Search results for: power market equilibrium model

Authors: Ali Bhayani

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The article analyses determinants of the market entry modes used by corporate firms to expand internationally and explore whether higher education institutions uses the same determinants to decide on mode adopted to enter the market. Determinants like transaction costs, location advantage, idiosyncratic capabilities, isomorphic pressure to mimic, psychic distance, uncertainty, risks, the control over academic process, previous internationalisation experience and entry to homogenous markets are considered with regards to universities. A sample consisting of 40+ branch campuses from United Arab Emirates (UAE), host to highest number of branch campuses, is selected to study the determinants of the entry modes adopted. The aim of this article is not to prescribe or offer a solution for the best-available model of market entry that can be adopted by universities but rather to act as a trigger for a critical check up on universities planning to internationalize their offering. Determinants like idiosyncratic capabilities, isomorphic pressure and control over the academic process were found to be most prevalent. However, determinants like transaction cost efficiency, internationalisation experience, psychic distance, uncertainty and risks are not significant factors.

Keywords: higher education, UAE, internationalisation, market entry, international branch campuses

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Authors: Danladi Ali

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This work proposed to adopt and optimize the conventional method of estimating power generated from campus solid waste (CSW) using an intelligent technique. The chemical content of the CSW was analyzed, the population responsible for the generation of the CSW, the amount of CSW generated, power to grid predicted and forecasted were obtained, and sources of supply of electricity for Adamawa State University (ADSU) were compared with the PGPs estimated from the CSW. The percentage content of the chemical elements was obtained as 56.90% carbon, 8.40% hydrogen, 27.70% oxygen, 6.00% nitrogen and 1.00% sulfur. The amount of the CSW generated and power to grid predicted and forecasted for 10 years was determined as 287.74 tons/day, 13.12MW and 12.90 MW, respectively. A model for estimating power potential from CSW for ADSU was developed, and also the work revealed that the PGPs estimated from the CSW are adequate to power the University for 24 hours on a daily basis.

Keywords: prediction, intelligent, forecasting, environment, power to grid, campus solid waste

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Authors: Sara Mostofian

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The nuclear industry is a technology that can fulfill future energy needs but requires special attention to ensure safety and reliability while minimizing any environmental impact. To meet these expectations, the nuclear industry is exploring different reactor technologies for power production. Several designs are under development and the technical viability of these new designs is the subject of many ongoing studies. One of these studies considers the radioactive emissions and radioactive waste generated during the life of a nuclear power production plant to allow a successful license process. For all the modern technologies, a good understanding of the radioactivity generated in the process systems of the plant is essential. Some of that understanding may be gleaned from the performance of some prototype reactors of similar design that operated decades ago. This paper presents how, with that understanding, a model can be developed to estimate the emissions as well as the radioactive waste during the normal operation of a nuclear power plant. The model would predict the radioactive material concentrations in different waste streams. Using this information, the radioactive emission and waste generated during the life of these new technologies can be estimated during the early stages of the design of the plant.

Keywords: SMRs, activity transport, model, radioactive waste

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Authors: Haruna Maama

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Environmental, social and governance (ESG) reporting is gaining considerable attention despite being voluntary. Meanwhile, it consumes resources to provide ESG reporting, raising a question of its value relevance. The study examined the impact of ESG reporting on the market value of listed firms in SSA. The annual and integrated reports of 276 listed sub-Sahara Africa (SSA) firms. The integrated reporting scores of the firm were analysed using a content analysis method. A multiple regression estimation technique using a GMM approach was employed for the analysis. The results revealed that ESG has a positive relationship with firms’ market value, suggesting that investors are interested in the ESG information disclosure of firms in SSA. This suggests that extensive ESG disclosures are attempts by firms to obtain the approval of powerful social, political and environmental stakeholders, especially institutional investors. Furthermore, the market value analysis evidence is consistent with signalling theory, which postulates that firms provide integrated reports as a signal to influence the behaviour of stakeholders. This finding reflects the value placed on investors' social, environmental and governance disclosures, which affirms the views that conventional investors would care about the social, environmental and governance issues of their potential or existing investee firms. Overall, the evidence is consistent with the prediction of signalling theory. In the context of this theory, integrated reporting is seen as part of firms' overall competitive strategy to influence investors' behaviour. The findings of this study make unique contributions to knowledge and practice in corporate reporting.

