networks with time dependent transmission delays, time varying self-regulating parameters of all units and time varying functions of the connection between two neurons in the network are obtained. The cases of time varying Lipschitz coefficients as well as nonLipschitz activation functions are studied. We illustrate our theory on particular nonlinear Caputo fractional neural networks.

Drawing a Roadmap for Oil Pricing Reform

OpenAIRE

Kojima, Masami

2013-01-01

In 2011, the median oil imports rose to 5 percent of gross domestic product for net importers. In the past several years, many governments have not passed through the world oil price increases to consumers fully. As a sign of divergent pricing policies, the retail prices of gasoline, diesel, and cooking gas in January 2013 varied by a factor of 190, 250, and 70, respectively, across develo...

The necessity for a time local dimension in systems with time-varying attractors

DEFF Research Database (Denmark)

Særmark, Knud H; Ashkenazy, Y; Levitan, J

1997-01-01

We show that a simple non-linear system for ordinary differential equations may possess a time-varying attractor dimension. This indicates that it is infeasible to characterize EEG and MEG time series with a single time global dimension. We suggest another measure for the description of non...

Option pricing: Stock price, stock velocity and the acceleration Lagrangian

Science.gov (United States)

Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra

2014-12-01

The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.

A Regional Time-of-Use Electricity Price Based Optimal Charging Strategy for Electrical Vehicles

Directory of Open Access Journals (Sweden)

Jun Yang

2016-08-01

Full Text Available With the popularization of electric vehicles (EVs, the out-of-order charging behaviors of large numbers of EVs will bring new challenges to the safe and economic operation of power systems. This paper studies an optimal charging strategy for EVs. For that a typical urban zone is divided into four regions, a regional time-of-use (RTOU electricity price model is proposed to guide EVs when and where to charge considering spatial and temporal characteristics. In light of the elastic coefficient, the user response to the RTOU electricity price is analyzed, and also a bilayer optimization charging strategy including regional-layer and node-layer models is suggested to schedule the EVs. On the one hand, the regional layer model is designed to coordinate the EVs located in different time and space. On the other hand, the node layer model is built to schedule the EVs to charge in certain nodes. According to the simulations of an IEEE 33-bus distribution network, the performance of the proposed optimal charging strategy is verified. The results demonstrate that the proposed bilayer optimization strategy can effectively decrease the charging cost of users, mitigate the peak-valley load difference and the network loss. Besides, the RTOU electricity price shows better performance than the time-of-use (TOU electricity price.

A Probabilistic Approach to Control of Complex Systems and Its Application to Real-Time Pricing

Directory of Open Access Journals (Sweden)

Koichi Kobayashi

2014-01-01

Full Text Available Control of complex systems is one of the fundamental problems in control theory. In this paper, a control method for complex systems modeled by a probabilistic Boolean network (PBN is studied. A PBN is widely used as a model of complex systems such as gene regulatory networks. For a PBN, the structural control problem is newly formulated. In this problem, a discrete probability distribution appeared in a PBN is controlled by the continuous-valued input. For this problem, an approximate solution method using a matrix-based representation for a PBN is proposed. Then, the problem is approximated by a linear programming problem. Furthermore, the proposed method is applied to design of real-time pricing systems of electricity. Electricity conservation is achieved by appropriately determining the electricity price over time. The effectiveness of the proposed method is presented by a numerical example on real-time pricing systems.

Impact of European pharmaceutical price regulation on generic price competition: a review.

Science.gov (United States)

Puig-Junoy, Jaume

2010-01-01

Although economic theory indicates that it should not be necessary to intervene in the generic drug market through price regulation, most EU countries intervene in this market, both by regulating the maximum sale price of generics (price cap) and by setting the maximum reimbursement rate, especially by means of reference pricing systems. We analyse current knowledge of the impact of direct price-cap regulation of generic drugs and the implementation of systems regulating the reimbursement rate, particularly through reference pricing and similar tools, on dynamic price competition between generic competitors in Europe. A literature search was carried out in the EconLit and PubMed databases, and on Google Scholar. The search included papers published in English or Spanish between January 2000 and July 2009. Inclusion criteria included that studies had to present empirical results of a quantitative nature for EU countries of the impact of price capping and/or regulation of the reimbursement rate (reference pricing or similar systems) on price dynamics, corresponding to pharmacy sales, in the generic drug market. The available evidence indicates that price-cap regulation leads to a levelling off of generic prices at a higher level than would occur in the absence of this regulation. Reference pricing systems cause an obvious and almost compulsory reduction in the consumer price of all pharmaceuticals subject to this system, to a varying degree in different countries and periods, the reduction being greater for originator-branded drugs than for generics. In several countries with a reference pricing system, it was observed that generics with a consumer price lower than the reference price do not undergo price reductions until the reference price is reduced, even when there are other lower-priced generics on the market (absence of price competition below the reference price). Beyond the price reduction forced by the price-cap and/or reference pricing regulation itself

International hedging under concurrent risks of input/output prices and exchange rate : The case of Korean oil refinery

Energy Technology Data Exchange (ETDEWEB)

Yun, W C; Kim, S D [Korea Energy Economics Institute, Euiwang (Korea, Republic of)

1997-11-01

This study develops an international hedging model which accounts for the multiple risks of input and output prices and exchange rates. Considering a fixed production technology, we formulize simultaneous minimum variance hedge ratios, which reflects inter correlations among prices. To utilize the dynamic nature of prices, time-varying conditional procedures are specified to estimate the relevant variance and covariance matrix. The time-varying representations of the variance and covariance matrix are statistically appropriate, in general. The separate hedge ratios are similar to the simultaneous hedge ratios for alternative procedures. The ex post hedging effectiveness indicate that there are substantial reduction in the variance of returns for all the procedures. The contribution of foreign currency futures is minimal due to the low correlation between commodities and exchange rates. Based on the traditional definition of hedging effectiveness, the time-varying conditional procedure provide little gain to the hedgers over a constant procedure in terms of the mean and the variance reduction. However, the performance of conditional procedures could be improved by accounting for the potential problems: mis specification problem, inappropriate definition of hedging effectiveness, and conflicts between theoretical derivation and estimation of hedge ratios. (author). 39 refs., 6 tabs.

Flexible time-varying filter banks

Science.gov (United States)

Tuncer, Temel E.; Nguyen, Truong Q.

1993-09-01

Linear phase maximally flat FIR Butterworth filter approximations are discussed and a new filter design method is introduced. This variable cutoff filter design method uses the cosine modulated versions of a prototype filter. The design procedure is simple and different variants of this procedure can be used to obtain close to optimum linear phase filters. Using this method, flexible time-varying filter banks with good reconstruction error are introduced. These types of oversampled filter banks have small magnitude error which can be easily controlled by the appropriate choice of modulation frequency. This error can be further decreased by magnitude equalization without increasing the computational complexity considerably. Two dimensional design examples are also given.

Optimizing Greenhouse Lighting for Advanced Agriculture Based on Real Time Electricity Market Price

Directory of Open Access Journals (Sweden)

Mehdi Mahdavian

2017-01-01

Full Text Available The world’s growing demand for food can be met by agricultural technology. Use of artificial light to supplement natural sunlight in greenhouse cultivation is one of the most common techniques to increase greenhouse production of food crops. However, artificial light requires significant electrical energy, which increases the cost of greenhouse production and can reduce profit. This paper models the increments to greenhouse productivity as well as the increases in cost from supplemental electric lighting, in a situation where the greenhouse is one of the elements of a smart grid, a system where the electric energy market is dynamic and prices vary over time. We used our models to calculate the optimum values for supplemental light and the required electrical energy for HPS lamps in the greenhouse environment, using cherry tomato cultivation as a case study crop. We considered two optimization techniques: iterative search (IS and genetic algorithm (GA. The two approaches produced similar results, although the GA method was much faster. Both approaches verify the advantages of using optimal supplemental light in terms of increasing production and hence profit.

Co-Movement of Major Commodity Price Returns : Time-Series Assessment

OpenAIRE

de Nicola, Francesca; De Pace, Pierangelo; Hernandez, Manuel A.

2014-01-01

This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of uncondi...

A New Time-varying Concept of Risk in a Changing Climate

Science.gov (United States)

Sarhadi, Ali; Ausín, María Concepción; Wiper, Michael P.

2016-10-01

In a changing climate arising from anthropogenic global warming, the nature of extreme climatic events is changing over time. Existing analytical stationary-based risk methods, however, assume multi-dimensional extreme climate phenomena will not significantly vary over time. To strengthen the reliability of infrastructure designs and the management of water systems in the changing environment, multidimensional stationary risk studies should be replaced with a new adaptive perspective. The results of a comparison indicate that current multi-dimensional stationary risk frameworks are no longer applicable to projecting the changing behaviour of multi-dimensional extreme climate processes. Using static stationary-based multivariate risk methods may lead to undesirable consequences in designing water system infrastructures. The static stationary concept should be replaced with a flexible multi-dimensional time-varying risk framework. The present study introduces a new multi-dimensional time-varying risk concept to be incorporated in updating infrastructure design strategies under changing environments arising from human-induced climate change. The proposed generalized time-varying risk concept can be applied for all stochastic multi-dimensional systems that are under the influence of changing environments.

A New Time-varying Concept of Risk in a Changing Climate.

Science.gov (United States)

Sarhadi, Ali; Ausín, María Concepción; Wiper, Michael P

2016-10-20

In a changing climate arising from anthropogenic global warming, the nature of extreme climatic events is changing over time. Existing analytical stationary-based risk methods, however, assume multi-dimensional extreme climate phenomena will not significantly vary over time. To strengthen the reliability of infrastructure designs and the management of water systems in the changing environment, multidimensional stationary risk studies should be replaced with a new adaptive perspective. The results of a comparison indicate that current multi-dimensional stationary risk frameworks are no longer applicable to projecting the changing behaviour of multi-dimensional extreme climate processes. Using static stationary-based multivariate risk methods may lead to undesirable consequences in designing water system infrastructures. The static stationary concept should be replaced with a flexible multi-dimensional time-varying risk framework. The present study introduces a new multi-dimensional time-varying risk concept to be incorporated in updating infrastructure design strategies under changing environments arising from human-induced climate change. The proposed generalized time-varying risk concept can be applied for all stochastic multi-dimensional systems that are under the influence of changing environments.

Time-Varying Networks of Inter-Ictal Discharging Reveal Epileptogenic Zone.

Science.gov (United States)

Zhang, Luyan; Liang, Yi; Li, Fali; Sun, Hongbin; Peng, Wenjing; Du, Peishan; Si, Yajing; Song, Limeng; Yu, Liang; Xu, Peng

2017-01-01

The neuronal synchronous discharging may cause an epileptic seizure. Currently, most of the studies conducted to investigate the mechanism of epilepsy are based on EEGs or functional magnetic resonance imaging (fMRI) recorded during the ictal discharging or the resting-state, and few studies have probed into the dynamic patterns during the inter-ictal discharging that are much easier to record in clinical applications. Here, we propose a time-varying network analysis based on adaptive directed transfer function to uncover the dynamic brain network patterns during the inter-ictal discharging. In addition, an algorithm based on the time-varying outflow of information derived from the network analysis is developed to detect the epileptogenic zone. The analysis performed revealed the time-varying network patterns during different stages of inter-ictal discharging; the epileptogenic zone was activated prior to the discharge onset then worked as the source to propagate the activity to other brain regions. Consistence between the epileptogenic zones detected by our proposed approach and the actual epileptogenic zones proved that time-varying network analysis could not only reveal the underlying neural mechanism of epilepsy, but also function as a useful tool in detecting the epileptogenic zone based on the EEGs in the inter-ictal discharging.

First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing

OpenAIRE

Kim, Young Shin

2018-01-01

In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process is provided explicitly or by an indirect numerical method. This will be applied to the perpetual American option pricing and the barrier option pricing. Numerical illustrations are provided for the calibrated parameters using the market call and put prices.

Frequency variations of gravity waves interacting with a time-varying tide

Energy Technology Data Exchange (ETDEWEB)

Huang, C.M.; Zhang, S.D.; Yi, F.; Huang, K.M.; Gan, Q.; Gong, Y. [Wuhan Univ., Hubei (China). School of Electronic Information; Ministry of Education, Wuhan, Hubei (China). Key Lab. of Geospace Environment and Geodesy; State Observatory for Atmospheric Remote Sensing, Wuhan, Hubei (China); Zhang, Y.H. [Nanjing Univ. of Information Science and Technology (China). College of Hydrometeorolgy

2013-11-01

Using a nonlinear, 2-D time-dependent numerical model, we simulate the propagation of gravity waves (GWs) in a time-varying tide. Our simulations show that when aGW packet propagates in a time-varying tidal-wind environment, not only its intrinsic frequency but also its ground-based frequency would change significantly. The tidal horizontal-wind acceleration dominates the GW frequency variation. Positive (negative) accelerations induce frequency increases (decreases) with time. More interestingly, tidal-wind acceleration near the critical layers always causes the GW frequency to increase, which may partially explain the observations that high-frequency GW components are more dominant in the middle and upper atmosphere than in the lower atmosphere. The combination of the increased ground-based frequency of propagating GWs in a time-varying tidal-wind field and the transient nature of the critical layer induced by a time-varying tidal zonal wind creates favorable conditions for GWs to penetrate their originally expected critical layers. Consequently, GWs have an impact on the background atmosphere at much higher altitudes than expected, which indicates that the dynamical effects of tidal-GW interactions are more complicated than usually taken into account by GW parameterizations in global models.

Modeling polar cap F-region patches using time varying convection

International Nuclear Information System (INIS)

Sojka, J.J.; Bowline, M.D.; Schunk, R.W.; Decker, D.T.; Valladares, C.E.; Sheehan, R.; Anderson, D.N.; Heelis, R.A.

1993-01-01

Here the authors present the results of computerized simulations of the polar cap regions which were able to model the formation of polar cap patches. They used the Utah State University Time-Dependent Ionospheric Model (TDIM) and the Phillips Laboratory (PL) F-region models in this work. By allowing a time varying magnetospheric electric field in the models, they were able to generate the patches. This time varying field generates a convection in the ionosphere. This convection is similar to convective changes observed in the ionosphere at times of southward pointing interplanetary magnetic field, due to changes in the B y component of the IMF

Cigarette price minimization strategies in the United States: price reductions and responsiveness to excise taxes.

Science.gov (United States)

Pesko, Michael F; Licht, Andrea S; Kruger, Judy M

2013-11-01

Because cigarette price minimization strategies can provide substantial price reductions for individuals continuing their usual smoking behaviors following federal and state cigarette excise tax increases, we examined independent price reductions compensating for overlapping strategies. The possible availability of larger independent price reduction opportunities in states with higher cigarette excise taxes is explored. Regression analysis used the 2006-2007 Tobacco Use Supplement of the Current Population Survey (N = 26,826) to explore national and state-level independent price reductions that smokers obtained from purchasing cigarettes (a) by the carton, (b) in a state with a lower average after-tax cigarette price than in the state of residence, and (c) in "some other way," including online or in another country. Price reductions from these strategies are estimated jointly to compensate for known overlapping strategies. Each strategy reduced the price of cigarettes by 64-94 cents per pack. These price reductions are 9%-22% lower than conventionally estimated results not compensating for overlapping strategies. Price reductions vary substantially by state. Following cigarette excise tax increases, the price reduction available from purchasing cigarettes by cartons increased. Additionally, the price reduction from purchasing cigarettes in a state with a lower average after-tax cigarette price is positively associated with state cigarette excise tax rates and border state cigarette excise tax rate differentials. Findings from this large, nationally representative study of cigarette smokers suggest that price reductions are larger in states with higher cigarette excise taxes, and increase as cigarette excise taxes rise.

Universal scaling and nonlinearity of aggregate price impact in financial markets

Science.gov (United States)

Patzelt, Felix; Bouchaud, Jean-Philippe

2018-01-01

How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different time scales. Here we reveal that price impact has a universal nonlinear shape for trades aggregated on any intraday scale. Its shape varies little across instruments, but drastically different master curves are obtained for order-volume and -sign impact. The scaling is largely determined by the relevant Hurst exponents. We further show that extreme order-flow imbalance is not associated with large returns. To the contrary, it is observed when the price is pinned to a particular level. Prices move only when there is sufficient balance in the local order flow. In fact, the probability that a trade changes the midprice falls to zero with increasing (absolute) order-sign bias along an arc-shaped curve for all intraday scales. Our findings challenge the widespread assumption of linear aggregate impact. They imply that market dynamics on all intraday time scales are shaped by correlations and bilateral adaptation in the flows of liquidity provision and taking.

Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas

Directory of Open Access Journals (Sweden)

Beatriz Vaz de Melo Mendes

2005-12-01

Full Text Available It is now widespread the use of Value-at-Risk (VaR as a canonical measure at risk. Most accurate VaR measures make use of some volatility model such as GARCH-type models. However, the pattern of volatility dynamic of a portfolio follows from the (univariate behavior of the risk assets, as well as from the type and strength of the associations among them. Moreover, the dependence structure among the components may change conditionally t past observations. Some papers have attempted to model this characteristic by assuming a multivariate GARCH model, or by considering the conditional correlation coefficient, or by incorporating some possibility for switches in regimes. In this paper we address this problem using time-varying copulas. Our modeling strategy allows for the margins to follow some FIGARCH type model while the copula dependence structure changes over time.

