Search results for "swa"
showing 10 items of 430 documents
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
2010
We consider the non-Gaussian stochastic volatility model of Barndorff-Nielsen and Shephard for the exponential mean-reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log-spot prices possess a stationary distribution defined as a normal variance-mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean-reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility p…
Modeling Term Structure Dynamics in the Nordic Electricity Swap Market
2010
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable la…
Volatility co-movements: a time-scale decomposition analysis
2015
In this paper, we are interested in detecting contagion from US to European stock market volatilities in the period immediately after the Lehman Brothers collapse. The analysis is based on a factor decomposition of the covariance matrix, in the time and frequency domain, using wavelets. The analysis aims to disentangle two components of volatility contagion (anticipated and unanticipated by the market). Once we focus on standardized factor loadings, the results show no evidence of contagion (from the US) in market expectations (coming from implied volatility) and evidence of unanticipated contagion (coming from the volatility risk premium) for almost any European country. Finally, the estim…
Passive congregation based particle swam optimization (pso) with self-organizing hierarchical approach for non-convex economic dispatch
2017
This paper proposes a passive congregation based PSO with self-organizing hierarchical algorithm approach for solving the economic dispatch problem of power system, where some of the units have prohibited operating zones. This Algorithm is known to perform better than conventional gradient based optimization methods for non-convex optimization problems. Conventional PSO algorithm is a population based heuristic search, employing problem of premature convergence. In this work, an innovative approach based on the concept of passive congregation based PSO with self-organizing hierarchical approach is employed to overcome the problem of premature convergence in classical PSO method.
Training Artificial Neural Networks With Improved Particle Swarm Optimization
2020
Particle Swarm Optimization (PSO) is popular for solving complex optimization problems. However, it easily traps in local minima. Authors modify the traditional PSO algorithm by adding an extra step called PSO-Shock. The PSO-Shock algorithm initiates similar to the PSO algorithm. Once it traps in a local minimum, it is detected by counting stall generations. When stall generation accumulates to a prespecified value, particles are perturbed. This helps particles to find better solutions than the current local minimum they found. The behavior of PSO-Shock algorithm is studied using a known: Schwefel's function. With promising performance on the Schwefel's function, PSO-Shock algorithm is util…
Lateral pterygoid muscle dystonia. A new technique for treatment with botulinum toxin guided by electromyography and arthroscopy
2010
Lateral pterygoid muscle dystonia is characterized by mandibular displacement towards the opposite side of the affected muscle. It may be associated with functional disorders affecting speech, swallowing, chewing and facial symmetry. Injection with botulinum toxin is recognized as the most effective treatment. Locating the lower head of the lateral pterygoid muscle for the injection is not difficult using electromyographic guidance; however, location of the upper head is more complicated, even with electromyography. We report a case of lateral pterygoid muscle dystonia in which precise injection of the upper head was achieved with the aid of arthroscopy.
Optimizing droop coefficients for minimum cost operation of islanded micro-grids
2017
This paper shows how minimum cost energy management can be carried out for islanded micro-grids considering an expanded state that also includes the system's frequency. Each of the configurations outputted by the energy management system at each hour are indeed technically sound and coherent from the point of view of generation-consumption balancing by exploiting a frequency dependent load flow algorithm. A Glow-worm Swarm Optimization (GSO) algorithm carried out in a 24 hour time frame provides optimized results. A test has been carried out for a residential PV-Storage-Microturbine islanded micro-grid to show the feasibility as well as the efficiency of the proposed approach and results ar…
Piezoelectric energy harvesting from raised crosswalk devices
2015
This paper presents the main characteristics of an experimental energy harvesting device that can be used to recover energy from the vehicular and pedestrian traffic. The use of a piezoelectric bender devices leads to a innovative approach to Henergy Harvesting. The study focuses on the definition and specification of a mechanical configuration able to transfer the vibration from the main box to the piezoelectric transducer. The piezoelectric devices tested is the commonly used monolithic piezoceramic material lead-zirconate-titanate (PZT). The experimental results estimate the efficiency of this device tested and identify the feasibility of their use in real world applications. The results…
Heuristic-Based Shiftable Loads Optimal Management in Smart Micro-Grids
2015
In this paper, an optimal power dispatch problem on a 24-h basis for distribution systems with distributed energy resources (DER) also including directly controlled shiftable loads is presented. In the literature, the optimal energy management problems in smart grids (SGs) where such types of loads exist are formulated using integer or mixed integer variables. In this paper, a new formulation of shiftable loads is employed. Such formulation allows reduction in the number of optimization variables and the adoption of real valued optimization methods such as the one proposed in this paper. The method applied is a novel nature-inspired multiobjective optimization algorithm based on an original…
Memetic Differential Evolution Frameworks in Filter Design for Defect Detection in Paper Production
2009
This chapter studies and analyzes Memetic Differential Evolution (MDE) Frameworks for designing digital filters, which aim at detecting paper defects produced during an industrial process. MDE Frameworks employ the Differential Evolution (DE) as an evolutionary framework and a list of local searchers adaptively coordinated by a control scheme. Here, three different variants of MDE are taken into account and their features and performance are compared. The binomial explorative features of the DE framework in contraposition to the exploitative features of the local searcher are analyzed in detail in light of the stagnation prevention problem, typical for the DE. Much emphasis in this chapter …