Keywords: environmental accounting, ESG accounting, signalling theory, sustainability reporting, sub-saharan Africa

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Authors: Ch. Ashok Babu, J. V. R. Ravindra, K. Lalkishore

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Power has became a burning issue in modern VLSI design. As the technology advances especially below 45nm, technology of leakage power became a big problem apart of the dynamic power. This paper presents a full adder with novel PMOS and NMOS which consume less power compare to conventional full adder, DTMOS full adder. This paper shows different types of adders and their power consumption, area, and delay. All the experiments have been carried out using Cadence® Virtuoso® design lay out editor which shows power consumption of different types of adders.

Keywords: average power, leakage power, delay, DTMOS, PDP

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Authors: Lukasz Grabowski, Tytus Tulwin, Michal Geca, P. Karpinski

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This paper presents the radial aircraft engine model which has been created in AVL Boost software. This model is a one-dimensional physical model of the engine, which enables us to investigate the impact of an ignition system design on engine performance (power, torque, fuel consumption). In addition, this model allows research under variable environmental conditions to reflect varied flight conditions (altitude, humidity, cruising speed). Before the simulation research the identifying parameters and validating of model were studied. In order to verify the feasibility to take off power of gasoline radial aircraft engine model, some validation study was carried out. The first stage of the identification was completed with reference to the technical documentation provided by manufacturer of engine and the experiments on the test stand of the real engine. The second stage involved a comparison of simulation results with the results of the engine stand tests performed on a WSK ’PZL-Kalisz’. The engine was loaded by a propeller in a special test bench. Identifying the model parameters referred to a comparison of the test results to the simulation in terms of: pressure behind the throttles, pressure in the inlet pipe, and time course for pressure in the first inlet pipe, power, and specific fuel consumption. Accordingly, the required coefficients and error of simulation calculation relative to the real-object experiments were determined. Obtained the time course for pressure and its value is compatible with the experimental results. Additionally the engine power and specific fuel consumption tends to be significantly compatible with the bench tests. The mapping error does not exceed 1.5%, which verifies positively the model of combustion and allows us to predict engine performance if the process of combustion will be modified. The next conducted tests verified completely model. The maximum mapping error for the pressure behind the throttles and the inlet pipe pressure is 4 %, which proves the model of the inlet duct in the engine with the charging compressor to be correct.

Keywords: 1D-model, aircraft engine, performance, validation

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Authors: Weiying Wang, Qi Li, Huiwen Deng, Weirong Chen

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The abrupt light change and uneven illumination will make the PV system get rid of constant output power, which will affect the efficiency of the grid connected inverter as well as the stability of the system. To solve this problem, this paper presents a strategy to control the stability of photovoltaic power system under the condition of partial shading of PV array, leading to constant power output, improving the capacity of resisting interferences. Firstly, a photovoltaic cell model considering the partial shading is established, and the backtracking search algorithm is used as the maximum power point to track algorithm under complex illumination. Then, the energy storage system based on the constant power control strategy is used to achieve constant power output. Finally, the effectiveness and correctness of the proposed control method are verified by the joint simulation of MATLAB/Simulink and RTLAB simulation platform.

Keywords: backtracking search algorithm, constant power control, hybrid system, partial shading, stability

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Authors: Keltoum Bouherine, Olivier Leroy

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The present work is dedicated to study a three–dimensional (3D) self-consistent fluid simulation of microwave discharges of argon plasma in PECVD reactor. The model solves the Maxwell’s equations, continuity equations for charged species and the electron energy balance equation, coupled with Poisson’s equation, and Navier-Stokes equations by finite element method, using COMSOL Multiphysics software. In this study, the simulations yield the profiles of plasma components as well as the charge densities and electron temperature, the electric field, the gas velocity, and gas temperature. The results show that the microwave plasma reactor is outside of local thermodynamic equilibrium.The present work is dedicated to study a three–dimensional (3D) self-consistent fluid simulation of microwave discharges of argon plasma in PECVD reactor. The model solves the Maxwell’s equations, continuity equations for charged species and the electron energy balance equation, coupled with Poisson’s equation, and Navier-Stokes equations by finite element method, using COMSOL Multiphysics software. In this study, the simulations yield the profiles of plasma components as well as the charge densities and electron temperature, the electric field, the gas velocity, and gas temperature. The results show that the microwave plasma reactor is outside of local thermodynamic equilibrium.