Optimal Energy Management for the Integrated Power and Gas Systems via Real-time Pricing

DEFF Research Database (Denmark)

Shu, KangAn; Ai, Xiaomeng; Wen, Jinyu

2018-01-01

This work proposed a bi-level formulation for energy management in the integrated power and natural gas system via real-time price signals. The upper-level problem minimizes the operational cost, in which dynamic electricity price and dynamic gas tariff are proposed. The lower level problem...... and P2Gs plants follow the system operator’s preferences such as wind power accommodation, mitigation of unsupplied load and relieving the network congestion....

Alcohol price elasticities in control and license states in the United States, 1982-99.

Science.gov (United States)

Trolldal, Björn; Ponicki, William

2005-08-01

The demand for alcohol has been demonstrated repeatedly to be sensitive to price changes. However, estimated price elasticities vary by study region and over time. One explanation for these variations might be that different countries or parts of countries have had different alcohol control systems. The hypothesis addressed in this study was that a regulated market leads to higher transaction costs associated with purchasing alcohol, which in turn increases the full price of the beverages (the nominal cash price plus transaction costs). As a result, the cash price of alcohol represents a smaller part of the full price in a highly regulated market. Assuming that customers respond primarily to changes in full price, the demand for alcohol should be less sensitive to changes in cash price where regulation is stricter. This study examined whether variations in price elasticities were a function of the different regulatory systems in control and license states in the United States during the period 1982-99. Time-series cross-sectional analyses (in 50 states over 18 years) were conducted. Elasticities were estimated using a multiplicative model based upon first-differences of time-series within states. Disposable income and other socio-demographic variables were used as control variables. All data were obtained from archival sources. The demand for spirits and beer were significantly more sensitive to price changes in license states than in control states. The estimated price elasticity for wine sales was also somewhat larger in license states, but not significantly so. The lower price elasticities for spirits and beer in the control states support the hypothesis that customers respond primarily to changes in the full price of alcohol.

Time scale defined by the fractal structure of the price fluctuations in foreign exchange markets

Science.gov (United States)

Kumagai, Yoshiaki

2010-04-01

In this contribution, a new time scale named C-fluctuation time is defined by price fluctuations observed at a given resolution. The intraday fractal structures and the relations of the three time scales: real time (physical time), tick time and C-fluctuation time, in foreign exchange markets are analyzed. The data set used is trading prices of foreign exchange rates; US dollar (USD)/Japanese yen (JPY), USD/Euro (EUR), and EUR/JPY. The accuracy of the data is one minute and data within a minute are recorded in order of transaction. The series of instantaneous velocity of C-fluctuation time flowing are exponentially distributed for small C when they are measured by real time and for tiny C when they are measured by tick time. When the market is volatile, for larger C, the series of instantaneous velocity are exponentially distributed.

Price dynamics among U.S. electricity spot markets

International Nuclear Information System (INIS)

Park, Haesun; Mjelde, James W.; Bessler, David A.

2006-01-01

Combining recent advances in causal flows with time series analysis, relationships among 11 U.S. spot market electricity prices are examined. Results suggest that the relationships among the markets vary by time frame. In contemporaneous time, the western markets are separated from the eastern markets and the Electricity Reliability Council of Texas. At longer time frames these separations disappear, even though electricity transmission between the regions is limited. It appears the relationships among markets are not only a function of physical assets (such as transmissions lines among markets), but by similar and dissimilar institutional arrangements among the markets. (Author)

Electromagnetic radiation in a time-varying background medium

NARCIS (Netherlands)

Budko, N.V.

2009-01-01

Analytical solutions are presented for the electromagnetic radiation by an arbitrary pulsed source into a homogeneous time-varying background medium. In the constant-impedance case an explicit radiation formula is obtained for the synchronous permittivity and permeability described by any positive

Stock price forecasting based on time series analysis

Science.gov (United States)

Chi, Wan Le

2018-05-01

Using the historical stock price data to set up a sequence model to explain the intrinsic relationship of data, the future stock price can forecasted. The used models are auto-regressive model, moving-average model and autoregressive-movingaverage model. The original data sequence of unit root test was used to judge whether the original data sequence was stationary. The non-stationary original sequence as a first order difference needed further processing. Then the stability of the sequence difference was re-inspected. If it is still non-stationary, the second order differential processing of the sequence is carried out. Autocorrelation diagram and partial correlation diagram were used to evaluate the parameters of the identified ARMA model, including coefficients of the model and model order. Finally, the model was used to forecast the fitting of the shanghai composite index daily closing price with precision. Results showed that the non-stationary original data series was stationary after the second order difference. The forecast value of shanghai composite index daily closing price was closer to actual value, indicating that the ARMA model in the paper was a certain accuracy.

Higher prices, higher quality? Evidence from German nursing homes.

Science.gov (United States)

Herr, Annika; Hottenrott, Hanna

2016-02-01

This study investigates the relationship between prices and quality of 7400 German nursing homes. We use a cross section of public quality reports for all German nursing homes, which had been evaluated between 2010 and 2013 by external institutions. Our analysis is based on multivariate regressions in a two stage least squares framework, where we instrument prices to explain their effect on quality controlling for income, nursing home density, demographics, labour market characteristics, and infrastructure at the regional level. Descriptive analysis shows that prices and quality do not only vary across nursing homes, but also across counties and federal states and that quality and prices correlate positively. Second, the econometric analysis, which accounts for the endogenous relation between negotiated price and reported quality, shows that quality indeed positively depends on prices. In addition, more places in nursing homes per people in need are correlated with both lower prices and higher quality. Finally, unobserved factors at the federal state level capture some of the variation of reported quality across nursing homes. Our results suggest that higher prices increase quality. Furthermore, since reported quality and prices vary substantially across federal states, we conclude that the quality and prices of long-term care facilities may well be compared within federal states but not across. Copyright © 2016 Elsevier Ireland Ltd. All rights reserved.

Stocking and price-reduction decisions for non-instantaneous deteriorating items under time value of money

Directory of Open Access Journals (Sweden)

Freddy Andrés Pérez

2019-01-01

Full Text Available Deteriorating inventory models are used as decision support tools for managers primarily, although not exclusively, in the retail trade. The mathematical modeling of deteriorating items allows managers to analyze their inventory management systems to identify areas that can be improved and to measure the corresponding potential benefits. This study develops an enhanced deteriorating inventory model for optimizing the inventory control strategy of companies operating in sectors with deteriorating products. In contrast with previous studies, our model holistically accounts for the overall financial effect of a company’s policies on product price discounting and on inventory shortages while considering the time value of money (TVM. We aim to find the optimal replenishment strategy and the optimal price reductions that maximize the discounted profit function of this analytical model over a fixed planning horizon. To this end, we use an economic order quantity model to study the effects of the TVM and inflation. The model accounts for pre- and post-deterioration discounts on the selling price for non-instantaneous deteriorating products with the demand rate being a function of time, price-discounts and stock-keeping units. Shortages are allowed and partially backordered, depending on the waiting time until the next replenishment. Additionally, we consider the effect of discounts on the selling price when items have either an instant deterioration or a fixed lifetime. We propose five implementable solutions for obtaining the optimal values, and examine their performance. We present some numerical examples to illustrate the applicability of the models, and carry out a sensitivity analysis. The study reveals that accounting for TVM and inventory shortages is complex and time-consuming; nevertheless, we find that accounting for TVM and shortages can be valuable in terms of increasing the yields of companies. Finally, we provide some important

Time varying, multivariate volume data reduction

Energy Technology Data Exchange (ETDEWEB)

Ahrens, James P [Los Alamos National Laboratory; Fout, Nathaniel [UC DAVIS; Ma, Kwan - Liu [UC DAVIS

2010-01-01

Large-scale supercomputing is revolutionizing the way science is conducted. A growing challenge, however, is understanding the massive quantities of data produced by large-scale simulations. The data, typically time-varying, multivariate, and volumetric, can occupy from hundreds of gigabytes to several terabytes of storage space. Transferring and processing volume data of such sizes is prohibitively expensive and resource intensive. Although it may not be possible to entirely alleviate these problems, data compression should be considered as part of a viable solution, especially when the primary means of data analysis is volume rendering. In this paper we present our study of multivariate compression, which exploits correlations among related variables, for volume rendering. Two configurations for multidimensional compression based on vector quantization are examined. We emphasize quality reconstruction and interactive rendering, which leads us to a solution using graphics hardware to perform on-the-fly decompression during rendering. In this paper we present a solution which addresses the need for data reduction in large supercomputing environments where data resulting from simulations occupies tremendous amounts of storage. Our solution employs a lossy encoding scheme to acrueve data reduction with several options in terms of rate-distortion behavior. We focus on encoding of multiple variables together, with optional compression in space and time. The compressed volumes can be rendered directly with commodity graphics cards at interactive frame rates and rendering quality similar to that of static volume renderers. Compression results using a multivariate time-varying data set indicate that encoding multiple variables results in acceptable performance in the case of spatial and temporal encoding as compared to independent compression of variables. The relative performance of spatial vs. temporal compression is data dependent, although temporal compression has the

A Tentative Application Of Morphological Filters To Time-Varying Images

Science.gov (United States)

Billard, D.; Poquillon, B.

1989-03-01

In this paper, morphological filters, which are commonly used to process either 2D or multidimensional static images, are generalized to the analysis of time-varying image sequence. The introduction of the time dimension induces then interesting prop-erties when designing such spatio-temporal morphological filters. In particular, the specification of spatio-temporal structuring ele-ments (equivalent to time-varying spatial structuring elements) can be adjusted according to the temporal variations of the image sequences to be processed : this allows to derive specific morphological transforms to perform noise filtering or moving objects discrimination on dynamic images viewed by a non-stationary sensor. First, a brief introduction to the basic principles underlying morphological filters will be given. Then, a straightforward gener-alization of these principles to time-varying images will be pro-posed. This will lead us to define spatio-temporal opening and closing and to introduce some of their possible applications to process dynamic images. At last, preliminary results obtained us-ing a natural forward looking infrared (FUR) image sequence are presented.

Time-frequency featured co-movement between the stock and prices of crude oil and gold

Science.gov (United States)

Huang, Shupei; An, Haizhong; Gao, Xiangyun; Huang, Xuan

2016-02-01

The nonlinear relationships among variables caused by the hidden frequency information complicate the time series analysis. To shed more light on this nonlinear issue, we examine their relationships in joint time-frequency domain with multivariate framework, and the analyses in the time domain and frequency domain serve as comparisons. The daily Brent oil prices, London gold fixing price and Shanghai Composite index from January 1991 to September 2014 are adopted as example. First, they have long-term cointegration relationship in time domain from holistic perspective. Second, the Granger causality tests in different frequency bands are heterogeneous. Finally, the comparison between results from wavelet coherence and multiple wavelet coherence in the joint time-frequency domain indicates that in the high (1-14 days) and medium frequency (14-128 days) bands, the combination of Brent and gold prices has stronger correlation with the stock. In the low frequency band (256-512 days), year 2003 is the structure broken point before which Brent and oil are ideal choice for hedging the risk of the stock market. Thus, this paper offers more details between the Chinese stock market and the commodities markets of crude oil and gold, which suggests that the decisions for different time and frequencies should consider the corresponding benchmark information.

Projected space-time and varying speed of light

International Nuclear Information System (INIS)

Iovane, G.; Bellucci, S.; Benedetto, E.

2008-01-01

In this paper starting from El Naschie's Cantorian space-time and our model of projected Universe, we consider its properties in connection with varying speed of light. A possible way-out of the related problem is provided by the Fantappie group approach

Is there dependence and systemic risk between oil and renewable energy stock prices?

International Nuclear Information System (INIS)

Reboredo, Juan C.

2015-01-01

We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices. Our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30% to downside and upside risk of renewable energy companies. These results have important implications for risk management and renewable energy policies. - Highlights: • We study systemic risk and dependence between oil and renewable energy markets. • Dependence and conditional value-at-risk is obtained through copulas. • Oil and renewable energy displayed time-varying average and symmetric tail dependence. • Oil price contribution to the downside and upside risks of renewable energy companies was around 30%

Medicine prices, availability, and affordability in 36 developing and middle-income countries: a secondary analysis.

Science.gov (United States)

Cameron, A; Ewen, M; Ross-Degnan, D; Ball, D; Laing, R

2009-01-17

WHO and Health Action International (HAI) have developed a standardised method for surveying medicine prices, availability, affordability, and price components in low-income and middle-income countries. Here, we present a secondary analysis of medicine availability in 45 national and subnational surveys done using the WHO/HAI methodology. Data from 45 WHO/HAI surveys in 36 countries were adjusted for inflation or deflation and purchasing power parity. International reference prices from open international procurements for generic products were used as comparators. Results are presented for 15 medicines included in at least 80% of surveys and four individual medicines. Average public sector availability of generic medicines ranged from 29.4% to 54.4% across WHO regions. Median government procurement prices for 15 generic medicines were 1.11 times corresponding international reference prices, although purchasing efficiency ranged from 0.09 to 5.37 times international reference prices. Low procurement prices did not always translate into low patient prices. Private sector patients paid 9-25 times international reference prices for lowest-priced generic products and over 20 times international reference prices for originator products across WHO regions. Treatments for acute and chronic illness were largely unaffordable in many countries. In the private sector, wholesale mark-ups ranged from 2% to 380%, whereas retail mark-ups ranged from 10% to 552%. In countries where value added tax was applied to medicines, the amount charged varied from 4% to 15%. Overall, public and private sector prices for originator and generic medicines were substantially higher than would be expected if purchasing and distribution were efficient and mark-ups were reasonable. Policy options such as promoting generic medicines and alternative financing mechanisms are needed to increase availability, reduce prices, and improve affordability.

An Explicit MOT-TD-VIE Solver for Time Varying Media

KAUST Repository

Sayed, Sadeed Bin; Ulku, Huseyin Arda; Bagci, Hakan

2016-01-01

An explicit marching on-in-time (MOT) scheme for solving the time domain electric field integral equation enforced on volumes with time varying dielectric permittivity is proposed. Unknowns of the integral equation and the constitutive relation, i

Epidemic spreading in time-varying community networks.

Science.gov (United States)

Ren, Guangming; Wang, Xingyuan

2014-06-01

The spreading processes of many infectious diseases have comparable time scale as the network evolution. Here, we present a simple networks model with time-varying community structure, and investigate susceptible-infected-susceptible epidemic spreading processes in this model. By both theoretic analysis and numerical simulations, we show that the efficiency of epidemic spreading in this model depends intensively on the mobility rate q of the individuals among communities. We also find that there exists a mobility rate threshold qc. The epidemic will survive when q > qc and die when q epidemic spreading in complex networks with community structure.

Time-varying Concurrent Risk of Extreme Droughts and Heatwaves in California

Science.gov (United States)

Sarhadi, A.; Diffenbaugh, N. S.; Ausin, M. C.

2016-12-01

Anthropogenic global warming has changed the nature and the risk of extreme climate phenomena such as droughts and heatwaves. The concurrent of these nature-changing climatic extremes may result in intensifying undesirable consequences in terms of human health and destructive effects in water resources. The present study assesses the risk of concurrent extreme droughts and heatwaves under dynamic nonstationary conditions arising from climate change in California. For doing so, a generalized fully Bayesian time-varying multivariate risk framework is proposed evolving through time under dynamic human-induced environment. In this methodology, an extreme, Bayesian, dynamic copula (Gumbel) is developed to model the time-varying dependence structure between the two different climate extremes. The time-varying extreme marginals are previously modeled using a Generalized Extreme Value (GEV) distribution. Bayesian Markov Chain Monte Carlo (MCMC) inference is integrated to estimate parameters of the nonstationary marginals and copula using a Gibbs sampling method. Modelled marginals and copula are then used to develop a fully Bayesian, time-varying joint return period concept for the estimation of concurrent risk. Here we argue that climate change has increased the chance of concurrent droughts and heatwaves over decades in California. It is also demonstrated that a time-varying multivariate perspective should be incorporated to assess realistic concurrent risk of the extremes for water resources planning and management in a changing climate in this area. The proposed generalized methodology can be applied for other stochastic nature-changing compound climate extremes that are under the influence of climate change.

Incomplete Financial Markets and Jumps in Asset Prices

DEFF Research Database (Denmark)

Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich

A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets...... are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly....

The effect of lake water quality and wind turbines on Rhode Island property sales price

Science.gov (United States)

Gorelick, Susan Shim

This dissertation uses the hedonic pricing model to study the impact of lake water quality and wind turbines on Rhode Island house sales prices. The first two manuscripts are on lake water quality and use RI house sales transactions from 1988--2012. The third studies wind turbines using RI house sales transactions from 2000--2013. The first study shows that good lake water quality increases lakefront property price premium. It also shows that environmental amenities, such as forests, substitute for lake amenity as the property's distance from the lake increases. The second lake water quality study incorporates time variables to examine how environmental amenity values change over time. The results show that property price premium associated with good lake water quality does not change as it is constant in proportion to housing prices with short term economic fluctuations. The third study shows that wind turbines have a negative and significant impact on housing prices. However, this is highly location specific and varies with neighborhood demographics. All three studies have policy implications which are discussed in detail in the manuscripts below.

