This paper investigates the lead-lag relationship between the stock index futures(known as FKLI)and its underlying index,the Kuala Lumpur Composite Index(KLCI)in the emerging Malaysian market.Using 15-second interval ...This paper investigates the lead-lag relationship between the stock index futures(known as FKLI)and its underlying index,the Kuala Lumpur Composite Index(KLCI)in the emerging Malaysian market.Using 15-second interval data,cross-correlation,and the partial adjustment model,we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much stronger.The evidence also suggests that the KLCI returns over-react to information,more so once thin trading effects are considered.Overall,the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures.展开更多
Growing application of distributed generation units at remote places has led to the evolution of microgrid(MG)technology.When an MG system functions independently,i.e.,in autonomous mode,unpredictable loads and uncert...Growing application of distributed generation units at remote places has led to the evolution of microgrid(MG)technology.When an MG system functions independently,i.e.,in autonomous mode,unpredictable loads and uncertainties emerge throughout the system.To obtain stable and flexible operation of an autonomous MG,a rigid control mechanism is needed.In this paper,a robust high-performance controller is introduced to improve the performance of voltage tracking of an MG system and to eliminate stability problems.A combination of a resonant controller and a lead-lag compensator in a positive position feedback path is designed,one which obeys the negative imaginary(NI)theorem,for both single-phase and three-phase autonomous MG systems.The controller has excellent tracking performance.This is investigated through considering various uncertainties with different load dynamics.The feasibility and effectiveness of the controller are also determined with a comparative analysis with some well-known controllers,such as linear quadratic regulator,model predictive and NI approached resonant controllers.This confirms the superi-ority of the designed controller.展开更多
文摘This paper investigates the lead-lag relationship between the stock index futures(known as FKLI)and its underlying index,the Kuala Lumpur Composite Index(KLCI)in the emerging Malaysian market.Using 15-second interval data,cross-correlation,and the partial adjustment model,we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much stronger.The evidence also suggests that the KLCI returns over-react to information,more so once thin trading effects are considered.Overall,the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures.
文摘Growing application of distributed generation units at remote places has led to the evolution of microgrid(MG)technology.When an MG system functions independently,i.e.,in autonomous mode,unpredictable loads and uncertainties emerge throughout the system.To obtain stable and flexible operation of an autonomous MG,a rigid control mechanism is needed.In this paper,a robust high-performance controller is introduced to improve the performance of voltage tracking of an MG system and to eliminate stability problems.A combination of a resonant controller and a lead-lag compensator in a positive position feedback path is designed,one which obeys the negative imaginary(NI)theorem,for both single-phase and three-phase autonomous MG systems.The controller has excellent tracking performance.This is investigated through considering various uncertainties with different load dynamics.The feasibility and effectiveness of the controller are also determined with a comparative analysis with some well-known controllers,such as linear quadratic regulator,model predictive and NI approached resonant controllers.This confirms the superi-ority of the designed controller.
基金partially supported by the National Natural Science Foundation of China under Grant Nos.71390330,71390331,71390335the National Nature Science Foundation of China for financial support to this study+1 种基金supported by the Postdoctorate Programme of Centre University of Economics and Financethe Postodctorate Programme of China Great Wall Asset Management Corporation