Keywords: electron density, electric field, microwave plasma reactor, gas velocity, non-equilibrium plasma

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Authors: L. E. Mphahama, A. Mushunje, A. Taruvinga

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Although broiler production does not generate any large incomes among the smallholder community, it represents the main source of livelihood and part of nutritional requirement. As a result, market for broiler meat is growing faster than that of any other meat products and is projected to continue growing in the coming decades. However, the implication is that a multitude of factors manipulates transformation of smallholder broiler farmers participating in the mainstream markets. From 217 smallholder broiler farmers, socio-economic and institutional factors in broiler farming were incorporated into Binary model to estimate the probability of broiler farmers’ participation in the mainstream markets within the Maseru district in Lesotho. Of the thirteen (13) predictor variables fitted into the model, six (6) variables (household size, number of years in broiler business, stock size, access to transport, access to extension services and access to market information) had significant coefficients while seven (7) variables (level of education, marital status, price of broilers, poultry association, access to contract, access to credit and access to storage) did not have a significant impact. It is recommended that smallholder broiler farmers organize themselves into cooperatives which will act as a vehicle through which they can access contracts and formal markets. These cooperatives will also enable easy training and workshops for broiler rearing and marketing/markets through extension visits.

Keywords: broiler chicken, mainstream market, Maseru district, participation, smallholder farmers

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Authors: Abdullahi Mohammed Auwal

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Formation and change or decamping from one political party to another have now become a common trend in Nigeria. Many of the parties’ members who could not secure positions and or win elections in their parties or are not very much satisfied with the trends occurring in the party’s internal democratic principles and mechanisms, change their respective parties. This paper developed/presented and analyzed the used of non linear mathematical model for defections between two political parties using epidemiological approach. The whole population was assumed to be a constant and homogeneously mixed. Equilibria have been analytically obtained and their local and global stability discussed. Conditions for the co-existence of both the political parties have been determined, in the study of defections between People Democratic Party (PDP) and All Progressive Congress (APC) in Nigeria using numerical simulations to support the analytical results.

Keywords: model, political parties, deffection, stability, equilibrium, epidemiology

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Authors: Nadia Sghaier

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In this paper, we examine the influence of the COVID-19 pandemic on the performance of the Tunisian stock market and 12 sectors over a recent period from 23 March 2020 to 18 August 2021, including several waves and the introduction of vaccination. The empirical study is conducted using cointegration techniques which allows for long and short-run relationships. The obtained results indicate that both daily growth in confirmed cases and deaths have a negative and significant effect on the stock market returns. In particular, this effect differs across sectors. It seems more pronounced in financial, consumer goods and industrials sectors. These findings have important implications for investors to predict the behavior of the stock market or sectors returns and to implement hedging strategies during the COVID-19 pandemic.

Keywords: Tunisian stock market, sectors, COVID-19 pandemic, cointegration techniques

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Authors: Mesias Alfeus, Kirsty Fitzhenry, Alessia Lederer

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The present paper provides empirical studies to estimate defaultable bonds in the South African financial market. The main goal is to estimate the unobservable factors affecting bond yields for South African major banks. The maximum likelihood approach is adopted for the estimation methodology. Extended Kalman filtering techniques are employed in order to tackle the situation that the factors cannot be observed directly. Multi-dimensional Cox-Ingersoll-Ross (CIR)-type factor models are considered. Results show that default risk increased sharply in the South African financial market during COVID-19 and the CIR model with jumps exhibits a better performance.

Keywords: default intensity, unobservable state variables, CIR, α-CIR, extended kalman filtering

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Authors: Saud Al Mahdi

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Traditionally,portfolio managers have been discouraged from timing the market. This means, for example, that equity managers have been forced to adhere strictly to a benchmark with static or relatively stable components, such as the SP 500 or the Russell 3000. This means that the portfolio’s exposures to all risk factors should mimic as closely as possible the corresponding exposures of the benchmark. The main risk factor, of course, is the market itself. Effectively, a long-only portfolio would be constrained to have a beta 1. More recently, however, managers have been given greater discretion to adjust their portfolio’s risk exposures (in particular, the beta of their portfolio) dynamically to match the manager’s beliefs about future performance of the risk factors themselves. This freedom translates into the manager’s ability to adjust the portfolio’s beta dynamically. These strategies have come to be known as smart beta strategies. Adjusting beta dynamically amounts to attempting to "time" the market; that is, to increase exposure when one anticipates that the market will rise, and to decrease it when one anticipates that the market will fall. Traditionally, market timing has been believed to be impossible to perform effectively and consistently. Moreover, if a majority of market participants do it, their combined actions could destabilize the market. The aim of this project is to investigate so-called smart beta strategies to determine if they really can add value, or if they are merely marketing gimmicks used to sell dubious investment strategies.

