Search results for: stochastic finite elements

Authors: Basavaraj R. Endigeri, S. G. Sarganachari

Abstract:

Steel is widely used in machine parts, structural equipment and many other applications. In many steel structural elements, holes of different shapes and orientations are made with a view to satisfy the design requirements. The presence of holes in steel elements creates stress concentration, which eventually reduce the mechanical strength of the structure. Therefore, it is of great importance to investigate the state of stress around the holes for the safety and properties design of such elements. By literature survey, it is known that till date, there is no analytical solution to reduce the stress concentration by providing auxiliary holes at a definite location and radii in a steel plate. The numerical method can be used to determine the optimum location and radii of auxiliary holes. In the present work plate with an elliptical hole, for a steel material subjected to uniaxial load is analyzed and the effect of stress concentration is graphically represented .The introduction of auxiliary holes at a optimum location and radii with its effect on stress concentration is also represented graphically. The finite element analysis package ANSYS 11.0 is used to analyse the steel plate. The analysis is carried out using a plane 42 element. Further the ANSYS optimization model is used to determine the location and radii for optimum values of auxiliary hole to reduce stress concentration. All the results for different diameter to plate width ratio are presented graphically. The results of this study are in the form of the graphs for determining the locations and diameter of optimal auxiliary holes. The graph of stress concentration v/s central hole diameter to plate width ratio. The Finite Elements results of the study indicates that the stress concentration effect of central elliptical hole in an uniaxial loaded plate can be reduced by introducing auxiliary holes on either side of the central circular hole.

Keywords: finite element method, optimization, stress concentration factor, auxiliary holes

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Authors: Raphael Naryongo, Philip Ngare, Anthony Waititu

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This paper deals with numerical simulation of Wishart processes for a single asset risky pricing model whose volatility is described by Wishart affine diffusion processes. The multi-factor specification of volatility will make the model more flexible enough to fit the stock market data for short or long maturities for better returns. The Wishart process is a stochastic process which is a positive semi-definite matrix-valued generalization of the square root process. The aim of the study is to model the log asset stock returns under the double Wishart stochastic volatility model. The solution of the log-asset return dynamics for Bi-Wishart processes will be obtained through Euler-Maruyama discretization schemes. The numerical results on the asset returns are compared to the existing models returns such as Heston stochastic volatility model and double Heston stochastic volatility model

Keywords: euler schemes, log-asset return, infinitesimal generator, wishart diffusion affine processes

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Authors: Michael Fundator

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Groundbreaking application of biomathematical and biochemical research in neural networks processes to formation of non-canonical bases, islands, and analog bases in DNA and mRNA at or near the transcription that contradicts the long anticipated statistical assumptions for the distribution of bases and analog bases compounds is implemented through statistical and stochastic methods apparatus with addition of quantum principles, where the usual transience of Poisson spike train becomes very instrumental tool for finding even almost periodical type of solutions to Fokker-Plank stochastic differential equation. Present article develops new multidimensional methods of finding solutions to stochastic differential equations based on more rigorous approach to mathematical apparatus through Kolmogorov-Chentsov continuity theorem that allows the stochastic processes with jumps under certain conditions to have γ-Holder continuous modification that is used as basis for finding analogous parallels in dynamics of neutral networks and formation of analog bases and transcription in DNA.

Keywords: Fokker-Plank stochastic differential equation, Kolmogorov-Chentsov continuity theorem, neural networks, translation and transcription

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Authors: Daniil Karzanov

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This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modeled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of stochastic differential equations to the pre-and after-report period using the Maximum Likelihood Estimation and Grid Search of parameters method. By examining the change in the model parameters after reports’ publication, the study reveals that the reports have enough evidence to be a structural breakpoint, meaning that all the forecast models exploited are not applicable for forecasting and should be refitted shortly.

