Cross-regional emergency scheduling planning for petroleum based on the supernetwork model

Petroleum, the most important energy source in the world, plays an essential role in securing economic development. If a petroleum shortage happens, it will severely disrupt production and life. Cross-regional emergency scheduling can effectively alleviate a petroleum shortage and further enhance the efficiency of the emergency response. Considering the general lack of focus on cross-regional petroleum dispatching management, we propose a three-layer emergency scheduling network for petroleum based on a supernetwork model that can increase the regional emergency correlation by adding a transfer management process. Then, we compare the total demand for petroleum and the emergency costs considered in the petroleum emergency scheduling supernetwork model（the single-region and the cross-region scenarios）.The result shows that the cross-regional emergency scheduling pattern can effectively enhance the efficiency of the emergency preparations and reduce the emergency costs in most cases. However, when the vulnerabilities in the crossregional link grow or the regional linkage decreases, the effect of single-regional scheduling is better. In addition, the advantages of the cross-regional emergency scheduling network will be strengthened with an increase in its maximum emergency capability. Nonetheless, this advantage will disappear when the petroleum demand in the crisis layer reaches the maximum emergency response capacity. Finally, according to the comparative analysis simulation among scenarios,certain strategic policy recommendations are suggested to improve the petroleum emergency scheduling ability in regions.These recommendations include strengthening the cross-regional coordination mechanism, increasing the modes of petroleum transportation and enhancing the carrying capacity of regional emergency routes.

Empirical Study on Arbitrage Opportunities in China Copper Futures Market

No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.

Stability Analysis of Robust Arbitrage in a Random Interval Valued Financial Market

Stability of robust arbitrage under different probability measures is discussed in a random interval valued financial market.In a fundamental financial market without robust arbitrages, a suitable condition is given to guarantee that the market with new probability measures will also have no robust arbitrage. In order to specify the result got in this article,an example of binomial tree financial model with interval ratios of change is proposed.

Utilization of cross-regional interconnector and pumped hydro energy storage for further introduction of solar PV in Japan

The amount of solar PV installed capacity has steadily increased to 44.5 GW at the end of FY2017,since the introduction of the Feed in Tariff(FiT)to Japan in 2012.On the other hand,since the first curtailment of solar PV was conducted on October 13th,2018 in the Kyushu area,the curtailment has been frequently executed including wind power after that.In this study,cross-regional interconnector and pumped hydro energy storage(PHES)are focused on mitigating curtailment.In Japan,there are 9 electric power areas which connected each other by cross-regional interconnectors.According to the historical operation,cross-regional interconnectors were secured as emergency flexible measures,but after the implicit auction was started from October 2018,it is used on merit order.Regarding a PHES in Japan,they have been built with nuclear power plants for several decades.Because the output of nuclear power generation is constant,so the PHES is used to absorb the surplus at nighttime when the demand declines.All nuclear power plants in Japan have been shut down after the accident at the Fukushima Daiichi Nuclear Power Plant following the Great East Japan Earthquake that occurred on March 11th,2011.There are several nuclear power plants that have been restarted(9 reactors,as of August 2019).In this study,the amount of curtailment for solar PV in the Kyushu area is sent to the Chugoku area using the cross-regional interconnector(Kanmon line).Then,the PHES in the Chugoku area is pumping with low price.Because the spot price in the market is low when the curtailment is executed.After that,the PHES is generating at night with high price when the solar PV is not generating.It makes a profit by the deference for the cost of pumping and the revenue of generating by the PHES.As a calculation result,for one week from May 2nd to 8th,2019,a profit becomes 152.2 million JPY(about 1.22 million EUR).For this purpose,it is necessary to raise the operation capacity of the cross-regional interconnector up to the rated capacity with the frequency control function of solar PV instead of the capacity to keep frequency in the event of an accident.This will allow the further introduction of solar PV in Japan.

NO-ARBITRAGE SYMMETRIES

The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of(idealized) markets.This paper addresses the following basic question:can one characterize the class of transformations that leave the law of no-arbitrage invariant?We provide a geometric formalization of this question in a non probabilistic setting of discrete time-the so-called trajectorial models.The paper then characterizes,in a local sense,the no-arbitrage symmetries and illustrates their meaning with a detailed example.Our context makes the result available to the stochastic setting as a special case.

Latency arbitrage and the synchronized placement of orders

We argue that owing to traders’inability to fully express their preferences over the execution times of their orders,contemporary stock market designs are prone to latency arbitrage.In turn,we propose a new order type,which allows traders to specify the time at which their orders are executed after reaching the exchange.Using recent latency data,we demonstrate that the order type proposed here allows traders to synchronize order executions across different exchanges,such that high-frequency traders,even if they operate at the speed of light,can no-longer engage in latency arbitrage.