Keywords: beta, alpha, active portfolio management, trading strategies

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Authors: Balarabe Nkom, Adam P. R. Taylor, Craig Baguley

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Power Line Communications (PLC) is being employed in existing power systems, despite the infrastructure not being designed with PLC considerations in mind. Given that power transformers can last for decades, the distribution transformer in particular exists as a relic of un-optimized technology. To determine issues that may need to be addressed in subsequent designs of such transformers, it is essential to have a highly accurate transformer model for simulations and subsequent optimization for the PLC environment, with a view to increase data speed, throughput, and efficiency, while improving overall system stability and reliability. This paper reviews various methods currently available for creating transformer models and provides insights into the requirements of each for obtaining high accuracy. The review indicates that a combination of traditional analytical methods using a hybrid approach gives good accuracy at reasonable costs.

Keywords: distribution transformer, modelling, optimization, power line communications

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Authors: Sania Maghsodloo, Sirus Mohammadi

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Electric Vehicle (EV) technology is expected to take a major share in the light-vehicle market in the coming decades. Transportation electrification has become an important issue in recent decades and the large scale deployment of EVs has yet to be achieved. The smart coordination of EV demand addresses an improvement in the flexibility of power systems and reduces the costs of power system investment. The uncertainty in EV drivers’ behaviour is one of the main problems to solve to obtain an optimal integration of EVs into power systems Charging of EVs will put an extra burden on the distribution grid and in some cases adjustments will need to be made. The stochastic process of the driving pattern is done to make the outcome of the project more realistic. Based on the stochastic data, the optimization of charging plans is made.

Keywords: electric vehicles (PEVs), smart grid, Monticello, distribution system

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Authors: Ira Joseph

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The LNG paradox addresses the issue of how the most expensive form of gas supply, which is LNG, will grow in an end user market where demand is most competitive, which is power generation. In this case, LNG demand growth is under siege from two entirely different directions. At one end is price; it will be extremely difficult for gas to replace coal in Asia due to the low price of coal and the age of the generation plants. Asia's coal fleet, on average, is less than two decades old and will need significant financial incentives to retire before its state lifespan. While gas would cut emissions in half relative to coal, it would also more than double the price of the fuel source for power generation, which puts it in a precarious position. In most countries in Asia other than China, this cost increase, particularly from imports, is simply not realistic when it is also necessary to focus on economic growth and social welfare. On the other end, renewables are growing at an exponential rate for three reasons. One is that prices are dropping. Two is that policy incentives are driving deployment, and three is that China is forcing renewables infrastructure into the market to take a political seat at the global energy table with Saudi Arabia, the US, and Russia. Plus, more renewables will lower import growth of oil and gas in China, if not end it altogether. Renewables are the predator at the gate of gas demand in power generation and in every year that passes, renewables cut into demand growth projections for gas; in particular, the type of gas that is most expensive, which is LNG. Gas does have a role in the future, particularly within a domestic market. Once it crosses borders in the form of LNG or even pipeline gas, it quickly becomes a premium fuel and must be marketed and used this way. Our research shows that gas will be able to compete with batteries as an intermittency and storage tool and does offer a method to harmonize with renewables as part of the energy transition. As a baseload fuel, however, the role of gas, particularly, will be limited by cost once it needs to cross a border. Gas converted into blue or green hydrogen or ammonia is also an option for storage depending on the location. While this role is much reduced from the primary baseload role that gas once aspired to land, it still offers a credible option for decades to come.

Keywords: natural gas, LNG, demand, price, intermittency, storage, renewables

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Authors: Janne Engblom, Elias Oikarinen