Mathematical modelling and optimization of a large-scale combined cooling, heat, and power system that incorporates unit changeover and time-of-use electricity price

International Nuclear Information System (INIS)

Zhu, Qiannan; Luo, Xianglong; Zhang, Bingjian; Chen, Ying

2017-01-01

Highlights: • We propose a novel superstructure for the design and optimization of LSCCHP. • A multi-objective multi-period MINLP model is formulated. • The unit start-up cost and time-of-use electricity prices are involved. • Unit size discretization strategy is proposed to linearize the original MINLP model. • A case study is elaborated to demonstrate the effectiveness of the proposed method. - Abstract: Building energy systems, particularly large public ones, are major energy consumers and pollutant emission contributors. In this study, a superstructure of large-scale combined cooling, heat, and power system is constructed. The off-design unit, economic cost, and CO_2 emission models are also formulated. Moreover, a multi-objective mixed integer nonlinear programming model is formulated for the simultaneous system synthesis, technology selection, unit sizing, and operation optimization of large-scale combined cooling, heat, and power system. Time-of-use electricity price and unit changeover cost are incorporated into the problem model. The economic objective is to minimize the total annual cost, which comprises the operation and investment costs of large-scale combined cooling, heat, and power system. The environmental objective is to minimize the annual global CO_2 emission of large-scale combined cooling, heat, and power system. The augmented ε–constraint method is applied to achieve the Pareto frontier of the design configuration, thereby reflecting the set of solutions that represent optimal trade-offs between the economic and environmental objectives. Sensitivity analysis is conducted to reflect the impact of natural gas price on the combined cooling, heat, and power system. The synthesis and design of combined cooling, heat, and power system for an airport in China is studied to test the proposed synthesis and design methodology. The Pareto curve of multi-objective optimization shows that the total annual cost varies from 102.53 to 94.59 M

Discrete-Time Sliding-Mode Control of Uncertain Systems with Time-Varying Delays via Descriptor Approach

Directory of Open Access Journals (Sweden)

Maode Yan

2008-01-01

Full Text Available This paper considers the problem of robust discrete-time sliding-mode control (DT-SMC design for a class of uncertain linear systems with time-varying delays. By applying a descriptor model transformation and Moon's inequality for bounding cross terms, a delay-dependent sufficient condition for the existence of stable sliding surface is given in terms of linear matrix inequalities (LMIs. Based on this existence condition, the synthesized sliding mode controller can guarantee the sliding-mode reaching condition of the specified discrete-time sliding surface for all admissible uncertainties and time-varying delays. An illustrative example verifies the effectiveness of the proposed method.

Price changes in the gasoline market: Are Midwestern gasoline prices downward sticky?

International Nuclear Information System (INIS)

1999-03-01

This report examines a recurring question about gasoline markets: why, especially in times of high price volatility, do retail gasoline prices seem to rise quickly but fall back more slowly? Do gasoline prices actually rise faster than they fall, or does this just appear to be the case because people tend to pay more attention to prices when they're rising? This question is more complex than it might appear to be initially, and it has been addressed by numerous analysts in government, academia and industry. The question is very important, because perceived problems with retail gasoline pricing have been used in arguments for government regulation of prices. The phenomenon of prices at different market levels tending to move differently relative to each other depending on direction is known as price asymmetry. This report summarizes the previous work on gasoline price asymmetry and provides a method for testing for asymmetry in a wide variety of situations. The major finding of this paper is that there is some amount of asymmetry and pattern asymmetry, especially at the retail level, in the Midwestern states that are the focus of the analysis. Nevertheless, both the amount asymmetry and pattern asymmetry are relatively small. In addition, much of the pattern asymmetry detected in this and previous studies could be a statistical artifact caused by the time lags between price changes at different points in the gasoline distribution system. In other words, retail gasoline prices do sometimes rise faster than they fall, but this is largely a lagged market response to an upward shock in the underlying wholesale gasoline or crude oil prices, followed by a return toward the previous baseline. After consistent time lags are factored out, most apparent asymmetry disappears

Impacts of changing hardwood lumber consumption and price on stumpage and sawlog prices in Ohio

Science.gov (United States)

William Luppold; Matthew Bumgardner; T. Eric. McConnell

2014-01-01

In the early 2000s, increasing US furniture imports preceded declining US hardwood lumber demand and price. In the summer of 2002, however, hardwood lumber prices started to increase as demand by construction industries increased. By the mid-2000s, hardwood lumber prices hit all-time highs. Lumber prices hit all-time highs for red oak (Quercus spp...

Synchronization of uncertain time-varying network based on sliding mode control technique

Science.gov (United States)

Lü, Ling; Li, Chengren; Bai, Suyuan; Li, Gang; Rong, Tingting; Gao, Yan; Yan, Zhe

2017-09-01

We research synchronization of uncertain time-varying network based on sliding mode control technique. The sliding mode control technique is first modified so that it can be applied to network synchronization. Further, by choosing the appropriate sliding surface, the identification law of uncertain parameter, the adaptive law of the time-varying coupling matrix element and the control input of network are designed, it is sure that the uncertain time-varying network can synchronize effectively the synchronization target. At last, we perform some numerical simulations to demonstrate the effectiveness of the proposed results.

Hierarchical structure of stock price fluctuations in financial markets

International Nuclear Information System (INIS)

Gao, Ya-Chun; Cai, Shi-Min; Wang, Bing-Hong

2012-01-01

The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they share. In this paper, the She–Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviating from Kolmogorov monofractal scaling of the velocity fluctuation in fluid turbulence, is applied to study and quantify the hierarchical structure of stock price fluctuations in financial markets. We therefore observed certain interesting results: (i) the hierarchical structure related to multifractal scaling generally presents in all the stock price fluctuations we investigated. (ii) The quantitatively statistical parameters that describe SL hierarchy are different between developed financial markets and emerging ones, distinctively. (iii) For the high-frequency stock price fluctuation, the hierarchical structure varies with different time periods. All these results provide a novel analogy in turbulence and financial market dynamics and an insight to deeply understand multifractality in financial markets. (paper)

Finding hidden periodic signals in time series - an application to stock prices

Science.gov (United States)

O'Shea, Michael

2014-03-01

Data in the form of time series appear in many areas of science. In cases where the periodicity is apparent and the only other contribution to the time series is stochastic in origin, the data can be `folded' to improve signal to noise and this has been done for light curves of variable stars with the folding resulting in a cleaner light curve signal. Stock index prices versus time are classic examples of time series. Repeating patterns have been claimed by many workers and include unusually large returns on small-cap stocks during the month of January, and small returns on the Dow Jones Industrial average (DJIA) in the months June through September compared to the rest of the year. Such observations imply that these prices have a periodic component. We investigate this for the DJIA. If such a component exists it is hidden in a large non-periodic variation and a large stochastic variation. We show how to extract this periodic component and for the first time reveal its yearly (averaged) shape. This periodic component leads directly to the `Sell in May and buy at Halloween' adage. We also drill down and show that this yearly variation emerges from approximately half of the underlying stocks making up the DJIA index.

Conceptual Modeling of Time-Varying Information

DEFF Research Database (Denmark)

Gregersen, Heidi; Jensen, Christian S.

2004-01-01

A wide range of database applications manage information that varies over time. Many of the underlying database schemas of these were designed using the Entity-Relationship (ER) model. In the research community as well as in industry, it is common knowledge that the temporal aspects of the mini......-world are important, but difficult to capture using the ER model. Several enhancements to the ER model have been proposed in an attempt to support the modeling of temporal aspects of information. Common to the existing temporally extended ER models, few or no specific requirements to the models were given...

A time-varying magnetic flux concentrator

International Nuclear Information System (INIS)

Kibret, B; Premaratne, M; Lewis, P M; Thomson, R; Fitzgerald, P B

2016-01-01

It is known that diverse technological applications require the use of focused magnetic fields. This has driven the quest for controlling the magnetic field. Recently, the principles in transformation optics and metamaterials have allowed the realization of practical static magnetic flux concentrators. Extending such progress, here, we propose a time-varying magnetic flux concentrator cylindrical shell that uses electric conductors and ferromagnetic materials to guide magnetic flux to its center. Its performance is discussed based on finite-element simulation results. Our proposed design has potential applications in magnetic sensors, medical devices, wireless power transfer, and near-field wireless communications. (paper)

Transfer Pricing

DEFF Research Database (Denmark)

Rohde, Carsten; Rossing, Christian Plesner

trade internally as the units have to decide what prices should be paid for such inter-unit transfers. One important challenge is to uncover the consequences that different transfer prices have on the willingness in the organizational units to coordinate activities and trade internally. At the same time...... the determination of transfer price will affect the size of the profit or loss in the organizational units and thus have an impact on the evaluation of managers‟ performance. In some instances the determination of transfer prices may lead to a disagreement between coordination of the organizational units...

Optimizing Wellfield Operation in a Variable Power Price Regime

DEFF Research Database (Denmark)

Bauer-Gottwein, Peter; Schneider, Raphael; Davidsen, Claus

2016-01-01

Wellfield management is a multiobjective optimization problem. One important objective has been energy efficiency in terms of minimizing the energy footprint (EFP) of delivered water (MWh/m3). However, power systems in most countries are moving in the direction of deregulated markets and price...... itself. We estimated EFP of pumped water as a function of wellfield pumping rate (EFP-Q relationship) for a wellfield in Denmark using a coupled well and pipe network model. This EFP-Q relationship was subsequently used in a Stochastic Dynamic Programming (SDP) framework to minimize total cost...... of operating the combined wellfield-storage-demand system over the course of a 2-year planning period based on a time series of observed price on the Danish power market and a deterministic, time-varying hourly water demand. In the SDP setup, hourly pumping rates are the decision variables. Constraints include...

A multi-phase algorithm for a joint lot-sizing and pricing problem with stochastic demands

DEFF Research Database (Denmark)

Jenny Li, Hongyan; Thorstenson, Anders

2014-01-01

to a practically viable approach to decision-making. In addition to incorporating market uncertainty and pricing decisions in the traditional production and inventory planning process, our approach also accommodates the complexity of time-varying cost and capacity constraints. Finally, our numerical results show......Stochastic lot-sizing problems have been addressed quite extensively, but relatively few studies also consider marketing factors, such as pricing. In this paper, we address a joint stochastic lot-sizing and pricing problem with capacity constraints and backlogging for a firm that produces a single...... that the multi-phase heuristic algorithm solves the example problems effectively....

Electron dynamics in solid state via time varying wavevectors

Science.gov (United States)

Khaneja, Navin

2018-06-01

In this paper, we study electron wavepacket dynamics in electric and magnetic fields. We rigorously derive the semiclassical equations of electron dynamics in electric and magnetic fields. We do it both for free electron and electron in a periodic potential. We do this by introducing time varying wavevectors k(t). In the presence of magnetic field, our wavepacket reproduces the classical cyclotron orbits once the origin of the Schröedinger equation is correctly chosen to be center of cyclotron orbit. In the presence of both electric and magnetic fields, our equations for wavepacket dynamics differ from classical Lorentz force equations. We show that in a periodic potential, on application of electric field, the electron wave function adiabatically follows the wavefunction of a time varying Bloch wavevector k(t), with its energies suitably shifted with time. We derive the effective mass equation and discuss conduction in conductors and insulators.

Time varying determinants of bond flows to emerging markets

Directory of Open Access Journals (Sweden)

Yasemin Erduman

2016-06-01

Full Text Available This paper investigates the time varying nature of the determinants of bond flows with a focus on the global financial crisis period. We estimate a time varying regression model using Bayesian estimation methods, where the posterior distribution is approximated by Gibbs sampling algorithm. Our findings suggest that the interest rate differential is the most significant pull factor of portfolio bond flows, along with the inflation rate, while the growth rate does not play a significant role. Among the push factors, global liquidity is the most important driver of bond flows. It matters the most, when unconventional monetary easing policies were first announced; and its importance as a determinant of portfolio bond flows decreases over time, starting with the Eurozone crisis, and diminishes with the tapering talk. Global risk appetite and the risk perception towards the emerging countries also have relatively small and stable significant effects on bond flows.

Aggregate modeling of fast-acting demand response and control under real-time pricing

International Nuclear Information System (INIS)

Chassin, David P.; Rondeau, Daniel

2016-01-01

Highlights: • Demand elasticity for fast-acting demand response load under real-time pricing. • Validated first-principles logistic demand curve matches random utility model. • Logistic demand curve suitable for diversified aggregate loads market-based transactive control systems. - Abstract: This paper develops and assesses the performance of a short-term demand response (DR) model for utility load control with applications to resource planning and control design. Long term response models tend to underestimate short-term demand response when induced by prices. This has two important consequences. First, planning studies tend to undervalue DR and often overlook its benefits in utility demand management program development. Second, when DR is not overlooked, the open-loop DR control gain estimate may be too low. This can result in overuse of load resources, control instability and excessive price volatility. Our objective is therefore to develop a more accurate and better performing short-term demand response model. We construct the model from first principles about the nature of thermostatic load control and show that the resulting formulation corresponds exactly to the Random Utility Model employed in economics to study consumer choice. The model is tested against empirical data collected from field demonstration projects and is shown to perform better than alternative models commonly used to forecast demand in normal operating conditions. The results suggest that (1) existing utility tariffs appear to be inadequate to incentivize demand response, particularly in the presence of high renewables, and (2) existing load control systems run the risk of becoming unstable if utilities close the loop on real-time prices.

Interdependence between crude oil and world food prices: A detrended cross correlation analysis

Science.gov (United States)

Pal, Debdatta; Mitra, Subrata K.

2018-02-01

This article explores the changing interdependence between crude oil and world food prices at varying time scales using detrended cross correlation analysis that would answer whether the interdependence (if any) differed significantly between pre and post-crisis period. Unlike the previous studies that exogenously imposed break dates for dividing the time series into sub-samples, we tested whether the mean of the crude oil price changed over time to find evidence for structural changes in the crude oil price series and endogenously determine three break dates with minimum Bayesian information criterion scores. Accordingly, we divided the entire study period in four sample periods - January 1990 to October 1999, November 1999 to February 2005, March 2005 to September 2010, and October 2010 to July 2016, where the third sample period coincided with the period of food crisis and enabled us to compare the fuel-food interdependence across pre-crisis, during the crisis, and post-crisis periods. The results of the detrended cross correlation analysis extended corroborative evidence for increasing positive interdependence between the crude oil price and world food price index along with its sub-categories, namely dairy, cereals, vegetable oil, and sugar. The article ends with the implications of these results in the domain of food policy and the financial sector.

Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape

International Nuclear Information System (INIS)

Serinaldi, Francesco

2011-01-01

In the context of the liberalized and deregulated electricity markets, price forecasting has become increasingly important for energy company's plans and market strategies. Within the class of the time series models that are used to perform price forecasting, the subclasses of methods based on stochastic time series and causal models commonly provide point forecasts, whereas the corresponding uncertainty is quantified by approximate or simulation-based confidence intervals. Aiming to improve the uncertainty assessment, this study introduces the Generalized Additive Models for Location, Scale and Shape (GAMLSS) to model the dynamically varying distribution of prices. The GAMLSS allow fitting a variety of distributions whose parameters change according to covariates via a number of linear and nonlinear relationships. In this way, price periodicities, trends and abrupt changes characterizing both the position parameter (linked to the expected value of prices), and the scale and shape parameters (related to price volatility, skewness, and kurtosis) can be explicitly incorporated in the model setup. Relying on the past behavior of the prices and exogenous variables, the GAMLSS enable the short-term (one-day ahead) forecast of the entire distribution of prices. The approach was tested on two datasets from the widely studied California Power Exchange (CalPX) market, and the less mature Italian Power Exchange (IPEX). CalPX data allow comparing the GAMLSS forecasting performance with published results obtained by different models. The study points out that the GAMLSS framework can be a flexible alternative to several linear and nonlinear stochastic models. - Research Highlights: ► Generalized Additive Models for Location, Scale and Shape (GAMLSS) are used to model electricity prices' time series. ► GAMLSS provide the entire dynamicaly varying distribution function of prices resorting to a suitable set of covariates that drive the instantaneous values of the parameters

Global stabilization of linear continuous time-varying systems with bounded controls

International Nuclear Information System (INIS)

Phat, V.N.