Keywords: stock market, earnings reports, financial time series, structural breaks, stochastic differential equations

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Authors: Nisha Nandlal Sharma, Julaluk Carmai, Saiprasit Koetniyom, Bernd Markert

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Whiplash Injuries are mostly experienced in car accidents. Symptoms of whiplash are commonly reported in studies, neck pain and headaches are two most common symptoms observed. The whiplash Injury mechanism is poorly understood. In present study, hybrid neck muscle model were developed with a combination of solid tetrahedral elements and 1D beam elements. Solid tetrahedral elements represents passive part of the muscle whereas, 1D beam elements represents active part. To simulate the active behavior of the muscle, Hill-type muscle model was applied to beam elements. To simulate non-linear passive properties of muscle, solid elements were modeled with rubber/foam material model. Some important muscles were then inserted into THUMS (Total Human Model for Safety) THUMS was given a boundary conditions similar to experimental tests. The model was exposed to 4g and 7g rear impacts as these load impacts are close to low speed impacts causing whiplash. The effect of muscle activation level on occupant kinematics during whiplash was analyzed.

Keywords: finite element model, muscle activation, THUMS, whiplash injury mechanism

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Authors: S. Dey, T. Mukhopadhyay, S. Adhikari

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This paper presents an exhaustive comparative investigation on sampling techniques of polynomial regression model based stochastic natural frequency of composite plates. Both individual and combined variations of input parameters are considered to map the computational time and accuracy of each modelling techniques. The finite element formulation of composites is capable to deal with both correlated and uncorrelated random input variables such as fibre parameters and material properties. The results obtained by Polynomial regression (PR) using different sampling techniques are compared. Depending on the suitability of sampling techniques such as 2k Factorial designs, Central composite design, A-Optimal design, I-Optimal, D-Optimal, Taguchi’s orthogonal array design, Box-Behnken design, Latin hypercube sampling, sobol sequence are illustrated. Statistical analysis of the first three natural frequencies is presented to compare the results and its performance.

Keywords: composite plate, natural frequency, polynomial regression model, sampling technique, uncertainty quantification

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Authors: Maria C. Mariani, Md Al Masum Bhuiyan, Osei K. Tweneboah, Hector G. Huizar

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This work is devoted to the study of modeling geophysical time series. A stochastic technique with time-varying parameters is used to forecast the volatility of data arising in geophysics. In this study, the volatility is defined as a logarithmic first-order autoregressive process. We observe that the inclusion of log-volatility into the time-varying parameter estimation significantly improves forecasting which is facilitated via maximum likelihood estimation. This allows us to conclude that the estimation algorithm for the corresponding one-step-ahead suggested volatility (with ±2 standard prediction errors) is very feasible since it possesses good convergence properties.

Keywords: Augmented Dickey Fuller Test, geophysical time series, maximum likelihood estimation, stochastic volatility model

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Authors: Mezigheche Nawel, Gouasmia Abdelhacine, Athmani Allaeddine, Merzoud Mouloud

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Masonry infill walls are inevitable in the self-supporting structures, but their contribution in the resistance of earthquake loads is generally neglected in the structural analyses. The principal aim of this work through a numerical study of the behavior of masonry infill walls in structures subjected to horizontal load is to propose by finite elements numerical modeling, a more reliable approach, faster and close to reality. In this study, 3D finite element analysis was developed to study the behavior of masonry infill walls in structures subjected to horizontal load: The finite element software being used was ABAQUS, it is observed that more rigidity of the masonry filling is significant, more the structure is rigid, so we can conclude that the filling brings an additional rigidity to the structure not to be neglected. It is also observed that when the framework is subjected to horizontal loads, the framework separates from the filling on the level of the tended diagonal.

Keywords: finite element, masonry infill walls, rigidity of the masonry, tended diagonal

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Authors: Raphael Zanella, Todd A. Oliver, Karl W. Schulz

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This work deals with the finite element approximation of axisymmetric compressible flows with swirl velocity. We are interested in problems where the flow, while weakly dependent on the azimuthal coordinate, may have a strong azimuthal velocity component. We describe the approximation of the compressible Navier-Stokes equations with H1-conformal spaces of axisymmetric functions. The weak formulation is implemented in a C++ solver with explicit time marching. The code is first verified with a convergence test on a manufactured solution. The verification is completed by comparing the numerical and analytical solutions in a Poiseuille flow case and a Taylor-Couette flow case. The code is finally applied to the problem of a swirling subsonic air flow in a plasma torch geometry.