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The understanding of housing price dynamics is of importance to a great number of agents: to portfolio investors, banks, real estate brokers and construction companies as well as to policy makers and households. A panel dataset is one that follows a given sample of individuals over time, and thus provides multiple observations on each individual in the sample. Panel data models include a variety of fixed and random effects models which form a wide range of linear models. A special case of panel data models is dynamic in nature. A complication regarding a dynamic panel data model that includes the lagged dependent variable is endogeneity bias of estimates. Several approaches have been developed to account for this problem. In this paper, the panel models were estimated using the Common Correlated Effects estimator (CCE) of dynamic panel data which also accounts for cross-sectional dependence which is caused by common structures of the economy. In presence of cross-sectional dependence standard OLS gives biased estimates. In this study, U.S housing price dynamics were examined empirically using the dynamic CCE estimator with first-difference of housing price as the dependent and first-differences of per capita income, interest rate, housing stock and lagged price together with deviation of housing prices from their long-run equilibrium level as independents. These deviations were also estimated from the data. The aim of the analysis was to provide estimates with comparisons of estimates between 1980-1999 and 2000-2012. Based on data of 50 U.S cities over 1980-2012 differences of short-run housing price dynamics estimates were mostly significant when two time periods were compared. Significance tests of differences were provided by the model containing interaction terms of independents and time dummy variable. Residual analysis showed very low cross-sectional correlation of the model residuals compared with the standard OLS approach. This means a good fit of CCE estimator model. Estimates of the dynamic panel data model were in line with the theory of housing price dynamics. Results also suggest that dynamics of a housing market is evolving over time.

Keywords: dynamic model, panel data, cross-sectional dependence, interaction model

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Authors: Afshin Shahbazi, Hadi Shadi Naghadeh, Ahmad Khodadadi Darban

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In the Magnetically Assisted Chemical Separation (MACS) process, tiny ferromagnetic particles coated with solvent extractant are used to selectively separate radionuclides and hazardous metals from aqueous waste streams. The contaminant-loaded particles are then recovered from the waste solutions using a magnetic field. In the present study, Cyanex272 or C272 (bis (2,4,4-trimethylpentyl) phosphinic acid) coated magnetic particles are being evaluated for the possible application in the extraction of Thorium (IV) from nuclear waste streams. The uptake behaviour of Th(IV) from nitric acid solutions was investigated by batch studies. Adsorption of Thorium (IV) from aqueous solution onto adsorbent was investigated in a batch system. Adsorption isotherm and adsorption kinetic studies of Thorium (IV) onto nanoparticles coated Cyanex272 were carried out in a batch system. The factors influencing Thorium (IV) adsorption were investigated and described in detail, as a function of the parameters such as initial pH value, contact time, adsorbent mass, and initial Thorium (IV) concentration. Magnetically Assisted Chemical Separation (MACS) process adsorbent showed best results for the fast adsorption of Th (IV) from aqueous solution at aqueous phase acidity value of 0.5 molar. In addition, more than 80% of Th (IV) was removed within the first 2 hours, and the time required to achieve the adsorption equilibrium was only 140 minutes. Langmuir and Frendlich adsorption models were used for the mathematical description of the adsorption equilibrium. Equilibrium data agreed very well with the Langmuir model, with a maximum adsorption capacity of 48 mg.g-1. Adsorption kinetics data were tested using pseudo-first-order, pseudo-second-order and intra-particle diffusion models. Kinetic studies showed that the adsorption followed a pseudo-second-order kinetic model, indicating that the chemical adsorption was the rate-limiting step.

Keywords: Thorium (IV) adsorption, MACS process, magnetic nanoparticles, Cyanex272

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Authors: Isabel L. Guidote

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Continued advancements and innovation in the technological arena may yield both beneficial and detrimental effects to market competition in the Philippines. This paper discusses recent developments in the digital sphere which have resulted in improved access to the Philippine market for both producers and consumers. Acknowledging that these developments are likely to disrupt or alter prevailing market conditions, this paper likewise tackles competition theories of harm that may arise as a result of such technological innovations, with reference to cases decided by foreign competition authorities and the European Commission. As the Philippine moves closer to the digital frontier, it is imperative that producers, consumers, and regulators alike be well-equipped to address the risks and challenges posed by these rapid advancements in technology.

Keywords: antitrust, competition law, market competition, technology

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Authors: Mansoureh Zangiabadi, Shamil Velji, Rajendra Kelkar, Neal Wade, Volker Pickert