2004-08-01

This paper deals with the problem of global stabilization of a class of linear continuous time-varying systems with bounded controls. Based on the controllability of the nominal system, a sufficient condition for the global stabilizability is proposed without solving any Riccati differential equation. Moreover, we give sufficient conditions for the robust stabilizability of perturbation/uncertain linear time-varying systems with bounded controls. (author)

An integrative time-varying frequency detection and channel sounding method for dynamic plasma sheath

Science.gov (United States)

Shi, Lei; Yao, Bo; Zhao, Lei; Liu, Xiaotong; Yang, Min; Liu, Yanming

2018-01-01

The plasma sheath-surrounded hypersonic vehicle is a dynamic and time-varying medium and it is almost impossible to calculate time-varying physical parameters directly. The in-fight detection of the time-varying degree is important to understand the dynamic nature of the physical parameters and their effect on re-entry communication. In this paper, a constant envelope zero autocorrelation (CAZAC) sequence based on time-varying frequency detection and channel sounding method is proposed to detect the plasma sheath electronic density time-varying property and wireless channel characteristic. The proposed method utilizes the CAZAC sequence, which has excellent autocorrelation and spread gain characteristics, to realize dynamic time-varying detection/channel sounding under low signal-to-noise ratio in the plasma sheath environment. Theoretical simulation under a typical time-varying radio channel shows that the proposed method is capable of detecting time-variation frequency up to 200 kHz and can trace the channel amplitude and phase in the time domain well under -10 dB. Experimental results conducted in the RF modulation discharge plasma device verified the time variation detection ability in practical dynamic plasma sheath. Meanwhile, nonlinear phenomenon of dynamic plasma sheath on communication signal is observed thorough channel sounding result.

Finite-Time Reentry Attitude Control Using Time-Varying Sliding Mode and Disturbance Observer

Directory of Open Access Journals (Sweden)

Xuzhong Wu

2015-01-01

Full Text Available This paper presents the finite-time attitude control problem for reentry vehicle with redundant actuators in consideration of planet uncertainties and external disturbances. Firstly, feedback linearization technique is used to cancel the nonlinearities of equations of motion to construct a basic mode for attitude controller. Secondly, two kinds of time-varying sliding mode control methods with disturbance observer are integrated with the basic mode in order to enhance the control performance and system robustness. One method is designed based on boundary layer technique and the other is a novel second-order sliding model control method. The finite-time stability analyses of both resultant closed-loop systems are carried out. Furthermore, after attitude controller produces the torque commands, an optimization control allocation approach is introduced to allocate them into aerodynamic surface deflections and on-off reaction control system thrusts. Finally, the numerical simulation results demonstrate that both of the time-varying sliding mode control methods are robust to uncertainties and disturbances without chattering phenomenon. Moreover, the proposed second-order sliding mode control method possesses better control accuracy.

Finite-time and fixed-time synchronization analysis of inertial memristive neural networks with time-varying delays.

Science.gov (United States)

Wei, Ruoyu; Cao, Jinde; Alsaedi, Ahmed

2018-02-01

This paper investigates the finite-time synchronization and fixed-time synchronization problems of inertial memristive neural networks with time-varying delays. By utilizing the Filippov discontinuous theory and Lyapunov stability theory, several sufficient conditions are derived to ensure finite-time synchronization of inertial memristive neural networks. Then, for the purpose of making the setting time independent of initial condition, we consider the fixed-time synchronization. A novel criterion guaranteeing the fixed-time synchronization of inertial memristive neural networks is derived. Finally, three examples are provided to demonstrate the effectiveness of our main results.

Distributed, price-based control approach to market-based operation of future power systems

NARCIS (Netherlands)

Jokic, A.; Bosch, van den P.P.J.; Hermans, R.M.

2009-01-01

In this paper we present, discuss and illustrate on examples the price-based control paradigm as a suitable approach to solve some of the challenging problems facing future, market-based power systems. It is illustrated how global objectives and constraints are optimally translated into time-varying

Stability in Organic Milk Farm Prices: A Comparative Study

OpenAIRE

Su, Ye; Brown, Scott; Cook, Michael L.

2013-01-01

The organic milk pay price is more stable year round and increases every year. However, the conventional milk price varies within the year and from year to year. As an emerging segment of the milk industry, consumer demand for organic milk is increasing rapidly. The growth in demand relative to supply provides organic milk producers and processors large premiums over the conventional milk price. Many conventional dairy farms have converted to organic operations for the more stable price. The ...

How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems

Science.gov (United States)

Tan, Lei; Zheng, Bo; Chen, Jun-Jie; Jiang, Xiong-Fei

2015-01-01

What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time. PMID:25723154

How volatilities nonlocal in time affect the price dynamics in complex financial systems.

Directory of Open Access Journals (Sweden)

Lei Tan

Full Text Available What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.

Experimental Evidence on Transfer Pricing

Directory of Open Access Journals (Sweden)

Tran Quoc H.

2016-06-01

Full Text Available We use incentivized economics experiments to test both the point predictions and comparative static predictions of optimal transfer pricing models, comparing behavior under varying conditions, including wholly versus partially-owned subsidiaries and different tariff and tax rates. As predicted, we find that transfer prices are responsive to relative tax and tariff rates as well as ownership proportions. Additionally, we examine convergence and learning in this setting. While individuals do not choose optimal transfer prices, their choices converge to optimal levels with experience. This paper thus makes two important contributions. First, by comparing behavior with theoretical predictions it provides evidence of whether (and when individuals set transfer prices optimally. Second, by comparing behavior under conditions of full and partial ownership it provides evidence on the impact of policy interventions (like regulating ownership proportions by MNEs on tax revenues.

AEP Ohio gridSMART Demonstration Project Real-Time Pricing Demonstration Analysis

Energy Technology Data Exchange (ETDEWEB)

Widergren, Steven E.; Subbarao, Krishnappa; Fuller, Jason C.; Chassin, David P.; Somani, Abhishek; Marinovici, Maria C.; Hammerstrom, Janelle L.

2014-02-01

This report contributes initial findings from an analysis of significant aspects of the gridSMART® Real-Time Pricing (RTP) – Double Auction demonstration project. Over the course of four years, Pacific Northwest National Laboratory (PNNL) worked with American Electric Power (AEP), Ohio and Battelle Memorial Institute to design, build, and operate an innovative system to engage residential consumers and their end-use resources in a participatory approach to electric system operations, an incentive-based approach that has the promise of providing greater efficiency under normal operating conditions and greater flexibility to react under situations of system stress. The material contained in this report supplements the findings documented by AEP Ohio in the main body of the gridSMART report. It delves into three main areas: impacts on system operations, impacts on households, and observations about the sensitivity of load to price changes.

Market interdependence among commodity prices based on information transmission on the Internet

Science.gov (United States)

Ji, Qiang; Guo, Jian-Feng

2015-05-01

Human behaviour on the Internet has become a synchro-projection of real society. In this paper, we introduce the public concern derived from query volumes on the Web to empirically analyse the influence of information on commodity markets (e.g., crude oil, heating oil, corn and gold) using multivariate GARCH models based on dynamic conditional correlations. The analysis found that the changes of public concern on the Internet can well depict the changes of market prices, as the former has significant Granger causality effects on market prices. The findings indicate that the information of external shocks to commodity markets could be transmitted quickly, and commodity markets easily absorb the public concern of the information-sensitive traders. Finally, the conditional correlation among commodity prices varies dramatically over time.

Price Elasticity of Alcohol Demand in India.

Science.gov (United States)

Kumar, Santosh

2017-05-01

Using a household survey conducted in 2014, this study estimates price elasticity of demand (PED) for beer, country liquor and spirits in India. Ordinary least-square models were used to estimate the responsiveness in alcohol demand due to price change. A large number of control variables were included to adjust for potential confounding in the model. Inter-district variation in alcohol consumption is adjusted for by including district fixed effects. Alcohol prices are negatively associated with demand for alcoholic beverages. The PED ranged from -0.14 for spirits to -0.46 for country liquor. Low level of education was positively associated with spirits consumption. The magnitude of elasticity varied by rural-urban, education and gender. Results indicate that a policy mix of price controls and awareness campaigns would be most effective in tackling the adverse effects of harmful drinking in India. The demand for beer, country liquor and spirits is negatively associated with its own price. The elasticity estimates ranged from -0.14 for spirits to -0.44 for country liquor. The elasticity estimates varied by rural-urban, gender and by education levels of the drinkers. © The Author 2017. Medical Council on Alcohol and Oxford University Press. All rights reserved

International trade and determinants of price differentials of insulin medicine.

Science.gov (United States)

Helble, Matthias; Aizawa, Toshiaki

2017-02-01

Empirical studies on pharmaceutical pricing across countries have found evidence that prices vary according to per capita income. These studies are typically based on survey data from a subset of countries and cover only one year. In this paper, we study the international trade and price of insulin by using detailed trade data for 186 importing countries from 1995 to 2013. With almost 12,000 observations, our study constitutes the largest comparative study on pharmaceutical pricing conducted so far. The large dataset allows us to uncover new determinants of price differentials. Our analysis shows that the international trade of insulin increased substantially over this time period, clearly outpacing the increasing prevalence of diabetes. Using the unit values of imports, we also study the determinants of price differentials between countries. Running various panel regressions, we find that the differences in prices across countries can be explained by the following factors: First, corroborating earlier studies, we find that per capita GDP is positively correlated with the unit price of insulin. Second, the price of insulin drugs originating from Organisation for Economic Co-operation and Development countries tends to be substantially higher than for those imported from developing countries. Third, more intense competition among suppliers leads to lower insulin prices. Fourth, higher out-of-pocket payments for health care are associated with higher prices. Finally, higher volumes and tariffs seem to result in lower unit prices. © The Author 2016. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

Research on intelligent power consumption strategy based on time-of-use pricing

Science.gov (United States)

Fu, Wei; Gong, Li; Chen, Heli; He, Yu

2017-06-01

In this paper, through the analysis of shortcomings of the current domestic and foreign household power consumption strategy: Passive way of power consumption, ignoring the different priority of electric equipment, neglecting the actual load pressure of the grid, ignoring the interaction with the user, to decrease the peak-valley difference and improve load curve in residential area by demand response (DR technology), an intelligent power consumption scheme based on time-of-use(TOU) pricing for household appliances is proposed. The main contribution of this paper is: (1) Three types of household appliance loads are abstracted from different operating laws of various household appliances, and the control models and DR strategies corresponding to these types are established. (2) The fuzzified processing for the information of TOU price, which is based on the time intervals, is performed to get the price priority, in accordance with such DR events as the maximum restricted load of DR, the time of DR and the duration of interruptible load and so on, the DR control rule and pre-scheduling mechanism are led in. (3) The dispatching sequence of household appliances in the control and scheduling queue are switched and controlled to implement the equilibrium of peak and valley loads. The equilibrium effects and economic benefits of power system by pre-scheduling and DR dispatching are compared and analyzed by simulation example, and the results show that using the proposed household appliance control (HAC) scheme the overall cost of consumers can be reduced and the power system load can be alleviated, so the proposed household appliance control (HAC) scheme is feasible and reasonable.

Day Ahead Real Time Pricing and Critical Peak Pricing Based Power Scheduling for Smart Homes with Different Duty Cycles

Directory of Open Access Journals (Sweden)

Nadeem Javaid

2018-06-01

Full Text Available In this paper, we propose a demand side management (DSM scheme in the residential area for electricity cost and peak to average ratio (PAR alleviation with maximum users’ satisfaction. For this purpose, we implement state-of-the-art algorithms: enhanced differential evolution (EDE and teacher learning-based optimization (TLBO. Furthermore, we propose a hybrid technique (HT having the best features of both aforementioned algorithms. We consider a system model for single smart home as well as for a community (multiple homes and each home consists of multiple appliances with different priorities. The priority is assigned (to each appliance by electricity consumers and then the proposed scheme finds an optimal solution according to the assigned priorities. Day-ahead real time pricing (DA-RTP and critical peak pricing (CPP are used for electricity cost calculation. To validate our proposed scheme, simulations are carried out and results show that our proposed scheme efficiently achieves the aforementioned objectives. However, when we perform a comparison with existing schemes, HT outperforms other state-of-the-art schemes (TLBO and EDE in terms of electricity cost and PAR reduction while minimizing the average waiting time.

Vector-field statistics for the analysis of time varying clinical gait data.

Science.gov (United States)

Donnelly, C J; Alexander, C; Pataky, T C; Stannage, K; Reid, S; Robinson, M A

2017-01-01

In clinical settings, the time varying analysis of gait data relies heavily on the experience of the individual(s) assessing these biological signals. Though three dimensional kinematics are recognised as time varying waveforms (1D), exploratory statistical analysis of these data are commonly carried out with multiple discrete or 0D dependent variables. In the absence of an a priori 0D hypothesis, clinicians are at risk of making type I and II errors in their analyis of time varying gait signatures in the event statistics are used in concert with prefered subjective clinical assesment methods. The aim of this communication was to determine if vector field waveform statistics were capable of providing quantitative corroboration to practically significant differences in time varying gait signatures as determined by two clinically trained gait experts. The case study was a left hemiplegic Cerebral Palsy (GMFCS I) gait patient following a botulinum toxin (BoNT-A) injection to their left gastrocnemius muscle. When comparing subjective clinical gait assessments between two testers, they were in agreement with each other for 61% of the joint degrees of freedom and phases of motion analysed. For tester 1 and tester 2, they were in agreement with the vector-field analysis for 78% and 53% of the kinematic variables analysed. When the subjective analyses of tester 1 and tester 2 were pooled together and then compared to the vector-field analysis, they were in agreement for 83% of the time varying kinematic variables analysed. These outcomes demonstrate that in principle, vector-field statistics corroborates with what a team of clinical gait experts would classify as practically meaningful pre- versus post time varying kinematic differences. The potential for vector-field statistics to be used as a useful clinical tool for the objective analysis of time varying clinical gait data is established. Future research is recommended to assess the usefulness of vector-field analyses

Optimal critic learning for robot control in time-varying environments.

Science.gov (United States)

Wang, Chen; Li, Yanan; Ge, Shuzhi Sam; Lee, Tong Heng

2015-10-01

In this paper, optimal critic learning is developed for robot control in a time-varying environment. The unknown environment is described as a linear system with time-varying parameters, and impedance control is employed for the interaction control. Desired impedance parameters are obtained in the sense of an optimal realization of the composite of trajectory tracking and force regulation. Q -function-based critic learning is developed to determine the optimal impedance parameters without the knowledge of the system dynamics. The simulation results are presented and compared with existing methods, and the efficacy of the proposed method is verified.

Nodal price volatility reduction and reliability enhancement of restructured power systems considering demand-price elasticity

International Nuclear Information System (INIS)

Goel, L.; Wu, Qiuwei; Wang, Peng

2008-01-01

With the development of restructured power systems, the conventional 'same for all customers' electricity price is getting replaced by nodal prices. Electricity prices will fluctuate with time and nodes. In restructured power systems, electricity demands will interact mutually with prices. Customers may shift some of their electricity consumption from time slots of high electricity prices to those of low electricity prices if there is a commensurate price incentive. The demand side load shift will influence nodal prices in return. This interaction between demand and price can be depicted using demand-price elasticity. This paper proposes an evaluation technique incorporating the impact of the demand-price elasticity on nodal prices, system reliability and nodal reliabilities of restructured power systems. In this technique, demand and price correlations are represented using the demand-price elasticity matrix which consists of self/cross-elasticity coefficients. Nodal prices are determined using optimal power flow (OPF). The OPF and customer damage functions (CDFs) are combined in the proposed reliability evaluation technique to assess the reliability enhancement of restructured power systems considering demand-price elasticity. The IEEE reliability test system (RTS) is simulated to illustrate the developed techniques. The simulation results show that demand-price elasticity reduces the nodal price volatility and improves both the system reliability and nodal reliabilities of restructured power systems. Demand-price elasticity can therefore be utilized as a possible efficient tool to reduce price volatility and to enhance the reliability of restructured power systems. (author)

Epidemic spreading in time-varying community networks

Energy Technology Data Exchange (ETDEWEB)

Ren, Guangming, E-mail: wangxy@dlut.edu.cn, E-mail: ren-guang-ming@163.com [School of Electronic and Information, Guangdong Polytechnic Normal University, Guangzhou 510665 (China); Faculty of Electronic Information and Electrical Engineering, Dalian University of Technology, Dalian 116024 (China); Wang, Xingyuan, E-mail: wangxy@dlut.edu.cn, E-mail: ren-guang-ming@163.com [Faculty of Electronic Information and Electrical Engineering, Dalian University of Technology, Dalian 116024 (China)

2014-06-15

The spreading processes of many infectious diseases have comparable time scale as the network evolution. Here, we present a simple networks model with time-varying community structure, and investigate susceptible-infected-susceptible epidemic spreading processes in this model. By both theoretic analysis and numerical simulations, we show that the efficiency of epidemic spreading in this model depends intensively on the mobility rate q of the individuals among communities. We also find that there exists a mobility rate threshold q{sub c}. The epidemic will survive when q > q{sub c} and die when q < q{sub c}. These results can help understanding the impacts of human travel on the epidemic spreading in complex networks with community structure.

Epidemic spreading in time-varying community networks

International Nuclear Information System (INIS)

Ren, Guangming; Wang, Xingyuan

2014-01-01

The spreading processes of many infectious diseases have comparable time scale as the network evolution. Here, we present a simple networks model with time-varying community structure, and investigate susceptible-infected-susceptible epidemic spreading processes in this model. By both theoretic analysis and numerical simulations, we show that the efficiency of epidemic spreading in this model depends intensively on the mobility rate q of the individuals among communities. We also find that there exists a mobility rate threshold q c . The epidemic will survive when q > q c and die when q  c . These results can help understanding the impacts of human travel on the epidemic spreading in complex networks with community structure

The world market for soybeans: price transmission into Brazil and effects from the timing of crop and trade

Directory of Open Access Journals (Sweden)

Frederico A. Turolla

2007-08-01

Full Text Available This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992 is based on the Law of the One Price, which assumes price equalization across all local markets in the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker.