Keywords: axisymmetric problem, compressible Navier-Stokes equations, continuous finite elements, swirling flow

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Authors: Taiki Baba, Tomoaki Hashimoto

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The random dither quantization method enables us to achieve much better performance than the simple uniform quantization method for the design of quantized control systems. Motivated by this fact, the stochastic model predictive control method in which a performance index is minimized subject to probabilistic constraints imposed on the state variables of systems has been proposed for linear feedback control systems with random dither quantization. In other words, a method for solving optimal control problems subject to probabilistic state constraints for linear discrete-time control systems with random dither quantization has been already established. To our best knowledge, however, the feasibility of such a kind of optimal control problems has not yet been studied. Our objective in this paper is to investigate the feasibility of stochastic model predictive control problems for linear discrete-time control systems with random dither quantization. To this end, we provide the results of numerical simulations that verify the feasibility of stochastic model predictive control problems for linear discrete-time control systems with random dither quantization.

Keywords: model predictive control, stochastic systems, probabilistic constraints, random dither quantization

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Authors: Ammar Edress Mohamed, Mustafa Aziz, David Wright

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This paper analyses and calculates the head fields of asymmetrical 2D magnetic recording heads when the soft-underlayer is present using the appropriate Green's function to derive the surface potential/field by utilising the surface potential for asymmetrical head without underlayer. The results follow closely the corners, while the gap region shows a linear behaviour for d/g < 0.5 compared with the calculated fields from finite-element.

Keywords: magnetic recording, finite elements, asymmetrical magnetic heads, superposition, Laplace's equation

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Authors: Melvin Ballera, Aldrich Olivar, Mary Soriano

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Digital computers nowadays must be able to have a utility that is capable of generating random numbers. Usually, computer-generated random numbers are not random given predefined values such as starting point and end points, making the sequence almost predictable. There are many applications of random numbers such business simulation, manufacturing, services domain, entertainment sector and other equally areas making worthwhile to design a unique method and to allow unpredictable random numbers. Applying stochastic simulation using linear congruential algorithm, it shows that as it increases the numbers of the seed and range the number randomly produced or selected by the computer becomes unique. If this implemented in an environment where random numbers are very much needed, the reliability of the random number is guaranteed.

Keywords: stochastic simulation, random numbers, linear congruential algorithm, pseudorandomness

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Authors: Tugrul Oktay, Mehmet Konar, Mustafa Soylak, Firat Sal, Murat Onay, Orhan Kizilkaya

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In this paper, autonomous performance of a small manufactured unmanned helicopter is tried to be increased. For this purpose, a small unmanned helicopter is manufactured in Erciyes University, Faculty of Aeronautics and Astronautics. It is called as ZANKA-Heli-I. For performance maximization, autopilot parameters are determined via minimizing a cost function consisting of flight performance parameters such as settling time, rise time, overshoot during trajectory tracking. For this purpose, a stochastic optimization method named as simultaneous perturbation stochastic approximation is benefited. Using this approach, considerable autonomous performance increase (around %23) is obtained.

Keywords: small helicopters, hierarchical control, stochastic optimization, autonomous performance maximization, autopilots

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Authors: Marco Tulio C. Faria

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Fixed-geometry hydrodynamic journal bearings are one of the best supporting systems for several applications of rotating machinery. Cylindrical journal bearings present excellent load-carrying capacity and low manufacturing costs, but they are subjected to the oil-film instability at high speeds. An attempt of overcoming this instability problem has been the development of non-circular journal bearings. This work deals with an analysis of oil-lubricated elliptical journal bearings using the finite element method. Steady-state and dynamic performance characteristics of elliptical bearings are rendered by zeroth- and first-order lubrication equations obtained through a linearized perturbation method applied on the classical Reynolds equation. Four-node isoparametric rectangular finite elements are employed to model the bearing thin film flow. Curves of elliptical bearing load capacity and dynamic force coefficients are rendered at several operating conditions. The results presented in this work demonstrate the influence of the bearing ellipticity on its performance at different loading conditions.

Keywords: elliptical journal bearings, non-circular journal bearings, hydrodynamic bearings, finite element method

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Authors: Jackeline Kafie-Martinez, Peter B. Keating

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A three-dimensional finite element model is developed to capture the stress field generated in connected plates during the installation of hot-driven rivets. Clamping stress is generated when a steel rivet heated to approximately 1000 °C comes in contact with the material to be fastened at ambient temperature. As the rivet cools, thermal contraction subjects the rivet into tensile stress, while the material being fastened is subjected to compressive stress. Model characteristics and assumptions, as well as steel properties variation with respect to temperature are discussed. The thermal stresses developed around the rivet hole are assessed and reported. Results from the analysis are utilized to detect possible regions for fatigue crack propagation under cyclic loads.