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The EU has set itself a long-term goal of reducing greenhouse gas emissions by 80-95% of the 1990 levels by 2050 as set in the Energy Roadmap 2050. This paper reports on the European Union H2020 funded E-Lobster project which demonstrates tools and technologies, software and hardware in integrating the grid distribution, and the railway power systems with power electronics technologies (Smart Soft Open Point - sSOP) and local energy storage. In this context this paper describes the existing policies and regulatory frameworks of the energy market at European level with a special focus then at National level, on the countries where the members of the consortium are located, and where the demonstration activities will be implemented. By taking into account the disciplinary approach of E-Lobster, the main policy areas investigated includes electricity, energy market, energy efficiency, transport and smart cities. Energy storage will play a key role in enabling the EU to develop a low-carbon electricity system. In recent years, Energy Storage System (ESSs) are gaining importance due to emerging applications, especially electrification of the transportation sector and grid integration of volatile renewables. The need for storage systems led to ESS technologies performance improvements and significant price decline. This allows for opening a new market where ESSs can be a reliable and economical solution. One such emerging market for ESS is R+G management which will be investigated and demonstrated within E-Lobster project. The surplus of energy in one type of power system (e.g., due to metro braking) might be directly transferred to the other power system (or vice versa). However, it would usually happen at unfavourable instances when the recipient does not need additional power. Thus, the role of ESS is to enhance advantages coming from interconnection of the railway power systems and distribution grids by offering additional energy buffer. Consequently, the surplus/deficit of energy in, e.g. railway power systems, is not to be immediately transferred to/from the distribution grid but it could be stored and used when it is really needed. This will assure better energy management exchange between the railway power systems and distribution grids and lead to more efficient loss reduction. In this framework, to identify the existing policies and regulatory frameworks is crucial for the project activities and for the future development of business models for the E-Lobster solutions. The projections carried out by the European Commission, the Member States and stakeholders and their analysis indicated some trends, challenges, opportunities and structural changes needed to design the policy measures to provide the appropriate framework for investors. This study will be used as reference for the discussion in the envisaged workshops with stakeholders (DSOs and Transport Managers) in the E-Lobster project.

Keywords: light railway, electrical distribution network, Electrical Energy Storage, policy

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Authors: Ly Nguyen, Vidit Munshi

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During the Covid-19 recession, the United States government has implemented several instruments to mitigate the impacts and revitalize the economy. This paper explores the effects of the various government policy decisions on stock returns, housing prices, and investor psychology during the pandemic in the United States. A numerous previous literature studies on this subject, yet very few focus on the context similar to what we are currently experiencing. Our monthly data covering the period from January 2019 through July 2021 were collected from Datastream. Utilizing the VAR model, we document a dynamic relationship between the market and policy actions throughout the period. In particular, the movements of Unemployment, Stock returns, and Housing prices are strongly sensitive to changes in government policies. Our results also indicate that changes in production level, stock returns, and interest rates decisions influence how investors perceived future market risk and expectations. We do not find any significant nexus between monetary and fiscal policy. Our findings imply that information on government policy and stock market performance provide useful feedback to one another in order to make better decisions in the current and future pandemic. Understanding how the market responds to a shift in government practices has important implications for authorities in implementing policy to avoid assets bubbles and market overreactions. The paper also provides useful implications for investors in evaluating the effectiveness of different policies and diversifying portfolios to minimize systematic risk and maximize returns.

Keywords: Covid-19 recession, United States, government policies, investor psychology, housing prices, stock market returns

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Authors: Ákos Cserny

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The unequivocal increase of the area of operation of the executive power can happen with the appearance of new areas to be influenced and its integration in the power, or at the expense of the scopes of other organs with public authority. The extension of the executive can only be accepted within the framework of the rule of law if parallel with this process we get constitutional guarantees that the exercise of power is kept within constitutional framework. Failure to do so, however, may result in the lack, deficit of democracy and democratic sense, and may cause an overwhelming dominance of the executive power. Therefore, the aim of this paper is to present executive power and responsibility in the context of different dimensions.

Keywords: confidence, constitution, executive power, liabiliy, parliamentarism

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Authors: Mohammad Hosein Panahi, Naser Yazdani

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we present a technical trading strategy that leverages the FinBERT language model and financial news analysis with a focus on news related to a subset of Nasdaq 100 stocks. Our approach surpasses the baseline Range Break-out strategy in the Bitcoin market, yielding a remarkable 24.8% increase in the win ratio for all Friday trades and an impressive 48.9% surge in short trades specifically on Fridays. Moreover, we conduct rigorous hypothesis testing to establish the statistical significance of these improvements. Our findings underscore considerable potential of our NLP-driven approach in enhancing trading strategies and achieving greater profitability within financial markets.