Oil price dynamics and speculation. A multivariate financial approach

International Nuclear Information System (INIS)

Cifarelli, Giulio; Paladino, Giovanna

2010-01-01

This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM following Shiller (1984) and Sentana and Wadhwani (1992). First, a univariate GARCH(1,1)-M is estimated assuming the risk premium to be a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973), which takes into account a larger investment opportunity set. Analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role played by speculation in the oil market, which is consistent with the observed large daily upward and downward shifts in prices - a clear evidence that it is not a fundamental-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor speculative activities on commodity markets more effectively are to be welcomed. (author)

Oil price dynamics and speculation. A multivariate financial approach

Energy Technology Data Exchange (ETDEWEB)

Cifarelli, Giulio [University of Florence, Dipartimento di Scienze Economiche, via delle Pandette 9, 50127, Florence (Italy); Paladino, Giovanna [Economics Department, LUISS University (Italy); BIIS International Division (Italy)

2010-03-15

This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM following Shiller (1984) and Sentana and Wadhwani (1992). First, a univariate GARCH(1,1)-M is estimated assuming the risk premium to be a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973), which takes into account a larger investment opportunity set. Analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role played by speculation in the oil market, which is consistent with the observed large daily upward and downward shifts in prices - a clear evidence that it is not a fundamental-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor speculative activities on commodity markets more effectively are to be welcomed. (author)

Demand response with locational dynamic pricing to support the integration of renewables

International Nuclear Information System (INIS)

Dupont, B.; De Jonghe, C.; Olmos, L.; Belmans, R.

2014-01-01

Electricity production from centralised and decentralised renewable energy resources in Europe is gaining significance, resulting in operational challenges in the electricity system. Although these challenges add to the locational and time dependency of the underlying cost of operating the system, this variability in time and location is not reflected in residential tariff schemes. Consequently, residential users are not incentivised to react to varying system conditions and to help the integration of renewable energy resources. Therefore, this paper provides a theoretical framework for designing a locational dynamic pricing scheme. This can be used to assess existing tariff structures for consumption and injection, and can serve as a theoretical background for developing new tariff schemes. Starting from the underlying costs, this paper shows that the potential for locational dynamic pricing depends on the locational and time dependency of its cost drivers. When converting costs into tariffs, the tariff design should be determined. This includes the advance notice of sending tariffs to users, and the length of price blocks and price patterns. This tariff design should find a balance between tariff principles related to costs, practicality and social acceptability on the one hand, and the resulting demand response incentive on the other. - Highlights: • The integration of renewables affects the locational and time dependency of costs. • Locational dynamic pricing reflects cost variability and allows demand response. • A theoretical framework for designing and assessing tariff schemes is proposed. • Tariff variability depends on the locational and time dependency of its cost drivers. • The tariff design should consider the resulting demand response incentive

Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates

Directory of Open Access Journals (Sweden)

Jianbo Huang

2013-01-01

Full Text Available The convertible bonds usually have multiple additional provisions that make their pricing problem more difficult than straight bonds and options. This paper uses the binary tree method to model the finance market. As the underlying stock prices and the interest rates are important to the convertible bonds, we describe their dynamic processes by different binary tree. Moreover, we consider the influence of the credit risks on the convertible bonds that is described by the default rate and the recovery rate; then the two-factor binary tree model involving the credit risk is established. On the basis of the theoretical analysis, we make numerical simulation and get the pricing results when the stock prices are CRR model and the interest rates follow the constant volatility and the time-varying volatility, respectively. This model can be extended to other financial derivative instruments.

Dynamics relationship between stock prices and economic variables in Malaysia

Science.gov (United States)

Chun, Ooi Po; Arsad, Zainudin; Huen, Tan Bee

2014-07-01

Knowledge on linkages between stock prices and macroeconomic variables are essential in the formulation of effective monetary policy. This study investigates the relationship between stock prices in Malaysia (KLCI) with four selected macroeconomic variables, namely industrial production index (IPI), quasi money supply (MS2), real exchange rate (REXR) and 3-month Treasury bill (TRB). The variables used in this study are monthly data from 1996 to 2012. Vector error correction (VEC) model and Kalman filter (KF) technique are utilized to assess the impact of macroeconomic variables on the stock prices. The results from the cointegration test revealed that the stock prices and macroeconomic variables are cointegrated. Different from the constant estimate from the static VEC model, the KF estimates noticeably exhibit time-varying attributes over the entire sample period. The varying estimates of the impact coefficients should be better reflect the changing economic environment. Surprisingly, IPI is negatively related to the KLCI with the estimates of the impact slowly increase and become positive in recent years. TRB is found to be generally negatively related to the KLCI with the impact fluctuating along the constant estimate of the VEC model. The KF estimates for REXR and MS2 show a mixture of positive and negative impact on the KLCI. The coefficients of error correction term (ECT) are negative in majority of the sample period, signifying the stock prices responded to stabilize any short term deviation in the economic system. The findings from the KF model indicate that any implication that is based on the usual static model may lead to authorities implementing less appropriate policies.

Using Computer Techniques To Predict OPEC Oil Prices For Period 2000 To 2015 By Time-Series Methods

Directory of Open Access Journals (Sweden)

Mohammad Esmail Ahmad

2015-08-01

Full Text Available The instability in the world and OPEC oil process results from many factors through a long time. The problems can be summarized as that the oil exports dont constitute a large share of N.I. only but it also makes up most of the saving of the oil states. The oil prices affect their market through the interaction of supply and demand forces of oil. The research hypothesis states that the movement of oil prices caused shocks crises and economic problems. These shocks happen due to changes in oil prices need to make a prediction within the framework of economic planning in a short run period in order to avoid shocks through using computer techniques by time series models.

The roles of the trading time risks on stock investment return and risks in stock price crashes

Science.gov (United States)

Li, Jiang-Cheng; Dong, Zhi-Wei; Yang, Guo-Hui; Long, Chao

2017-03-01

The roles of the trading time risks (TTRs) on stock investment return and risks are investigated in the condition of stock price crashes with Hushen300 data (CSI300) and Dow Jones Industrial Average (ˆDJI), respectively. In order to describe the TTR, we employ the escape time that the stock price drops from the maximum to minimum value in a data window length (DWL). After theoretical and empirical research on probability density function of return, the results in both ˆDJI and CSI300 indicate that: (i) As increasing DWL, the expectation of returns and its stability are weakened. (ii) An optimal TTR is related to a maximum return and minimum risk of stock investment in stock price crashes.

Mass and energy-capital conservation equations to study the price evolution of non-renewable energy resources. Part II-Extension to resources sold to the market

International Nuclear Information System (INIS)

Gori, F.

2006-01-01

The time evolution of the price of resources sold to the market and of the price difference, between sold and extracted resources, is investigated in case of no accumulation of the resources; i.e. when the resources are extracted and sold to the market at the same mass flow rate. The price evolution of sold resources varies with time according to the relation between the price increase factor, PIF, of sold and extracted resources. The price evolutions of sold resources and price difference are investigated according to the relation between extraction rate and interest rate of extracted and sold resources. The price of sold resources and the price difference increase with time if the PIF of sold resources is greater than the PIF of extracted resources and the initial price is greater than the critical price of sold resources, which depends on the initial price of extracted resources and the interest rate of non-extracted and extracted resources. The price of sold resources and the price difference decrease with time if the PIF of sold resources is greater than the PIF of extracted resources and the initial price is smaller than the critical price of sold resources. The other cases are discussed extensively in the paper. (author)

TIME-VARYING DYNAMICAL STAR FORMATION RATE

Energy Technology Data Exchange (ETDEWEB)

Lee, Eve J.; Chang, Philip; Murray, Norman, E-mail: evelee@berkeley.edu [Canadian Institute for Theoretical Astrophysics, 60 St. George Street, University of Toronto, Toronto, ON M5S 3H8 (Canada)

2015-02-10

We present numerical evidence of dynamic star formation in which the accreted stellar mass grows superlinearly with time, roughly as t {sup 2}. We perform simulations of star formation in self-gravitating hydrodynamic and magnetohydrodynamic turbulence that is continuously driven. By turning the self-gravity of the gas in the simulations on or off, we demonstrate that self-gravity is the dominant physical effect setting the mass accretion rate at early times before feedback effects take over, contrary to theories of turbulence-regulated star formation. We find that gravitational collapse steepens the density profile around stars, generating the power-law tail on what is otherwise a lognormal density probability distribution function. Furthermore, we find turbulent velocity profiles to flatten inside collapsing regions, altering the size-line width relation. This local flattening reflects enhancements of turbulent velocity on small scales, as verified by changes to the velocity power spectra. Our results indicate that gas self-gravity dynamically alters both density and velocity structures in clouds, giving rise to a time-varying star formation rate. We find that a substantial fraction of the gas that forms stars arrives via low-density flows, as opposed to accreting through high-density filaments.

Time-varying and time-invariant dimensions of depression in children and adolescents: Implications for cross-informant agreement.

Science.gov (United States)

Cole, David A; Martin, Joan M; Jacquez, Farrah M; Tram, Jane M; Zelkowitz, Rachel; Nick, Elizabeth A; Rights, Jason D

2017-07-01

The longitudinal structure of depression in children and adolescents was examined by applying a Trait-State-Occasion structural equation model to 4 waves of self, teacher, peer, and parent reports in 2 age groups (9 to 13 and 13 to 16 years old). Analyses revealed that the depression latent variable consisted of 2 longitudinal factors: a time-invariant dimension that was completely stable over time and a time-varying dimension that was not perfectly stable over time. Different sources of information were differentially sensitive to these 2 dimensions. Among adolescents, self- and parent reports better reflected the time-invariant aspects. For children and adolescents, peer and teacher reports better reflected the time-varying aspects. Relatively high cross-informant agreement emerged for the time-invariant dimension in both children and adolescents. Cross-informant agreement for the time-varying dimension was high for adolescents but very low for children. Implications emerge for theoretical models of depression and for its measurement, especially when attempting to predict changes in depression in the context of longitudinal studies. (PsycINFO Database Record (c) 2017 APA, all rights reserved).

Heterogeneous convergence of regional house prices and the complexity in China

Directory of Open Access Journals (Sweden)

Rui Lin

2015-12-01

Full Text Available The purpose of this research is to analyze the convergence of regional house prices and its complexity in China. In this purpose it used nonlinear time varying factor model. The obtained results have provided evidences for the existence of some degree of segmentation in China’s housing market. By further dynamic analysis of the convergence, we have found that important housing policies from Chinese central government can significantly alter the housing market but with a time lag of 4 to 5 months, and that quite different behaviors exist between the new house market and the second-hand house market in China, which provides the evidence for the complexity of housing market in China. Multiple factors together are the driving forces for the regional house price convergence. And the driving forces differ among three clubs. The basic conclusion provided from the realized research is that the conventional definitions of economic regions may not be appropriate to analyze house price segregation in China. Heterogeneous convergence exists in China’s regional house prices, indicating the complexity of regional house prices in China. And housing policies should be implemented with different focus among the regions. The way of the central government is to make housing policies aiming at different sub-markets of the new house market and the second-hand house market.

PCA-based detection of damage in time-varying systems

Science.gov (United States)

Bellino, A.; Fasana, A.; Garibaldi, L.; Marchesiello, S.

2010-10-01

When performing Structural Health Monitoring, it is well known that the natural frequencies do not depend only on the damage but also on environmental conditions, such as temperature and humidity. The Principal Component Analysis is used to take this problem into account, because it allows eliminating the effect of external factors. The purpose of the present work is to show that this technique can be successfully used not only for time-invariant systems, but also for time-varying ones. Referring to the latter, one of the most studied systems which shows these characteristics is the bridge with crossing loads, such as the case of the railway bridge studied in present paper; in this case, the mass and the velocity of the train can be considered as "environmental" factors.This paper, after a brief description of the PCA method and one example of its application on time-invariant systems, presents the great potentialities of the methodology when applied to time-varying systems. The results show that this method is able to better detect the presence of damage and also to properly distinguish among different levels of crack depths.

PRICE AND PRICING STRATEGIES

OpenAIRE

SUCIU Titus

2013-01-01

In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...

Energy prices and substitution in United States manufacturing plants

Science.gov (United States)

Grim, Cheryl

Persistent regional disparities in electricity prices, growth in wholesale power markets, and recent deregulation attempts have intensified interest in the performance of the U.S. electric power industry, while skyrocketing fuel prices have brought renewed interest in the effect of changes in prices of all energy types on the U.S. economy. This dissertation examines energy prices and substitution between energy types in U.S. manufacturing. I use a newly constructed database that includes information on purchased electricity and electricity expenditures for more than 48,000 plants per year and additional data on the utilities that supply electricity to study the distribution of electricity prices paid by U.S. manufacturing plants from 1963 to 2000. I find a large compression in the dispersion of electricity prices from 1963 to 1978 due primarily to a decrease in quantity discounts for large electricity purchasers. I also find that spatial dispersion in retail electricity prices among states, counties and utility service territories is large, rises over time for smaller purchasers, and does not diminish as wholesale power markets expand in the 1990s. In addition, I examine energy type consumption patterns, prices, and substitution in U.S. manufacturing plants. I develop a plant-level dataset for 1998 with data on consumption and expenditures on energy and non-energy production inputs, output, and other plant characteristics. I find energy type consumption patterns vary widely across manufacturing plants. Further, I find a large amount of dispersion across plants in the prices paid for electricity, oil, natural gas, and coal. These high levels of dispersion are accounted for by the plant's location, industry, and purchase quantity. Finally, I present estimates of own- and cross-price elasticities of demand for both the energy and non-energy production inputs.

Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

DEFF Research Database (Denmark)

Amado, Christina; Teräsvirta, Timo

multiplier type misspecification tests. Finite-sample properties of these procedures and tests are examined by simulation. An empirical application to daily stock returns and another one to daily exchange rate returns illustrate the functioning and properties of our modelling strategy in practice......In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either ad- ditive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change...... in the conditional and unconditional variances where the transition between regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on a sequence of Lagrange multiplier tests, and the adequacy of the estimated models is investigated by Lagrange...

Production price of hydrogen from grid connected electrolysis in a power market with high wind penetration

International Nuclear Information System (INIS)

Joergensen, Claus; Ropenus, Stephanie

2008-01-01

In liberalized power markets, there are significant power price fluctuations due to independently varying changes in demand and supply, the latter being substantial in systems with high wind power penetration. In such systems, hydrogen production by grid connected electrolysis can be cost optimized by operating an electrolyzer part time. This paper presents a study on the minimization of the hydrogen production price and its dependence on estimated power price fluctuations. The calculation of power price fluctuations is based on a parameterization of existing data on wind power production, power consumption and power price evolution in the West Danish power market area. The price for hydrogen is derived as a function of the optimal electrolyzer operation hours per year for four different wind penetration scenarios. It is found to amount to 0.41-0.45 EUR/Nm 3 . The study further discusses the hydrogen price sensitivity towards investment costs and the contribution from non-wind power sources. (author)

Production price of hydrogen from grid connected electrolysis in a power market with high wind penetration

Energy Technology Data Exchange (ETDEWEB)

Joergensen, Claus [Materials Research Department, Risoe National Laboratory for Sustainable Energy, Technical University of Denmark, P.O. Box 49, Frederiksborgvej 399, DK-4000 Roskilde (Denmark); Ropenus, Stephanie [Systems Analysis Department, Risoe National Laboratory for Sustainable Energy, Technical University of Denmark, P.O. Box 49, Frederiksborgvej 399, DK-4000 Roskilde (Denmark)

2008-10-15

In liberalized power markets, there are significant power price fluctuations due to independently varying changes in demand and supply, the latter being substantial in systems with high wind power penetration. In such systems, hydrogen production by grid connected electrolysis can be cost optimized by operating an electrolyzer part time. This paper presents a study on the minimization of the hydrogen production price and its dependence on estimated power price fluctuations. The calculation of power price fluctuations is based on a parameterization of existing data on wind power production, power consumption and power price evolution in the West Danish power market area. The price for hydrogen is derived as a function of the optimal electrolyzer operation hours per year for four different wind penetration scenarios. It is found to amount to 0.41-0.45 EUR/Nm{sup 3}. The study further discusses the hydrogen price sensitivity towards investment costs and the contribution from non-wind power sources. (author)

Production price of hydrogen from grid connected electrolysis in a power market with high wind penetration.

