Search results for: Staffan Svensson

Authors: Tea Poklepović, Zdravka Aljinović, Branka Marasović

Abstract:

Due to the importance of yield curve and its estimation it is inevitable to have valid methods for yield curve forecasting in cases when there are scarce issues of securities and/or week trade on a secondary market. Therefore in this paper, after the estimation of weekly yield curves on Croatian financial market from October 2011 to August 2012 using Nelson-Siegel and Svensson models, yield curves are forecasted using Vector auto-regressive model and Neural networks. In general, it can be concluded that both forecasting methods have good prediction abilities where forecasting of yield curves based on Nelson Siegel estimation model give better results in sense of lower Mean Squared Error than forecasting based on Svensson model Also, in this case Neural networks provide slightly better results. Finally, it can be concluded that most appropriate way of yield curve prediction is neural networks using Nelson-Siegel estimation of yield curves.

Keywords: Nelson-Siegel Model, neural networks, Svensson Model, vector autoregressive model, yield curve

Procedia PDF Downloads 331

Authors: Sofia Ayouche, Rachid Ellaia, Rajae Aboulaich

Abstract:

Today, insurers may use the yield curve as an indicator evaluation of the profit or the performance of their portfolios; therefore, they modeled it by one class of model that has the ability to fit and forecast the future term structure of interest rates. This class of model is the Nelson-Siegel-Svensson model. Unfortunately, many authors have reported a lot of difficulties when they want to calibrate the model because the optimization problem is not convex and has multiple local optima. In this context, we implement a hybrid Particle Swarm optimization and Nelder Mead algorithm in order to minimize by least squares method, the difference between the zero-coupon curve and the NSS curve.

Keywords: optimization, zero-coupon curve, Nelson-Siegel-Svensson, particle swarm optimization, Nelder-Mead algorithm

Procedia PDF Downloads 429

Authors: Jamilatuzzahro, Rezzy Eko Caraka

Abstract:

The yield curve is the plot of the yield to maturity of zero-coupon bonds against maturity. In practice, the yield curve is not observed but must be extracted from observed bond prices for a set of (usually) incomplete maturities. There exist many methodologies and theory to analyze of yield curve. We use two methods (the Nelson-Siegel Method, the Svensson Method, and the SVR method) in order to construct and compare our zero-coupon yield curves. The objectives of this research were: (i) to study the adequacy of NSS model and SVR to Indonesian government bonds data, (ii) to choose the best optimization or estimation method for NSS model and SVR. To obtain that objective, this research was done by the following steps: data preparation, cleaning or filtering data, modeling, and model evaluation.

Keywords: support vector regression, Nelson-Siegel-Svensson, yield curve, Indonesian government

Procedia PDF Downloads 243

Authors: Sabina Huč, Staffan Svensson, Tomaž Hozjan

Abstract:

Timber structures may be exposed to various environmental conditions during their service life. Often, the structures have to resist extreme changes in the relative humidity of surrounding air, with simultaneously carrying the loads. Wood material response for this load case is seen as increasing deformation of the timber structure. Relative humidity variations cause moisture changes in timber and consequently shrinkage and swelling of the material. Moisture changes and loads acting together result in mechano-sorptive creep, while sustained load gives viscoelastic creep. In some cases, magnitude of the mechano-sorptive strain can be about five times the elastic strain already at low stress levels. Therefore, analyzing mechano-sorptive creep and its influence on timber structures’ long-term behavior is of high importance. Relatively many one-dimensional rheological models for rheological behavior of wood can be found in literature, while a number of models coupling creep response in each material direction is limited. In this study, mathematical formulation of a coupled two-dimensional mechano-sorptive model and its application to the experimental results are presented. The mechano-sorptive model constitutes of a moisture transport model and a mechanical model. Variation of the moisture content in wood is modelled by multi-Fickian moisture transport model. The model accounts for processes of the bound-water and water-vapor diffusion in wood, that are coupled through sorption hysteresis. Sorption defines a nonlinear relation between moisture content and relative humidity. Multi-Fickian moisture transport model is able to accurately predict unique, non-uniform moisture content field within the timber member over time. Calculated moisture content in timber members is used as an input to the mechanical analysis. In the mechanical analysis, the total strain is assumed to be a sum of the elastic strain, viscoelastic strain, mechano-sorptive strain, and strain due to shrinkage and swelling. Mechano-sorptive response is modelled by so-called spring-dashpot type of a model, that proved to be suitable for describing creep of wood. Mechano-sorptive strain is dependent on change of moisture content. The model includes mechano-sorptive material parameters that have to be calibrated to the experimental results. The calibration is made to the experiments carried out on wooden blocks subjected to uniaxial compressive loaded in tangential direction and varying humidity conditions. The moisture and the mechanical model are implemented in a finite element software. The calibration procedure gives the required, distinctive set of mechano-sorptive material parameters. The analysis shows that mechano-sorptive strain in transverse direction is present, though its magnitude and variation are substantially lower than the mechano-sorptive strain in the direction of loading. The presented mechano-sorptive model enables observing real temporal and spatial distribution of the moisture-induced strains and stresses in timber members. Since the model’s suitability for predicting mechano-sorptive strains is shown and the required material parameters are obtained, a comprehensive advanced analysis of the stress-strain state in timber structures, including connections subjected to constant load and varying humidity is possible.