Keywords: quantitative finance, technical analysis, bitcoin market, NLP, language models, FinBERT, technical trading

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Authors: Tohid Rahimi, Yahya Naderi, Babak Yousefi, Seyed Hossein Hoseini

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Today’s modern interconnected power system is highly complex in nature. In this, one of the most important requirements during the operation of the electric power system is the reliability and security. Power and frequency oscillation damping mechanism improve the reliability. Because of power system stabilizer (PSS) low speed response against of major fault such as three phase short circuit, FACTs devise that can control the network condition in very fast time, are becoming popular. However, FACTs capability can be seen in a major fault present when nonlinear models of FACTs devise and power system equipment are applied. To realize this aim, the model of multi-machine power system with FACTs controller is developed in MATLAB/SIMULINK using Sim Power System (SPS) blockiest. Among the FACTs device, Static synchronous series compensator (SSSC) due to high speed changes its reactance characteristic inductive to capacitive, is effective power flow controller. Tuning process of controller parameter can be performed using different method. However, Genetic Algorithm (GA) ability tends to use it in controller parameter tuning process. In this paper, firstly POD controller is used to power oscillation damping. But in this station, frequency oscillation dos not has proper damping situation. Therefore, FOD controller that is tuned using GA is using that cause to damp out frequency oscillation properly and power oscillation damping has suitable situation.

Keywords: power oscillation damping (POD), frequency oscillation damping (FOD), Static synchronous series compensator (SSSC), Genetic Algorithm (GA)

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Authors: Godwin Chigozie Okpara

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This paper using standard GARCH, EGARCH, and TARCH models on day of the week return series (of 246 days) from the Nigerian Stock market estimated the model variants’ VaR. An asymmetric return distribution and fat-tail phenomenon in financial time series were considered by estimating the models with normal, student t and generalized error distributions. The analysis based on Akaike Information Criterion suggests that the EGARCH model with student t innovation distribution can furnish more accurate estimate of VaR. In the light of this, we apply the likelihood ratio tests of proportional failure rates to VaR derived from EGARCH model in order to determine the short and long positions VaR performances. The result shows that as alpha ranges from 0.05 to 0.005 for short positions, the failure rate significantly exceeds the prescribed quintiles while it however shows no significant difference between the failure rate and the prescribed quantiles for long positions. This suggests that investors and portfolio managers in the Nigeria stock market have long trading position or can buy assets with concern on when the asset prices will fall. Precisely, the VaR estimates for the long position range from -4.7% for 95 percent confidence level to -10.3% for 99.5 percent confidence level.

Keywords: downside risk, value-at-risk, failure rate, kupiec LR tests, GARCH models

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Authors: Enyia James Diwa, Dodeye Ina Igbong, Archibong Archibong Eso

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Gas turbine operators have been faced with the dramatic financial setback resulting from compressor fouling. In a highly deregulated power industry where there is stiffness in the market competition, has made it imperative to improvise means of reducing maintenance cost in other to yield maximum profit. Compressor fouling results from the deposition of contaminants in the presence of oil and moisture on the compressor blade or annulus surfaces, which leads to a loss in flow capacity and compressor efficiency. These combined effects reduce power output, increase heat rate and cause creep life reduction. This paper also contains a model of two gas turbine engines via Cranfield University software known as TURBOMATCH, which is simulation software for detecting engine fouling rate. The model engines are of different configurations and capacities, and are operating in two different modes of constant output power and turbine inlet temperature for a two and three stage filter system. The idea is to investigate the more economically viable filtration systems by gas turbine users based on performance only. It has been demonstrated in the results that the two spool engine is a little more beneficial compared to the single spool. This is as a result of a higher pressure ratio of the two spools as well as the deceleration of the high-pressure compressor and high-pressure turbine speed in a constant TET. Meanwhile, the inlet filtration system was properly designed and balanced with a well-timed and economical compressor washing regime/scheme to control compressor fouling. The different technologies of inlet air filtration and compressor washing are considered and an attempt at optimization with respect to the cost of a combination of both control measures are made.

Keywords: inlet filtration, pressure loss, single spool, two spool

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Authors: Mark Schudeleit, Christian Sieg, Ferit Küçükay

Abstract:

This publication focuses on the limits and potentials of 48V hybrid systems, which are especially due to the cost advantages an attractive alternative, compared to established high volt-age HEVs and thus will gain relevant market shares in the future. Firstly, at market overview is given which shows the current known 48V hybrid concepts and demonstrators. These topologies will be analyzed and evaluated regarding the system power and the battery capacity as well as their implemented hybrid functions. The potential in fuel savings and CO2 reduction is calculated followed by the customer-relevant dimensioning of the electric motor and the battery. For both measured data of the real customer operation is used. Subsequently, the CO2 saving potentials of the customer-oriented dimensioned powertrain will be presented for the NEDC and the customer operation. With a comparison of the newly defined drivetrain with existing 48V systems the question can be answered whether current systems are dimensioned optimally for the customer operation or just for legislated driving cycles.