Energy Technology Data Exchange (ETDEWEB)

Joergensen, Claus [Materials Research Department, Risoe National Laboratory for Sustainable Energy, Technical University of Denmark, P.O. Box 49, Frederiksborgvej 399, DK-4000 Roskilde (Denmark); Ropenus, Stephanie [Systems Analysis Department, Risoe National Laboratory for Sustainable Energy, Technical University of Denmark, P.O. Box 49, Frederiksborgvej 399, DK-4000 Roskilde (Denmark)

2008-10-15

In liberalized power markets, there are significant power price fluctuations due to independently varying changes in demand and supply, the latter being substantial in systems with high wind power penetration. In such systems, hydrogen production by grid connected electrolysis can be cost optimized by operating an electrolyzer part time. This paper presents a study on the minimization of the hydrogen production price and its dependence on estimated power price fluctuations. The calculation of power price fluctuations is based on a parameterization of existing data on wind power production, power consumption and power price evolution in the West Danish power market area. The price for hydrogen is derived as a function of the optimal electrolyzer operation hours per year for four different wind penetration scenarios. It is found to amount to 0.41-0.45 EUR/Nm{sup 3}. The study further discusses the hydrogen price sensitivity towards investment costs and the contribution from non-wind power sources. (author)

Short- and long-run time-of-use price elasticities in Swiss residential electricity demand

International Nuclear Information System (INIS)

Filippini, Massimo

2011-01-01

This paper presents an empirical analysis on the residential demand for electricity by time-of-day. This analysis has been performed using aggregate data at the city level for 22 Swiss cities for the period 2000-2006. For this purpose, we estimated two log-log demand equations for peak and off-peak electricity consumption using static and dynamic partial adjustment approaches. These demand functions were estimated using several econometric approaches for panel data, for example LSDV and RE for static models, and LSDV and corrected LSDV estimators for dynamic models. The attempt of this empirical analysis has been to highlight some of the characteristics of the Swiss residential electricity demand. The estimated short-run own price elasticities are lower than 1, whereas in the long-run these values are higher than 1. The estimated short-run and long-run cross-price elasticities are positive. This result shows that peak and off-peak electricity are substitutes. In this context, time differentiated prices should provide an economic incentive to customers so that they can modify consumption patterns by reducing peak demand and shifting electricity consumption from peak to off-peak periods. - Highlights: → Empirical analysis on the residential demand for electricity by time-of-day. → Estimators for dynamic panel data. → Peak and off-peak residential electricity are substitutes.

On the synchronization of neural networks containing time-varying delays and sector nonlinearity

International Nuclear Information System (INIS)

Yan, J.-J.; Lin, J.-S.; Hung, M.-L.; Liao, T.-L.

2007-01-01

We present a systematic design procedure for synchronization of neural networks subject to time-varying delays and sector nonlinearity in the control input. Based on the drive-response concept and the Lyapunov stability theorem, a memoryless decentralized control law is proposed which guarantees exponential synchronization even when input nonlinearity is present. The supplementary requirement that the time-derivative of time-varying delays must be smaller than one is released for the proposed control scheme. A four-dimensional Hopfield neural network with time-varying delays is presented as the illustrative example to demonstrate the effectiveness of the proposed synchronization scheme

Pricing decision model for new and remanufactured short-life cycle products with time-dependent demand

Directory of Open Access Journals (Sweden)

Shu San Gan

2015-12-01

Full Text Available In this study we develop a model that optimizes the price for new and remanufactured short life-cycle products where demands are time-dependent and price sensitive. While there has been very few published works that attempt to model remanufacturing decisions for products with short life cycle, we believe that there are many situations where remanufacturing short life cycle products is rewarding economically as well as environmentally. The system that we model consists of a retailer, a manufacturer, and a collector of used product from the end customers. Two different scenarios are evaluated for the system. The first is the independent situation where each party attempts to maximize his/her own total profit and the second is the joint profit model where we optimize the combined total profit for all three members of the supply chain. Manufacturer acts as the Stackelberg leader in the independently optimized scenario, while in the other the intermediate prices are determined by coordinated pricing policy. The results suggest that (i reducing the price of new products during the decline phase does not give better profit for the whole system, (ii the total profit obtained from optimizing each player is lower than the total profit of the integrated model, and (iii speed of change in demand influences the robustness of the prices as well as the total profit gained.

Price elasticity and medication use: cost sharing across multiple clinical conditions.

Science.gov (United States)

Gatwood, Justin; Gibson, Teresa B; Chernew, Michael E; Farr, Amanda M; Vogtmann, Emily; Fendrick, A Mark

2014-11-01

To address the impact that out-of-pocket prices may have on medication use, it is vital to understand how the demand for medications may be affected when patients are faced with changes in the price to acquire treatment and how price responsiveness differs across medication classes.  To examine the impact of cost-sharing changes on the demand for 8 classes of prescription medications. This was a retrospective database analysis of 11,550,363 commercially insured enrollees within the 2005-2009 MarketScan Database. Patient cost sharing, expressed as a price index for each medication class, was the main explanatory variable to examine the price elasticity of demand. Negative binomial fixed effect models were estimated to examine medication fills. The elasticity estimates reflect how use changes over time as a function of changes in copayments. Model estimates revealed that price elasticity of demand ranged from -0.015 to -0.157 within the 8 categories of medications (P  less than  0.01 for 7 of 8 categories). The price elasticity of demand for smoking deterrents was largest (-0.157, P  less than  0.0001), while demand for antiplatelet agents was not responsive to price (P  greater than 0.05). The price elasticity of demand varied considerably by medication class, suggesting that the influence of cost sharing on medication use may be related to characteristics inherent to each medication class or underlying condition.

Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads

DEFF Research Database (Denmark)

Ergemen, Yunus Emre; Haldrup, Niels; Rodríguez-Caballero, Carlos Vladimir

to strong seasonal periodicity, and along the cross-sectional dimension, i.e. the hours of the day, there is a strong dependence which necessarily has to be accounted for in order to avoid spurious inference when focusing on the time series dependence alone. The long-range dependence is modelled in terms...... of a fractionally integrated panel data model and it is shown that both prices and loads consist of common factors with long memory and with loadings that vary considerably during the day. Due to the competitiveness of the Nordic power market the aggregate supply curve approximates well the marginal costs...... data approaches to analyse the time series and the cross-sectional dependence of hourly Nord Pool electricity spot prices and loads for the period 2000-2013. Hourly electricity prices and loads data are characterized by strong serial long-range dependence in the time series dimension in addition...

Asymptotic stability of discrete-time systems with time-varying delay subject to saturation nonlinearities

International Nuclear Information System (INIS)

Chen, S.-F.

2009-01-01

The asymptotic stability problem for discrete-time systems with time-varying delay subject to saturation nonlinearities is addressed in this paper. In terms of linear matrix inequalities (LMIs), a delay-dependent sufficient condition is derived to ensure the asymptotic stability. A numerical example is given to demonstrate the theoretical results.

Exponential smoothing approaches for prediction in real-time electricity markets

DEFF Research Database (Denmark)

Jónsson, Tryggvi; Pinson, Pierre; Nielsen, Henrik Aalborg

2014-01-01

The optimal design of offering strategies for wind power producers is commonly based on unconditional (and, hence, constant) expectation values for prices in real-time markets, directly defining their loss function in a stochastic optimization framework. This is why it may certainly be advantageous...... to account for the seasonal and dynamic behavior of such prices, hence translating to time-varying loss functions. With that objective in mind, forecasting approaches relying on simple models that accommodate the seasonal and dynamic nature of real-time prices are derived and analyzed. These are all based...

Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study

Directory of Open Access Journals (Sweden)

Frédéric Délèze

2015-01-01

Full Text Available Markovian and non-Markovian\tmodels are presented to\tmodel the futures\tmarket price formation.\tWe show that\tthe\twaiting-time\tand\tthe\tsurvival\tprobabilities\thave\ta\tsignificant\timpact\ton\tthe\tprice\tdynamics.\tThis\tstudy tests\tanalytical\tsolutions\tand\tpresent\tnumerical\tresults for the\tprobability\tdensity function\tof the\tcontinuoustime random\twalk\tusing\ttick-by-tick\tquotes\tprices\tfor\tthe\tDAX\t30\tindex\tfutures.

Hydrogen from nuclear plus wind using real-time electricity prices. Abstract 154

International Nuclear Information System (INIS)

Miller, A.I.; Duffey, R.B.; Fairlie, M.

2004-01-01

'Full text:' During the early years of hydrogen's use as a vehicle fuel, penetration of the market will be small. This favours distributed production by electrolysis, which avoids the scale-dependent costs of distribution from centralized plants. For electrolysis actually to be the preferred option, capital equipment for electrolysis must be reasonably cheap but the dominant cost component is the electricity price. By about 2006, advanced designs of nuclear reactors should be available to produce electricity at around 30 US$/MW.h. The best approach to producing low-cost electrolytic hydrogen is shown to be use of such reactors to supply electricity to the grid at times of peak price and demand and to make hydrogen at other times. This model has been analysed using the actual prices of electricity paid by the Alberta Power Pool in 2002 and 2003 and by the Ontario Grid for 2003. The analysis shows clearly that this route electrolytic hydrogen can comfortably meet the US Department of Energy's hydrogen production-cost target of 2000$/t. Because of its low availability wind-produced electricity cannot meet this cost target. However, if wind availability can reach 35% availability, an intermittent supplementary current of wind-generated electricity may economically be fed to an electrolytic plant primarily supplied by nuclear power. Additional current raises the voltage for electrolysis but there would be only small additional capital costs. The two non-CO 2 -emitting sources, nuclear and wind (or other intermittent renewables with costs comparable to advanced nuclear) could become complementary, providing an affordable way of storing wind-generated electricity. (author)

The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model

International Nuclear Information System (INIS)

Kallabis, Thomas; Pape, Christian; Weber, Christoph

2016-01-01

The German market has seen a plunge in wholesale electricity prices from 2007 until 2014, with base futures prices dropping by more than 40%. This is frequently attributed to the unexpected high increase in renewable power generation. Using a parsimonious fundamental model, we determine the respective impact of supply and demand shocks on electricity futures prices. The used methodology is based on a piecewise linear approximation of the supply stack and time-varying price-inelastic demand. This parsimonious model is able to replicate electricity futures prices and discover non-linear dependencies in futures price formation. We show that emission prices have a higher impact on power prices than renewable penetration. Changes in renewables, demand and installed capacities turn out to be similarly important for explaining the decrease in operation margins of conventional power plants. We thus argue for the establishment of an independent authority to stabilize emission prices. - Highlights: •We build a parsimonious fundamental model based on a piecewise linear bid stack. •We use the model to investigate impact factors for the plunge in German futures prices. •Largest impact by CO_2 price developments followed by demand and renewable feed-in. •Power plant operating profits strongly affected by demand and renewables. •We argue that stabilizing CO_2 emission prices could provide better market signals.

Retrospective evaluation of appliance price trends

International Nuclear Information System (INIS)

Dale, Larry; Antinori, Camille; McNeil, Michael; McMahon, James E.; Sydny Fujita, K.

2009-01-01

Real prices of major appliances (refrigerators, dishwashers, heating and cooling equipment) have been falling since the late 1970s despite increases in appliance efficiency and other quality variables. This paper demonstrates that historic increases in efficiency over time, including those resulting from minimum efficiency standards, incur smaller price increases than were expected by the Department of Energy (DOE) forecasts made in conjunction with standards. This effect can be explained by technological innovation, which lowers the cost of efficiency, and by market changes contributing to lower markups and economies of scale in production of higher efficiency units. We reach four principal conclusions about appliance trends and retail price setting: 1.For the past several decades, the retail price of appliances has been steadily falling while efficiency has been increasing. 2.Past retail price predictions made by the DOE analyses of efficiency standards, assuming constant prices over time, have tended to overestimate retail prices. 3.The average incremental price to increase appliance efficiency has declined over time. DOE technical support documents have typically overestimated this incremental price and retail prices. 4.Changes in retail markups and economies of scale in production of more efficient appliances may have contributed to declines in prices of efficient appliances

Systems analysis approach to the design of efficient water pricing policies under the EU water framework directive

DEFF Research Database (Denmark)

Riegels, Niels; Pulido-Velazquez, Manuel; Doulgeris, Charalampos

2013-01-01

management objectives. However, the design and implementation of economic instruments for water management, including water pricing, has emerged as a challenging aspect of WFD implementation. This study demonstrates the use of a systems analysis approach to designing and comparing two economic approaches......Economic theory suggests that water pricing can contribute to efficient management of water scarcity. The European Union (EU) Water Framework Directive (WFD) is a major legislative effort to introduce the use of economic instruments to encourage efficient water use and achieve environmental...... to efficient management of groundwater and surface water given EU WFD ecological flow requirements. Under the first approach, all wholesale water users in a river basin face the same volumetric price for water. This water price does not vary in space or in time, and surface water and groundwater are priced...

Prices and Price Setting

NARCIS (Netherlands)

R.P. Faber (Riemer)

2010-01-01

textabstractThis thesis studies price data and tries to unravel the underlying economic processes of why firms have chosen these prices. It focuses on three aspects of price setting. First, it studies whether the existence of a suggested price has a coordinating effect on the prices of firms.

PRICING STRATEGY FOR DIGITAL PRODUCTS

Directory of Open Access Journals (Sweden)

MARIA MAGDALENA CRIVEANU

2018-02-01

Full Text Available The current society imposes an alert pace on companies that need to adapt to change, become more flexible and adopt new strategies to maintain market share. Digital marketing is a useful tool for promoting products, as customers can access a range of product information at any time and from anywhere. At the same time, another advantage on the part of companies is the lower promotion costs as compared to traditional promotional methods, as well as the establishment of a connection and a communication bridge with each client. The most important component in the process of purchasing a product is inevitably the price. It communicates a series of information about the product and the customer so that the price can be an important element of persuasion in relation to other marketing strategies. Most of the time, the smallest price is the most important factor in making a decision about buying a product, and digital marketing offers the posibility to compare prices. In this sense, digital marketing can provide both an advantage and a disadvantage for traders, as the small price may invalidate other marketing strategies or product features. In this sense, pricing is a challenge for marketing departments because the pricing strategy is deferring from the sterile formula of pricing which meant covering costs and making profit. This paper aims to analyze the extent to which price is an important element in purchasing a product, as well as highlighting a variety of methods and techniques used in pricing. Quantitative research is based on a questionnaire applied to 100 respondents in order to identify the correct pricing strategy. Research results communicate an important message to merchants who have to adjust the price of each buyer individually, so that the buyer profile is particularly important in setting the price.

Aim High or Go Low? Pricing Strategies and Enrollment Effects when the Net Price Elasticity Varies with Need and Ability

Science.gov (United States)

Curs, Bradley R.; Singell, Larry D., Jr.

2010-01-01

Detailed data on individual applicants to a large public university are used to demonstrate that net price responsiveness decreases with need and ability. Enrollment effects are simulated and show a movement towards a high tuition/high aid (low tuition/low aid) policy significantly lowers (raises) tuition revenue with a modest increase (decrease)…

Trading network predicts stock price.

Science.gov (United States)

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi

2014-01-16

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.

Time-Varying Biased Proportional Guidance with Seeker’s Field-of-View Limit

OpenAIRE

Yang, Zhe; Wang, Hui; Lin, Defu

2016-01-01

Traditional guidance laws with range-to-go information or time-to-go estimation may not be implemented in passive homing missiles since passive seekers cannot measure relative range directly. A time-varying biased proportional guidance law, which only uses line-of-sight (LOS) rate and look angle information, is proposed to satisfy both impact angle constraint and seeker’s field-of-view (FOV) limit. In the proposed guidance law, two time-varying bias terms are applied to divide the trajectory ...

Simple Model with Time-Varying Fine-Structure ``Constant''

Science.gov (United States)

Berman, M. S.

2009-10-01

Extending the original version written in colaboration with L.A. Trevisan, we study the generalisation of Dirac's LNH, so that time-variation of the fine-structure constant, due to varying electrical and magnetic permittivities is included along with other variations (cosmological and gravitational ``constants''), etc. We consider the present Universe, and also an inflationary scenario. Rotation of the Universe is a given possibility in this model.

Multivariate Time Series Forecasting of Crude Palm Oil Price Using Machine Learning Techniques

Science.gov (United States)

Kanchymalay, Kasturi; Salim, N.; Sukprasert, Anupong; Krishnan, Ramesh; Raba'ah Hashim, Ummi

2017-08-01

The aim of this paper was to study the correlation between crude palm oil (CPO) price, selected vegetable oil prices (such as soybean oil, coconut oil, and olive oil, rapeseed oil and sunflower oil), crude oil and the monthly exchange rate. Comparative analysis was then performed on CPO price forecasting results using the machine learning techniques. Monthly CPO prices, selected vegetable oil prices, crude oil prices and monthly exchange rate data from January 1987 to February 2017 were utilized. Preliminary analysis showed a positive and high correlation between the CPO price and soy bean oil price and also between CPO price and crude oil price. Experiments were conducted using multi-layer perception, support vector regression and Holt Winter exponential smoothing techniques. The results were assessed by using criteria of root mean square error (RMSE), means absolute error (MAE), means absolute percentage error (MAPE) and Direction of accuracy (DA). Among these three techniques, support vector regression(SVR) with Sequential minimal optimization (SMO) algorithm showed relatively better results compared to multi-layer perceptron and Holt Winters exponential smoothing method.