Keywords: clamping stress, fatigue, finite elements, rivet, riveted railroad bridges

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Authors: Amin Jamili

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Nowadays, the majority of international trade in goods is carried by sea, and especially by ships deployed in the industrial and tramp segments. This paper addresses routing the tramp ships and determining the schedules including the arrival times to the ports, berthing times at the ports, and the departure times in an operational planning level. In the operational planning level, the weather can be almost exactly forecasted, however in some routes some uncertainties may remain. In this paper, the voyaging times between some of the ports are considered to be uncertain. To that end, a two-stage stochastic mathematical model is proposed. Moreover, a case study is tested with the presented model. The computational results show that this mathematical model is promising and can represent acceptable solutions.

Keywords: routing, scheduling, tram ships, two stage stochastic model, uncertainty

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Authors: Juan F. P. Ramírez, Jésica A. L. Isaza, Benjamín A. Rojano

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This study proposes a novel use of a method to determine the mechanical properties of fruits by the use of the indentation tests. The method combines experimental results with a numerical finite elements model. The results presented correspond to a simplified numerical modeling of banana. The banana was assumed as one-layer material with an isotropic linear elastic mechanical behavior, the Young’s modulus found is 0.3Mpa. The method will be extended to multilayer models in further studies.

Keywords: finite element method, fruits, inverse analysis, mechanical properties

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Authors: Meriem Bahij, Ahmed Nafidi, Boujemâa Achchab, Sílvio M. A. Gama, José A. O. Matos

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Stochastic modeling concerns the use of probability to model real-world situations in which uncertainty is present. Therefore, the purpose of stochastic modeling is to estimate the probability of outcomes within a forecast, i.e. to be able to predict what conditions or decisions might happen under different situations. In the present study, we present a model of a stochastic diffusion process based on the bi-Weibull distribution function (its trend is proportional to the bi-Weibull probability density function). In general, the Weibull distribution has the ability to assume the characteristics of many different types of distributions. This has made it very popular among engineers and quality practitioners, who have considered it the most commonly used distribution for studying problems such as modeling reliability data, accelerated life testing, and maintainability modeling and analysis. In this work, we start by obtaining the probabilistic characteristics of this model, as the explicit expression of the process, its trends, and its distribution by transforming the diffusion process in a Wiener process as shown in the Ricciaardi theorem. Then, we develop the statistical inference of this model using the maximum likelihood methodology. Finally, we analyse with simulated data the computational problems associated with the parameters, an issue of great importance in its application to real data with the use of the convergence analysis methods. Overall, the use of a stochastic model reflects only a pragmatic decision on the part of the modeler. According to the data that is available and the universe of models known to the modeler, this model represents the best currently available description of the phenomenon under consideration.

Keywords: diffusion process, discrete sampling, likelihood estimation method, simulation, stochastic diffusion process, trends functions, bi-parameters weibull density function

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Authors: A. Mezzidi, H. Hamli Benzahar

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The present study evaluates the stress and stress intensity factor during the propagation of a crack at presence of a dislocation near of crack tip. The problem is formulated using a glass material having an equivalent elasticity modulus and a Poisson ratio. In this research work, the proposed material is a plate form with a main crack in one of these ends and a dislocation near this crack, subjected to tensile stresses according to the mode 1 opening. For each distance between the two cracks, we can determine these stresses. This study is treated by finite elements method by using the software (ABAQUS) rate. It is shown here in that obtained results agreed with those determined by other researchers

Keywords: crack, dislocation, finite element, glass

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Authors: Xuan Sun, Mingbo Tong

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To understand the factors which affect impact damage on composite structures, particularly the effects of impact position and ribs. In this paper, a finite element model (FEM) of low-velocity impact damage on the composite structure was established via the nonlinear finite element method, combined with the user-defined materials subroutine (VUMAT) of the ABAQUS software. The structural elements chosen for the investigation comprised a series of stiffened composite panels, representative of real aircraft structure. By impacting the panels at different positions relative to the ribs, the effect of relative position of ribs was found out. Then the simulation results and the experiments data were compared. Finally, the factors which affect impact damage on the structures were discussed. The paper was helpful for the design of stiffened composite structures.