Keywords: 48V hybrid systems, market comparison, requirements and potentials in customer operation, customer-oriented dimensioning, CO2 savings

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Authors: Mohsen Torabi, Nader Karimi, Kaili Zhang

Abstract:

This work aims to provide a comprehensive study on the heat transfer and entropy generation rates of a horizontal channel partially filled with a porous medium which experiences internal heat generation or consumption due to exothermic or endothermic chemical reaction. The focus has been given to the local thermal non-equilibrium (LTNE) model. The LTNE approach helps us to deliver more accurate data regarding temperature distribution within the system and accordingly to provide more accurate Nusselt number and entropy generation rates. Darcy-Brinkman model is used for the momentum equations, and constant heat flux is assumed for boundary conditions for both upper and lower surfaces. Analytical solutions have been provided for both velocity and temperature fields. By incorporating the investigated velocity and temperature formulas into the provided fundamental equations for the entropy generation, both local and total entropy generation rates are plotted for a number of cases. Bifurcation phenomena regarding temperature distribution and interface heat flux ratio are observed. It has been found that the exothermicity or endothermicity characteristic of the channel does have a considerable impact on the temperature fields and entropy generation rates.

Keywords: entropy generation, exothermicity or endothermicity, forced convection, local thermal non-equilibrium, analytical modelling

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Authors: B. Marasović, S. Pivac, S. V. Vukasović

Abstract:

Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the presence of transaction costs on the Croatian capital market is analyzed. The model applied in the paper is an extension of the standard portfolio mean-variance optimization model in which transaction costs are incurred to rebalance an investment portfolio. This model allows different costs for different securities, and different costs for buying and selling. In order to find efficient portfolio, using this model, first, the solution of quadratic programming problem of similar size to the Markowitz model, and then the solution of a linear programming problem have to be found. Furthermore, in the paper the impact of transaction costs on the efficient frontier is investigated. Moreover, it is shown that global minimum variance portfolio on the efficient frontier always has the same level of the risk regardless of the amount of transaction costs. Although efficient frontier position depends of both transaction costs amount and initial portfolio it can be concluded that extreme right portfolio on the efficient frontier always contains only one stock with the highest expected return and the highest risk.

Keywords: Croatian capital market, Markowitz model, fractional quadratic programming, portfolio optimization, transaction costs

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Authors: Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

Abstract:

The relation between stock price volatility and trading volume represents a controversial issue which has received a remarkable attention over the past decades. In fact, an extensive literature shows a positive relation between price volatility and trading volume in the financial markets, but the causal relationship which originates such association is an open question, from both a theoretical and empirical point of view. In this regard, various models, which can be considered as complementary rather than competitive, have been introduced to explain this relationship. They include the long debated Mixture of Distributions Hypothesis (MDH); the Sequential Arrival of Information Hypothesis (SAIH); the Dispersion of Beliefs Hypothesis (DBH); the Noise Trader Hypothesis (NTH). In this work, we analyze whether stock market efficiency can explain the diversity of results achieved during the years. For this purpose, we propose an alternative measure of market efficiency, based on the pointwise regularity of a stochastic process, which is the Hurst–H¨older dynamic exponent. In particular, we model the stock market by means of the multifractional Brownian motion (mBm) that displays the property of a time-changing regularity. Mostly, such models have in common the fact that they locally behave as a fractional Brownian motion, in the sense that their local regularity at time t0 (measured by the local Hurst–H¨older exponent in a neighborhood of t0 equals the exponent of a fractional Brownian motion of parameter H(t0)). Assuming that the stock price follows an mBm, we introduce and theoretically justify the Hurst–H¨older dynamical exponent as a measure of market efficiency. This allows to measure, at any time t, markets’ departures from the martingale property, i.e. from efficiency as stated by the Efficient Market Hypothesis. This approach is applied to financial markets; using data for the SP500 index from 1978 to 2017, on the one hand we find that when efficiency is not accounted for, a positive contemporaneous relationship emerges and is stable over time. Conversely, it disappears as soon as efficiency is taken into account. In particular, this association is more pronounced during time frames of high volatility and tends to disappear when market becomes fully efficient.

Keywords: volume–volatility relationship, efficient market hypothesis, martingale model, Hurst–Hölder exponent

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