Production Costs of Alternative Transportation Fuels. Influence of Crude Oil Price and Technology Maturity

Energy Technology Data Exchange (ETDEWEB)

Cazzola, Pierpaolo; Morrison, Geoff; Kaneko, Hiroyuki; Cuenot, Francois; Ghandi, Abbas; Fulton, Lewis

2013-07-01

This study examines the production costs of a range of transport fuels and energy carriers under varying crude oil price assumptions and technology market maturation levels. An engineering ''bottom-up'' approach is used to estimate the effect of the input cost of oil and of various technological assumptions on the finished price of these fuels. In total, the production costs of 20 fuels are examined for crude oil prices between USD 60 and USD 150 per barrel. Some fuel pathways can be competitive with oil as their production, transport and storage technology matures, and as oil price increases. Rising oil prices will offer new opportunities to switch to alternative fuels for transport, to diversify the energy mix of the transport sector, and to reduce the exposure of the whole system to price volatility and potential distuption of supply. In a time of uncertainty about the leading vehicle technology to decarbonize the transport sector, looking at the fuel cost brings key information to be considered to keep mobility affordable yet sustainable.

Scattering of a TEM wave from a time varying surface

Science.gov (United States)

Elcrat, Alan R.; Harder, T. Mark; Stonebraker, John T.

1990-03-01

A solution is given for reflection of a plane wave with TEM polarization from a planar surface with time varying properties. These properties are given in terms of the currents on the surface. The solution is obtained by numerically solving a system of differential-delay equations in the time domain.

A Survey of Utility Experience with Real Time Pricing

Energy Technology Data Exchange (ETDEWEB)

Barbose, Galen; Goldman, Charles; Neenan, Bernie

2004-12-01

While more than 70 utilities in the U.S. have offered voluntary RTP tariffs on either a pilot or permanent basis, most have operated in relative obscurity. To bring this broad base of experience to bear on policymakers current efforts to stimulate price responsive demand, we conducted a survey of 43 voluntary RTP tariffs offered in 2003. The survey involved telephone interviews with RTP program managers and other utility staff, as well as a review of regulatory documents, tariff sheets, program evaluations, and other publicly available sources. Based on this review of RTP program experience, we identify key trends related to: utilities motivations for implementing RTP, evolution of RTP tariff design, program participation, participant price response, and program outlook. We draw from these findings to discuss implications for policymakers that are currently considering voluntary RTP as a strategy for developing price responsive demand.

On the Trade-off Between Real-time Pricing and the Social Acceptability Costs of Demand Response

DEFF Research Database (Denmark)

da Silva, Hendrigo Batista; Santiago, Leonardo

2018-01-01

on the social acceptability costs of implementing demand response programs, and we discuss the key features of implementing a real-time price to energy. Although the literature acknowledges the existence of a social acceptability cost, it does not propose an explicit approach to dealing with this issue. A model...... for investigating the implications of the social acceptability cost is thus introduced and through it, we discuss thoroughly the joint impact of the elasticity and externality parameters on the tariff design of a demand response program. We explore how the increases in elasticity and in externality effects...... influence price changes in such programs and how the social acceptability cost could be reduced as a function of pricing policies. We conclude by discussing the policy design mechanisms in line with demand elasticity and their role in decreasing price variations to cope with the minimum volatility principle...

Dynamic pricing of a resource

KAUST Repository

Al-Dawsari, Monther Abdullah; Jamjoom, Hani Talal; Podlaseck, Mark Edward; Qu, Huiming; Ruan, Yaoping; Saure, Denis Roland; Shae, Zon-yin; Sheopuri, Anshul

2013-01-01

A method of dynamic pricing of a resource is presented. For example, the method includes determining a set of anticipated demands for one or more users to acquire the resource according to uncertainty of the one or more users in preferring one or more certain time periods of a plurality of time periods for acquiring the resource. Prices for the resource differ between at least two of the plurality of time periods. Each anticipated demand of the set is associated with a different one of the plurality of time periods. The method further includes setting prices for the resource during each of the plurality of time periods according to the determined set of anticipated demands. The determining of the set of anticipated demands and/or the setting of prices are implemented as instruction code executed on a processor device.

Dynamic pricing of a resource

KAUST Repository

Al-Dawsari, Monther Abdullah

2013-06-04

A method of dynamic pricing of a resource is presented. For example, the method includes determining a set of anticipated demands for one or more users to acquire the resource according to uncertainty of the one or more users in preferring one or more certain time periods of a plurality of time periods for acquiring the resource. Prices for the resource differ between at least two of the plurality of time periods. Each anticipated demand of the set is associated with a different one of the plurality of time periods. The method further includes setting prices for the resource during each of the plurality of time periods according to the determined set of anticipated demands. The determining of the set of anticipated demands and/or the setting of prices are implemented as instruction code executed on a processor device.

High-Speed Rail Train Timetabling Problem: A Time-Space Network Based Method with an Improved Branch-and-Price Algorithm

Directory of Open Access Journals (Sweden)

Bisheng He

2014-01-01

Full Text Available A time-space network based optimization method is designed for high-speed rail train timetabling problem to improve the service level of the high-speed rail. The general time-space path cost is presented which considers both the train travel time and the high-speed rail operation requirements: (1 service frequency requirement; (2 stopping plan adjustment; and (3 priority of train types. Train timetabling problem based on time-space path aims to minimize the total general time-space path cost of all trains. An improved branch-and-price algorithm is applied to solve the large scale integer programming problem. When dealing with the algorithm, a rapid branching and node selection for branch-and-price tree and a heuristic train time-space path generation for column generation are adopted to speed up the algorithm computation time. The computational results of a set of experiments on China’s high-speed rail system are presented with the discussions about the model validation, the effectiveness of the general time-space path cost, and the improved branch-and-price algorithm.

Contact Dynamics of EHL Contacts under Time Varying Conditions

NARCIS (Netherlands)

Venner, Cornelis H.; Popovici, G.; Wijnant, Ysbrand H.; Dalmaz, G.; Lubrecht, A.A.; Priest, M

2004-01-01

By means of numerical simulations of two situations with time varying operating conditions it is shown that the dynamic behaviour of Elasto-Hydrodynamically Lubricated contacts in terms of vibrations can be characterized as: Changes in the mutual approach lead to film thickness changes in the inlet

The evolution of price elasticity of electricity demand in South Africa: A Kalman filter application

International Nuclear Information System (INIS)

Inglesi-Lotz, R.

2011-01-01

In South Africa, the electricity mismatch of supply and demand has been of major concern. Additional to past problems, the 2008 electricity crisis made the solution crucial after its damaging consequences to the economy. The disagreement on the need and consequences of the continuous electricity price hikes worsens the situation. To contribute to the recent electricity debate, this paper proposes a time-varying price elasticity of demand for electricity; the sensitivity of electricity consumption to price fluctuations changes throughout the years. The main purpose of this study is the estimation of the price elasticity of electricity in South Africa during the period 1980-2005 by employing an advanced econometric technique, the Kalman filter. Apart from the decreasing effect of electricity prices to consumption (-71.8% in the 1990s and -94.5% in the 2000s in average), our results conclude to an important finding: the higher the prices (for example in the 1980s) the higher the sensitivity of consumers to price fluctuations. Thus, further increases of the electricity prices may lead to changes in the behaviour of electricity consumers, focusing their efforts on improving their efficiency levels by introducing demand-side management techniques or even turning to other sources of - cheaper - energy. - Highlights: → The price elasticity of South Africa's electricity demand (1980-2005) is examined. → The Kalman filter methodology is used to show elasticity changes over time. → Decreasing effect of electricity prices to consumption over the years is found. → The higher the prices of electricity were, the higher the sensitivity of consumption. → If electricity prices increase, consumers will choose to consume more efficiently.

The evolution of price elasticity of electricity demand in South Africa: A Kalman filter application

Energy Technology Data Exchange (ETDEWEB)

Inglesi-Lotz, R., E-mail: roula.inglesi@up.ac.za [Department of Economics, EMS Building, University of Pretoria, Gauteng 0002 (South Africa)

2011-06-15

In South Africa, the electricity mismatch of supply and demand has been of major concern. Additional to past problems, the 2008 electricity crisis made the solution crucial after its damaging consequences to the economy. The disagreement on the need and consequences of the continuous electricity price hikes worsens the situation. To contribute to the recent electricity debate, this paper proposes a time-varying price elasticity of demand for electricity; the sensitivity of electricity consumption to price fluctuations changes throughout the years. The main purpose of this study is the estimation of the price elasticity of electricity in South Africa during the period 1980-2005 by employing an advanced econometric technique, the Kalman filter. Apart from the decreasing effect of electricity prices to consumption (-71.8% in the 1990s and -94.5% in the 2000s in average), our results conclude to an important finding: the higher the prices (for example in the 1980s) the higher the sensitivity of consumers to price fluctuations. Thus, further increases of the electricity prices may lead to changes in the behaviour of electricity consumers, focusing their efforts on improving their efficiency levels by introducing demand-side management techniques or even turning to other sources of - cheaper - energy. - Highlights: > The price elasticity of South Africa's electricity demand (1980-2005) is examined. > The Kalman filter methodology is used to show elasticity changes over time. > Decreasing effect of electricity prices to consumption over the years is found. > The higher the prices of electricity were, the higher the sensitivity of consumption. > If electricity prices increase, consumers will choose to consume more efficiently.

The extinction probability in systems randomly varying in time

Directory of Open Access Journals (Sweden)

Imre Pázsit

2017-09-01

Full Text Available The extinction probability of a branching process (a neutron chain in a multiplying medium is calculated for a system randomly varying in time. The evolution of the first two moments of such a process was calculated previously by the authors in a system randomly shifting between two states of different multiplication properties. The same model is used here for the investigation of the extinction probability. It is seen that the determination of the extinction probability is significantly more complicated than that of the moments, and it can only be achieved by pure numerical methods. The numerical results indicate that for systems fluctuating between two subcritical or two supercritical states, the extinction probability behaves as expected, but for systems fluctuating between a supercritical and a subcritical state, there is a crucial and unexpected deviation from the predicted behaviour. The results bear some significance not only for neutron chains in a multiplying medium, but also for the evolution of biological populations in a time-varying environment.

TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION

OpenAIRE

Olan T. Henry; Nilss Olekalns; Kalvinder Shields

2004-01-01

The International Capital Asset Pricing Model measures country risk in terms of the conditional covariance of national returns with the world return. Using impulse responses from a multivariate nonlinear model we provide evidence of time variation and asymmetry in the measure of country risk. and the implied benefit to international diversification. The evidence implies that the price of risk and the benefits from diversification may differ in a statistically and economically meaningful fashi...

Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle

International Nuclear Information System (INIS)

Sadorsky, Perry

2008-01-01

Recent empirical research has found evidence of a relationship between oil price movements and stock prices. Most published research investigates the relationship between oil price movements and stock prices using either economy-wide measures of stock prices or industry sector measures of stock prices. An important question that has largely gone unanswered relates to the relationship between oil prices and stock prices when the size of firms is allowed to vary. Relative to large firms, do oil price movements have larger or smaller impacts on the stock prices of small- or medium-sized firms? The answer to this question could have important policy implications that affect economic growth and prosperity. In this paper, a panel of firms is followed over a 17-year period to investigate the relationship between oil price movements, firm size, and stock prices. Evidence is found that shows the relationship between oil price movements and stock prices does vary with firm size and the relationship is strongest for medium-sized firms

The pricing of capital services over time

International Nuclear Information System (INIS)

Valle, A.P.D.; Watkins, G.C.

1990-01-01

In 1982, the Canadian National Energy Board and McGill University sponsored a conference on pipeline regulation in an inflationary era, focussing especially on the possible introduction of some form of tariff levelling. Ironically, shortly after the conference proceedings were published the very concerns addressed receded: inflation declined markedly and emerging weaknesses in oil and gas prices saw the demise or deferral of big projects with large up-front investments, the very projects which had excited interest in developing new regulatory techniques. This paper is organized in three main sections. Section I outlines the problems raised by traditional tariff regulation. Section II develops and discusses theoretical aspects of alternative rate structures. Section II focuses on practical problems of implementing rate structures that, on the face of it, have a better economic rationale than cost-of-service style pricing. Concluding remarks are made in Section IV

Discrete-Time Pricing and Optimal Exercise of American Perpetual Warrants in the Geometric Random Walk Model

International Nuclear Information System (INIS)

Vanderbei, Robert J.; Pınar, Mustafa Ç.; Bozkaya, Efe B.

2013-01-01

An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option differs from a plain American option in that it does not expire. In this study, we solve the optimal stopping problem of a perpetual American option (both call and put) in discrete time using linear programming duality. Under the assumption that the underlying stock price follows a discrete time and discrete state Markov process, namely a geometric random walk, we formulate the pricing problem as an infinite dimensional linear programming (LP) problem using the excessive-majorant property of the value function. This formulation allows us to solve complementary slackness conditions in closed-form, revealing an optimal stopping strategy which highlights the set of stock-prices where the option should be exercised. The analysis for the call option reveals that such a critical value exists only in some cases, depending on a combination of state-transition probabilities and the economic discount factor (i.e., the prevailing interest rate) whereas it ceases to be an issue for the put.

Discrete-Time Pricing and Optimal Exercise of American Perpetual Warrants in the Geometric Random Walk Model

Energy Technology Data Exchange (ETDEWEB)

Vanderbei, Robert J., E-mail: rvdb@princeton.edu [Princeton University, Department of Operations Research and Financial Engineering (United States); P Latin-Small-Letter-Dotless-I nar, Mustafa C., E-mail: mustafap@bilkent.edu.tr [Bilkent University, Department of Industrial Engineering (Turkey); Bozkaya, Efe B. [Sabanc Latin-Small-Letter-Dotless-I University, Faculty of Administrative Sciences (Turkey)

2013-02-15

An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option differs from a plain American option in that it does not expire. In this study, we solve the optimal stopping problem of a perpetual American option (both call and put) in discrete time using linear programming duality. Under the assumption that the underlying stock price follows a discrete time and discrete state Markov process, namely a geometric random walk, we formulate the pricing problem as an infinite dimensional linear programming (LP) problem using the excessive-majorant property of the value function. This formulation allows us to solve complementary slackness conditions in closed-form, revealing an optimal stopping strategy which highlights the set of stock-prices where the option should be exercised. The analysis for the call option reveals that such a critical value exists only in some cases, depending on a combination of state-transition probabilities and the economic discount factor (i.e., the prevailing interest rate) whereas it ceases to be an issue for the put.

Tolerable Time-Varying Overflow on Grass-Covered Slopes

Directory of Open Access Journals (Sweden)

Steven A. Hughes

2015-03-01

Full Text Available Engineers require estimates of tolerable overtopping limits for grass-covered levees, dikes, and embankments that might experience steady overflow. Realistic tolerance estimates can be used for both resilient design and risk assessment. A simple framework is developed for estimating tolerable overtopping on grass-covered slopes caused by slowly-varying (in time overtopping discharge (e.g., events like storm surges or river flood waves. The framework adapts the well-known Hewlett curves of tolerable limiting velocity as a function of overflow duration. It has been hypothesized that the form of the Hewlett curves suggests that the grass erosion process is governed by the flow work on the slope above a critical threshold velocity (referred to as excess work, and the tolerable erosional limit is reached when the cumulative excess work exceeds a given value determined from the time-dependent Hewlett curves. The cumulative excess work is expressed in terms of overflow discharge above a critical discharge that slowly varies in time, similar to a discharge hydrograph. The methodology is easily applied using forecast storm surge hydrographs at specific locations where wave action is minimal. For preliminary planning purposes, when storm surge hydrographs are unavailable, hypothetical equations for the water level and overflow discharge hydrographs are proposed in terms of the values at maximum overflow and the total duration of overflow. An example application is given to illustrate use of the methodology.

Overview of external reference pricing systems in Europe.

Science.gov (United States)

Rémuzat, Cécile; Urbinati, Duccio; Mzoughi, Olfa; El Hammi, Emna; Belgaied, Wael; Toumi, Mondher

2015-01-01

External reference pricing (ERP) is a price regulation tool widely used by policy makers in the European Union (EU) Member States (MS) to contain drug cost, although in theory, it may contribute to modulate prices up and down. The objective of this article was to summarise and discuss the main findings of part of a large project conducted for the European Commission ('External reference pricing of medicinal products: simulation-based considerations for cross-country coordination'; see www.ec.europa.eu/health/healthcare/docs/erp_reimbursement_medicinal_products_en.pdf) that aimed to provide an overview of ERP systems, both on processes and potential issues in 31 European countries (28 EU MS, Iceland, Norway, and Switzerland). A systematic structured literature review was conducted to identify and characterise the use of ERP in the selected countries, to describe its impact on the prices of pharmaceuticals, and to discuss the possible cross-country coordination issues in EU MS. This research was complemented with a consultation of competent authorities' and international organisations' representatives to address the main issues or uncertainties identified through the literature review. All selected countries applied ERP, except the United Kingdom and Sweden. Twenty-three countries used ERP as the main systematic criterion for pricing. In the majority of European countries, ERP was based on legislated pricing rules with different levels of accuracy. ERP was applied either for all marketed drugs or for specific categories of medicines; it was mainly used for publicly reimbursed medicines. The number of reference countries included in the basket varied from 1 to 31. There was a great variation in the calculation methods used to compute the price; 15 countries used the average price, 7 countries used the lowest price, and 7 countries used other calculation methods. Reported limitations of ERP application included the lack of reliable sources of price information, price

Finite-Time H∞ Filtering for Linear Continuous Time-Varying Systems with Uncertain Observations

Directory of Open Access Journals (Sweden)

Huihong Zhao

2012-01-01

Full Text Available This paper is concerned with the finite-time H∞ filtering problem for linear continuous time-varying systems with uncertain observations and ℒ2-norm bounded noise. The design of finite-time H∞ filter is equivalent to the problem that a certain indefinite quadratic form has a minimum and the filter is such that the minimum is positive. The quadratic form is related to a Krein state-space model according to the Krein space linear estimation theory. By using the projection theory in Krein space, the finite-time H∞ filtering problem is solved. A numerical example is given to illustrate the performance of the H∞ filter.