Keywords: stiffened, low-velocity impact, Abaqus, impact energy

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Authors: A. Gherbi, L. Dahmani, A. Boudjemia

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This paper presents the Finite Element Method (FEM) for analyzing the failure pattern of rectangular slab with various edge conditions. Non-Linear static analysis is carried out using ANSYS 15 Software. Using SOLID65 solid elements, the compressive crushing of concrete is facilitated using plasticity algorithm, while the concrete cracking in tension zone is accommodated by the nonlinear material model. Smeared reinforcement is used and introduced as a percentage of steel embedded in concrete slab. The behavior of the analyzed concrete slab has been observed in terms of the crack pattern and displacement for various loading and boundary conditions. The finite element results are also compared with the experimental data. One of the other objectives of the present study is to show how similar the crack path found by ANSYS program to those observed for the yield line analysis. The smeared reinforcement method is found to be more practical especially for the layered elements like concrete slabs. The value of this method is that it does not require explicit modeling of the rebar, and thus a much coarser mesh can be defined.

Keywords: ANSYS, cracking pattern, displacements, reinforced concrete slab, smeared reinforcements

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Authors: Majid Khalili, Hamed Tayebi

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This paper considers a stochastic flexible job-shop scheduling (SFJSS) problem in the presence of production disruptions, and reactive scheduling is implemented in order to find the optimal solution under uncertainty. In this problem, there are two main disruptions including machine failure which influences operation time, and modification or cancellation of the order delivery date during production. In order to decrease the negative effects of these difficulties, two derived strategies from reactive scheduling are used; the first one is relevant to being able to allocate multiple machine to each job, and the other one is related to being able to select the best alternative process from other job while some disruptions would be created in the processes of a job. For this purpose, a Mixed Integer Linear Programming model is proposed.

Keywords: flexible job-shop scheduling, reactive scheduling, stochastic environment, mixed integer linear programming

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Authors: I.J. Kim, B.C. Kim, J.H. Kim, C.-Y. Yi

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Heat transfer in a graphite calorimeter is analyzed by using the finite elements method. The calorimeter is modeled in 3D geometry. Quasi-adiabatic mode operation is realized in the simulation and the temperature rise by different sources of the ionizing radiation and electric heaters is compared, directly. The temperature distribution caused by the electric power was much different from that by the ionizing radiation because of its point-like localized heating. However, the temperature rise which was finally read by sensing thermistors agreed well to each other within 0.02 %.

Keywords: graphite calorimeter, finite element analysis, heat transfer, quasi-adiabatic mode

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Authors: Alberto Hananel

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The aim of this work is to modelize the occlusion of a person with temporomandibular disorders as an evolutionary equation and approach its solution by the construction and characterizing of discrete variational splines. To formulate the problem, certain boundary conditions have been considered. After showing the existence and the uniqueness of the solution of such a problem, a convergence result of a discrete variational evolutionary spline is shown. A stress analysis of the occlusion of a human jaw with temporomandibular disorders by finite elements is carried out in FreeFem++ in order to prove the validity of the presented method.

Keywords: approximation, evolutionary PDE, Finite Element Method, temporomandibular disorders, variational spline

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Authors: Ramazan I. Kadiev, Arcady Ponosov

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Mathematical models of gene regulatory networks can in many cases be described by ordinary differential equations with switching nonlinearities, where the initial value problem is ill-posed. Several regularization methods are known in the case of deterministic networks, but the presence of stochastic noise leads to several technical difficulties. In the presentation, it is proposed to apply the methods of the stochastic singular perturbation theory going back to Yu. Kabanov and Yu. Pergamentshchikov. This approach is used to regularize the above ill-posed problem, which, e.g., makes it possible to design stable numerical schemes. Several examples are provided in the presentation, which support the efficiency of the suggested analysis. The method can also be of interest in other fields of biomathematics, where differential equations contain switchings, e.g., in neural field models.