Keywords: mechanical analysis, mechano-sorptive creep, moisture transport model, timber

Procedia PDF Downloads 244

Authors: Kerstin Grunden, Ann Svensson, Berit Forsman, Christina Karlsson, Ayman Obeid

Abstract:

The research question of the article is to explore whether the dialogue meetings method could be relevant for reflective learning among researchers and practitioners when welfare technology should be implemented in municipalities, or not. A testbed was planned to be implemented in a retirement home in a Swedish municipality, and the practitioners worked with a pre-study of that testbed. In the article, the dialogue between the researchers and the practitioners in the dialogue meetings is described and analyzed. The potential of dialogue meetings as an arena for learning and reflection among researchers and practitioners is discussed. The research methodology approach is participatory action research with mixed methods (dialogue meetings, focus groups, participant observations). The main findings from the dialogue meetings were that the researchers learned more about the use of traditional research methods, and the practitioners learned more about how they could improve their use of the methods to facilitate change processes in their organization. These findings have the potential both for the researchers and the practitioners to result in more relevant use of research methods in change processes in organizations. It is concluded that dialogue meetings could be relevant for reflective learning among researchers and practitioners when welfare technology should be implemented in a health care organization.

Keywords: dialogue meetings, implementation, reflection, test bed, welfare technology, participatory action research

Procedia PDF Downloads 144

Authors: Signe Svensson, Remy Rey, Anna-Lisa Osvalder, Henrik Artman, Lars Nordström

Abstract:

The electric power system is undergoing significant changes. Thereby, the operation and control are becoming partly modified, more multifaceted and automated, and thereby supplementary operator skills might be required. This paper discusses developing operational challenges in future power system control rooms, posed by the evolving landscape of sustainable power systems, driven in turn by the shift towards electrification and renewable energy sources. A literature review followed by interviews and a comparison to other related domains with similar characteristics, a descriptive analysis was performed from a human factors perspective. Analysis is meant to identify trends, relationships, and challenges. A power control domain taxonomy includes a temporal domain (planning and real-time operation) and three operational domains within the power system (generation, switching and balancing). Within each operational domain, there are different control actions, either in the planning stage or in the real-time operation, that affect the overall operation of the power system. In addition to the temporal dimension, the control domains are divided in space between a multitude of different actors distributed across many different locations. A control room is a central location where different types of information are monitored and controlled, alarms are responded to, and deviations are handled by the control room operators. The operators’ competencies, teamwork skills, team shift patterns as well as control system designs are all important factors in ensuring efficient and safe electricity grid management. As the power system evolves with sustainable energy technologies, challenges are found. Questions are raised regarding whether the operators’ tacit knowledge, experience and operation skills of today are sufficient to make constructive decisions to solve modified and new control tasks, especially during disturbed operations or abnormalities. Which new skills need to be developed in planning and real-time operation to provide efficient generation and delivery of energy through the system? How should the user interfaces be developed to assist operators in processing the increasing amount of information? Are some skills at risk of being lost when the systems change? How should the physical environment and collaborations between different stakeholders within and outside the control room develop to support operator control? To conclude, the system change will provide many benefits related to electrification and renewable energy sources, but it is important to address the operators’ challenges with increasing complexity. The control tasks will be modified, and additional operator skills are needed to perform efficient and safe operations. Also, the whole human-technology-organization system needs to be considered, including the physical environment, the technical aids and the information systems, the operators’ physical and mental well-being, as well as the social and organizational systems.

Keywords: operator, process control, energy system, sustainability, future control room, skill

Procedia PDF Downloads 94