Affordability of cataract surgery using the Big Mac prices

OpenAIRE

Van C. Lansingh; Marissa J. Carter; Kristen A. Eckert; Kevin L. Winthrop; João M. Furtado; Serge Resnikoff

2015-01-01

Purpose: One barrier to cataract surgery is its high price in some countries. This study aims to understand to what extent the price of cataract surgery is over- or undervalued and whether it varies in relation to GDP using The Economist newspaper Big Mac Index (BMcI) methodology, which measures the purchasing power parity between different currencies. Methods: Peer-reviewed articles containing information on cataract surgery prices were searched from 1993 to June 2012 in databases. Ophtha...

Two-dimensional phononic crystals with time-varying properties: a multiple scattering analysis

International Nuclear Information System (INIS)

Wright, D W; Cobbold, R S C

2010-01-01

Multiple scattering theory is a versatile two- and three-dimensional method for characterizing the acoustic wave transmission through many scatterers. It provides analytical solutions to wave propagation in scattering structures, and its computational complexity grows logarithmically with the number of scatterers. In this paper we show how the 2D method can be adapted to include the effects of time-varying material parameters. Specifically, a new T-matrix is defined to include the effects of frequency modulation that occurs in time-varying phononic crystals. Solutions were verified against finite difference time domain (FDTD) simulations and showed excellent agreement. This new method enables fast characterization of time-varying phononic crystals without the need to resort to lengthy FDTD simulations. Also, the method of combining T-matrices to form the T-supermatrix remains unchanged provided that the new matrix definitions are used. The method is quite compatible with existing implementations of multiple scattering theory and could be readily extended to three-dimensional multiple scattering theory

Time-varying output performances of piezoelectric vibration energy harvesting under nonstationary random vibrations

Science.gov (United States)

Yoon, Heonjun; Kim, Miso; Park, Choon-Su; Youn, Byeng D.

2018-01-01

Piezoelectric vibration energy harvesting (PVEH) has received much attention as a potential solution that could ultimately realize self-powered wireless sensor networks. Since most ambient vibrations in nature are inherently random and nonstationary, the output performances of PVEH devices also randomly change with time. However, little attention has been paid to investigating the randomly time-varying electroelastic behaviors of PVEH systems both analytically and experimentally. The objective of this study is thus to make a step forward towards a deep understanding of the time-varying performances of PVEH devices under nonstationary random vibrations. Two typical cases of nonstationary random vibration signals are considered: (1) randomly-varying amplitude (amplitude modulation; AM) and (2) randomly-varying amplitude with randomly-varying instantaneous frequency (amplitude and frequency modulation; AM-FM). In both cases, this study pursues well-balanced correlations of analytical predictions and experimental observations to deduce the relationships between the time-varying output performances of the PVEH device and two primary input parameters, such as a central frequency and an external electrical resistance. We introduce three correlation metrics to quantitatively compare analytical prediction and experimental observation, including the normalized root mean square error, the correlation coefficient, and the weighted integrated factor. Analytical predictions are in an excellent agreement with experimental observations both mechanically and electrically. This study provides insightful guidelines for designing PVEH devices to reliably generate electric power under nonstationary random vibrations.

Time-varying effect moderation using the structural nested mean model: estimation using inverse-weighted regression with residuals

Science.gov (United States)

Almirall, Daniel; Griffin, Beth Ann; McCaffrey, Daniel F.; Ramchand, Rajeev; Yuen, Robert A.; Murphy, Susan A.

2014-01-01

This article considers the problem of examining time-varying causal effect moderation using observational, longitudinal data in which treatment, candidate moderators, and possible confounders are time varying. The structural nested mean model (SNMM) is used to specify the moderated time-varying causal effects of interest in a conditional mean model for a continuous response given time-varying treatments and moderators. We present an easy-to-use estimator of the SNMM that combines an existing regression-with-residuals (RR) approach with an inverse-probability-of-treatment weighting (IPTW) strategy. The RR approach has been shown to identify the moderated time-varying causal effects if the time-varying moderators are also the sole time-varying confounders. The proposed IPTW+RR approach provides estimators of the moderated time-varying causal effects in the SNMM in the presence of an additional, auxiliary set of known and measured time-varying confounders. We use a small simulation experiment to compare IPTW+RR versus the traditional regression approach and to compare small and large sample properties of asymptotic versus bootstrap estimators of the standard errors for the IPTW+RR approach. This article clarifies the distinction between time-varying moderators and time-varying confounders. We illustrate the methodology in a case study to assess if time-varying substance use moderates treatment effects on future substance use. PMID:23873437

Evaluating drug prices, availability, affordability, and price components: implications for access to drugs in Malaysia.

Science.gov (United States)

Babar, Zaheer Ud Din; Ibrahim, Mohamed Izham Mohamed; Singh, Harpal; Bukahri, Nadeem Irfan; Creese, Andrew

2007-03-27

Malaysia's stable health care system is facing challenges with increasing medicine costs. To investigate these issues a survey was carried out to evaluate medicine prices, availability, affordability, and the structure of price components. The methodology developed by the World Health Organization (WHO) and Health Action International (HAI) was used. Price and availability data for 48 medicines was collected from 20 public sector facilities, 32 private sector retail pharmacies and 20 dispensing doctors in four geographical regions of West Malaysia. Medicine prices were compared with international reference prices (IRPs) to obtain a median price ratio. The daily wage of the lowest paid unskilled government worker was used to gauge the affordability of medicines. Price component data were collected throughout the supply chain, and markups, taxes, and other distribution costs were identified. In private pharmacies, innovator brand (IB) prices were 16 times higher than the IRPs, while generics were 6.6 times higher. In dispensing doctor clinics, the figures were 15 times higher for innovator brands and 7.5 for generics. Dispensing doctors applied high markups of 50%-76% for IBs, and up to 316% for generics. Retail pharmacy markups were also high-25%-38% and 100%-140% for IBs and generics, respectively. In the public sector, where medicines are free, availability was low even for medicines on the National Essential Drugs List. For a month's treatment for peptic ulcer disease and hypertension people have to pay about a week's wages in the private sector. The free market by definition does not control medicine prices, necessitating price monitoring and control mechanisms. Markups for generic products are greater than for IBs. Reducing the base price without controlling markups may increase profits for retailers and dispensing doctors without reducing the price paid by end users. To increase access and affordability, promotion of generic medicines and improved availability

Identification of Time Varying Civil Engineering Structures using Multivariate Recursive Time Domain Models

DEFF Research Database (Denmark)

Andersen, P.; Skjærbæk, P. S.; Kirkegaard, Poul Henning

with the smoothed quanties which have been obtained from SARCOF. The results show the usefulness of the technique for identification of a time varying civil engineering structure. It is found that all the techniques give reliable estiates of the frequencies of the two lowest modes and the first mode shape. Only...

Hydrogen from nuclear plus wind using real-time electricity prices

International Nuclear Information System (INIS)

Miller, A.I.; Duffey, R.B.; Fairlie, M.; Anders, P.

2004-01-01

During the early years of hydrogen's use as a vehicle fuel, penetration of the market will be small. This favours distributed production by electrolysis, which avoids the scale-dependent costs of distribution from centralized plants. For electrolysis actually to be the preferred option, capital equipment for electrolysis must be reasonably cheap but the dominant cost component is the electricity price. By about 2006, advanced designs of nuclear reactors should be available to produce electricity at around 30 US$/MW.h at the plant gate. The best approach to producing low-cost electrolytic hydrogen is shown to be use of such reactors to supply electricity to the grid at times of peak price and demand and to make hydrogen at other times In this paper, this model has been used to calculate the production costs for electrolytic hydrogen at the location where the electricity is generated, using the actual prices of electricity paid by the Alberta Power Pool in 2002 and 2003 and by the Ontario Grid for 2003. The analysis shows clearly that by optimizing the co-production of hydrogen and electricity (referred to as the H 2 /e process) the cost for hydrogen produced can comfortably meet the US Department of Energy's target of 2000 US$/tonne. Because of its lower availability factor, wind-produced electricity cannot meet this cost target. However, if wind power availability can reach 35%, an intermittent supplementary current of wind-generated electricity may economically be fed to an electrolytic plant primarily supplied by nuclear power. Additional current raises the voltage for electrolysis but there would be only small additional capital costs. The two non-CO 2 -emitting sources, nuclear and wind could become complementary, providing an affordable way of storing wind-generated electricity when the supply exceeds demand in electricity markets The analyses presented in this paper looks at the case of bulk production of H 2 /e in a 'wholesale' energy market and does not

Effects of exchange rate volatility on export volume and prices of forest products

Science.gov (United States)

Sijia Zhang; Joseph Buongiorno

2010-01-01

The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We...

Dependence of Parking Pricing on Land Use and Time of Day

OpenAIRE

Zong, Fang; He, Yanan; Yuan, Yixin

2015-01-01

A key strategy of sustainable transportation, parking pricing can directly contribute to decreased greenhouse gas emissions and air pollution. This paper describes an optimal structure of parking rates in terms of parking locations and time of day. A two-level parking model based on game theory is established using parking survey data collected in Beijing in 2014. The model was estimated based on Stackelberg game and the Nash equilibrium. Using the two-level parking model, the optimal structu...

Stochastic analysis of epidemics on adaptive time varying networks

Science.gov (United States)

Kotnis, Bhushan; Kuri, Joy

2013-06-01

Many studies investigating the effect of human social connectivity structures (networks) and human behavioral adaptations on the spread of infectious diseases have assumed either a static connectivity structure or a network which adapts itself in response to the epidemic (adaptive networks). However, human social connections are inherently dynamic or time varying. Furthermore, the spread of many infectious diseases occur on a time scale comparable to the time scale of the evolving network structure. Here we aim to quantify the effect of human behavioral adaptations on the spread of asymptomatic infectious diseases on time varying networks. We perform a full stochastic analysis using a continuous time Markov chain approach for calculating the outbreak probability, mean epidemic duration, epidemic reemergence probability, etc. Additionally, we use mean-field theory for calculating epidemic thresholds. Theoretical predictions are verified using extensive simulations. Our studies have uncovered the existence of an “adaptive threshold,” i.e., when the ratio of susceptibility (or infectivity) rate to recovery rate is below the threshold value, adaptive behavior can prevent the epidemic. However, if it is above the threshold, no amount of behavioral adaptations can prevent the epidemic. Our analyses suggest that the interaction patterns of the infected population play a major role in sustaining the epidemic. Our results have implications on epidemic containment policies, as awareness campaigns and human behavioral responses can be effective only if the interaction levels of the infected populace are kept in check.

Hydro power projects in Pakistan- who pays the price

International Nuclear Information System (INIS)

Baig, N.

2005-01-01

In this paper an attempt has been made to trace the procedures that have been adopted to arrive at the market value of the assets lost in the construction of Ghazi Barotha Hydro Power Project. There is nothing secret or mysterious about the value of land. It is a commodity commonly dealt with and like every other commodity it. has a price, which can be ascertained within certain limits. This price, however, constantly varies according to the variations of the supply and demand and it is impossible to fix it at any given time with mathematical accuracy. The question of fair compensation is not an algebraic problem, which would be solved by an abstract formula. Compensation must be determined by reference to the price, which a willing vendor might reasonably expect to obtain from a willing purchaser. Although market value cannot be calculated with mathematical precision and a certain amount of conjecture is inevitable, but in valuing one should be careful not to go too far in this direction. (author)

Time-varying long term memory in the European Union stock markets

Science.gov (United States)

Sensoy, Ahmet; Tabak, Benjamin M.

2015-10-01

This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has an adverse effect on almost all EU stock markets. However, the Eurozone sovereign debt crisis has a significant adverse effect only on the markets in France, Spain and Greece. For the late members, joining EU does not have a uniform effect on stock market efficiency. Our results have important implications for policy makers, investors, risk managers and academics.

Adaptive Neural Network Control for Nonlinear Hydraulic Servo-System with Time-Varying State Constraints

Directory of Open Access Journals (Sweden)

Shu-Min Lu

2017-01-01

Full Text Available An adaptive neural network control problem is addressed for a class of nonlinear hydraulic servo-systems with time-varying state constraints. In view of the low precision problem of the traditional hydraulic servo-system which is caused by the tracking errors surpassing appropriate bound, the previous works have shown that the constraint for the system is a good way to solve the low precision problem. Meanwhile, compared with constant constraints, the time-varying state constraints are more general in the actual systems. Therefore, when the states of the system are forced to obey bounded time-varying constraint conditions, the high precision tracking performance of the system can be easily realized. In order to achieve this goal, the time-varying barrier Lyapunov function (TVBLF is used to prevent the states from violating time-varying constraints. By the backstepping design, the adaptive controller will be obtained. A radial basis function neural network (RBFNN is used to estimate the uncertainties. Based on analyzing the stability of the hydraulic servo-system, we show that the error signals are bounded in the compacts sets; the time-varying state constrains are never violated and all singles of the hydraulic servo-system are bounded. The simulation and experimental results show that the tracking accuracy of system is improved and the controller has fast tracking ability and strong robustness.

7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors described...

Giving you the business - Competitive pricing of selected Predicasts' databases

Science.gov (United States)

Jack, Robert F.

1987-01-01

The pricing policies of different data-base services offering Predicast data bases are examined from a user perspective. The services carrying these data bases are listed; the problems introduced by varying exchange rates and seemingly idiosyncratic price structures are discussed; and numerous specific examples are given.

Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets

International Nuclear Information System (INIS)

Woo, C.K.; Moore, J.; Schneiderman, B.; Ho, T.; Olson, A.; Alagappan, L.; Chawla, K.; Toyama, N.; Zarnikau, J.

2016-01-01

We answer two policy questions: (1) what are the estimated merit-order effects of renewable energy in the California Independent System Operator’s (CAISO’s) day-ahead market (DAM) and real-time market (RTM)? and (2) what causes the hourly DAM and RTM prices to systematically diverge? The first question is timely and relevant because if the merit-order effect estimates are small, California’s renewable energy development is of limited help in cutting electricity consumers’ bills but also has a lesser adverse impact on the state’s investment incentive for natural-gas-fired generation. The second question is related to the efficient market hypothesis under which the hourly RTM and DAM prices tend to converge. Using a sample of about 21,000 hourly observations of CAISO market prices and their fundamental drivers during 12/12/2012–04/30/2015, we document statistically significant estimates (p-value≤0.01) for the DAM and RTM merit-order effects. This finding lends support to California’s adopted procurement process to provide sufficient investment incentives for natural-gas-fired generation. We document that the RTM-DAM price divergence partly depends on the CASIO’s day-ahead forecast errors for system loads and renewable energy. This finding suggests that improving the performance of the CAISO’s day-ahead forecasts can enhance trading efficiency in California’s DAM and RTM electricity markets. - Highlights: •Estimate the day-ahead and real-time merit-order effects of renewable energy in California. •Document statistically significant merit-order effects of solar and wind energy. •Document the difference between the day-ahead and real-time prices. •Attribute the price differences to forecast errors for load, solar and wind energy. •Discuss the evidence’s implications for California’s energy policy.

Estimating time-varying exposure-outcome associations using case-control data: logistic and case-cohort analyses.

Science.gov (United States)

Keogh, Ruth H; Mangtani, Punam; Rodrigues, Laura; Nguipdop Djomo, Patrick

2016-01-05

Traditional analyses of standard case-control studies using logistic regression do not allow estimation of time-varying associations between exposures and the outcome. We present two approaches which allow this. The motivation is a study of vaccine efficacy as a function of time since vaccination. Our first approach is to estimate time-varying exposure-outcome associations by fitting a series of logistic regressions within successive time periods, reusing controls across periods. Our second approach treats the case-control sample as a case-cohort study, with the controls forming the subcohort. In the case-cohort analysis, controls contribute information at all times they are at risk. Extensions allow left truncation, frequency matching and, using the case-cohort analysis, time-varying exposures. Simulations are used to investigate the methods. The simulation results show that both methods give correct estimates of time-varying effects of exposures using standard case-control data. Using the logistic approach there are efficiency gains by reusing controls over time and care should be taken over the definition of controls within time periods. However, using the case-cohort analysis there is no ambiguity over the definition of controls. The performance of the two analyses is very similar when controls are used most efficiently under the logistic approach. Using our methods, case-control studies can be used to estimate time-varying exposure-outcome associations where they may not previously have been considered. The case-cohort analysis has several advantages, including that it allows estimation of time-varying associations as a continuous function of time, while the logistic regression approach is restricted to assuming a step function form for the time-varying association.