Keywords: ill-posed problems, singular perturbation analysis, stochastic differential equations, switching nonlinearities

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Authors: Edip Kemal, Sheshov Vlatko, Bojadjieva Julijana, Bogdanovic ALeksandra, Gjorgjeska Irena

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The wave propagation phenomenon in porous domains is of great importance in the field of geotechnical earthquake engineering. In these kinds of problems, the elastic waves propagate from the interior to the exterior domain and require special treatment at the computational level since apart from displacement in the solid-state there is a p-wave that takes place in the pore water phase. In this paper, a study on the implementation of multiphase finite elements is presented. The proposed algorithm is implemented in the ANSYS finite element software and tested on one-dimensional wave propagation considering both pore pressure wave propagation and displacement fields. In the simulation of porous media such as soils, the behavior is governed largely by the interaction of the solid skeleton with water and/or air in the pores. Therefore, coupled problems of fluid flow and deformation of the solid skeleton are considered in a detailed way.

Keywords: wave propagation, multiphase model, numerical methods, finite element method

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Authors: H. M. Soroush

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The problem of scheduling products and services for on-time deliveries is of paramount importance in today’s competitive environments. It arises in many manufacturing and service organizations where it is desirable to complete jobs (products or services) with different weights (penalties) on or before their due dates. In such environments, schedules should frequently decide whether to schedule a job based on its processing time, due-date, and the penalty for tardy delivery to improve the system performance. For example, it is common to measure the weighted number of late jobs or the percentage of on-time shipments to evaluate the performance of a semiconductor production facility or an automobile assembly line. In this paper, we address the problem of scheduling a set of jobs on a server where processing times or due-dates of jobs are random variables and fixed weights (penalties) are imposed on the jobs’ late deliveries. The goal is to find the schedule that minimizes the expected weighted number of tardy jobs. The problem is NP-hard to solve; however, we explore three scenarios of the problem wherein: (i) both processing times and due-dates are stochastic; (ii) processing times are stochastic and due-dates are deterministic; and (iii) processing times are deterministic and due-dates are stochastic. We prove that special cases of these scenarios are solvable optimally in polynomial time, and introduce efficient heuristic methods for the general cases. Our computational results show that the heuristics perform well in yielding either optimal or near optimal sequences. The results also demonstrate that the stochasticity of processing times or due-dates can affect scheduling decisions. Moreover, the proposed problem is general in the sense that its special cases reduce to some new and some classical stochastic single machine models.

Keywords: number of late jobs, scheduling, single server, stochastic

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Authors: A. A. Hussen, I. N. Jleta

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Micro-electromechanical system (MEMS) accelerometers and gyroscopes are suitable for the inertial navigation system (INS) of many applications due to the low price, small dimensions and light weight. The main disadvantage in a comparison with classic sensors is a worse long term stability. The estimation accuracy is mostly affected by the time-dependent growth of inertial sensor errors, especially the stochastic errors. In order to eliminate negative effect of these random errors, they must be accurately modeled. Where the key is the successful implementation that depends on how well the noise statistics of the inertial sensors is selected. In this paper, the Allan variance technique will be used in modeling the stochastic errors of the inertial sensors. By performing a simple operation on the entire length of data, a characteristic curve is obtained whose inspection provides a systematic characterization of various random errors contained in the inertial-sensor output data.

Keywords: Allan variance, accelerometer, gyroscope, stochastic errors

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Authors: Tomoaki Hashimoto

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Recently, feedback control systems using random dither quantizers have been proposed for linear discrete-time systems. However, the constraints imposed on state and control variables have not yet been taken into account for the design of feedback control systems with random dither quantization. Model predictive control is a kind of optimal feedback control in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. An important advantage of model predictive control is its ability to handle constraints imposed on state and control variables. Based on the model predictive control approach, the objective of this paper is to present a control method that satisfies probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization. In other words, this paper provides a method for solving the optimal control problems subject to probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization.

Keywords: optimal control, stochastic systems, random dither, quantization

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Authors: Katja Ignatieva, Patrick Wong

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We investigated the dynamics of high frequency energy prices, including crude oil and electricity prices. The returns of underlying quantities are modelled using various parametric models such as stochastic framework with jumps and stochastic volatility (SVCJ) as well as non-parametric alternatives, which are purely data driven and do not require specification of the drift or the diffusion coefficient function. Using different statistical criteria, we investigate the performance of considered parametric and nonparametric models in their ability to forecast price series and volatilities. Our models incorporate possible seasonalities in the underlying dynamics and utilise advanced estimation techniques for the dynamics of energy prices.

Keywords: stochastic volatility, affine jump-diffusion models, high frequency data, model specification, markov chain monte carlo

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