An Empirical Examination of the Arbitrage Pricing Theory:Evidences from the U.S.Stock Market

This study investigates the effects of changes in local macroeconomic risk factors on returns on the banking,chemicals,insurance,telecommunication,and utilities industries in the U.S.market.Using a multifactor pricing model and data from 1998:01 to 2017:12,empirical results show that the banking,chemical,and telecommunication industries show more differences in their stock reactions to local macroeconomic risk factors.The insurance and telecommunication industries do not react significantly to risk factors.However,all the industries show strong reactions to local market portfolio.

A multidimensional subdiffusion model:An arbitrage-free market

To capture the subdiffusive characteristics of financial markets, the subordinated process, directed by the inverse α-stale subordinator Sα （t） for 0 〈 α〈 1, has been employed as the model of asset prices. In this article, we introduce a multidimensional subdiffusion model that has a bond and K correlated stocks. The stock price process is a multidimen- sional subdiffusion process directed by the inverse a-stable subordinator. This model describes the period of stagnation for each stock and the behavior of the dependency between multiple stocks. Moreover, we derive the multidimensional fractional backward Kolmogorov equation for the subordinated process using the Laplace transform technique. Finally, using a martingale approach, we prove that the multidimensional subdiffusion model is arbitrage-free, and also gives an arbitrage-free pricing rule for contingent claims associated with the martingale measure.

FINITE HORIZON ARBITRAGE-FREESECURITY MARKETS

This paper studies the weakly and strictly arbitrage-free security markets. The authors extend the Farkas-Minkowski's Lemma and Stiemke's Lemma from two periods to finite periods and from finite-dimensional (Euclidean) space to locally convex topological space and separable Banach space, show weakly and strictly arbitrage-free security pricing theory, then obtain the conditional expectation form of weakly and strictly arbitrage-free security pricing formula.

投资者情绪、有限套利与股票收益率

本文从行为金融学的角度出发,以2010—2022年间我国上证A股为研究样本,采用单因素投资组合分析、双因素投资组合分析和固定效应模型等实证方法研究投资者情绪、有限套利对股票收益率的影响及其内在相互作用机制。研究发现:投资者情绪和有限套利与股票收益率之间具有显著的正相关关系,这种关系在控制公司规模、资产负债率、资产收益率、amihud非流动性指标和交易量后仍稳健存在。进一步发现,投资者情绪与有限套利之间存在双向加剧效应:投资者情绪加剧有限套利对股票收益率的影响,有限套利加剧投资者情绪对股票收益率的影响,并且投资者情绪和有限套利程度的高低造成的加剧效应也有所不同,具体表现为在投资者情绪和有限套利程度较高的样本公司中这种加剧效应更为明显。

数字化转型与企业金融化:促进还是抑制?

企业数字化转型是为了获得长远发展还是成为管理层投机主义行为的工具?以2011—2021年我国A股上市企业数据为实证样本,研究数字化转型与企业金融化的关系以及动机对这一关系的影响。研究发现:数字化转型会促进企业金融化;动机识别检验出投机套利动机是数字化转型推进企业金融化过程中的主要动机。进一步研究发现:在股权集中度低、国有产权、中西部地区的企业中,数字化转型对企业金融化的正向作用会受到抑制;在金融资产类型差异检验中发现,数字化转型会增加企业短期金融资产投资,而与长期金融资产投资不存在显著关系。研究结论丰富了相关文献,有助于深入理解数字化转型与企业金融化的内在原理,对监督数字化转型、破除金融化难题提供了方法和理论支撑,也为政府相关部门制定合理的数字化发展政策以及企业进行数字化转型变革实践提供了一定的指引和建议。

基于三阶段门限自回归模型的我国豆粕期货市场跨期套利量化投资分析

基于期货市场同一品种不同交割月份合约间价差的非线性特征及均值回复机制,利用存货理论、无套利定价理论和三阶段门限自回归模型研究了一种期货市场跨期套利量化交易策略,并利用大连商品交易所2017—2021年豆粕期货合约的日度价格数据对该策略进行了回测分析。研究发现:第一,从长期来看,豆粕期货合约近月份和远月份相差四个月的跨期套利组合价差自回归波动的上、下门限值并不显著,利用其作为判断无套利区间范围而进行跨期套利交易回测的盈利情况也并不稳定;第二,不同时间长度跨期套利组合价差序列门限的数值和显著性都存在较大差异,利用400天期价差序列门限值进行的动态量化投资回测效果要好于长期和短期价差序列;第三,整体来看,跨期套利的风险控制效果要优于投机交易,但是无套利区间不同的选取方式会使得量化投资策略的回测风险存在较大差异。

甲醇产品实现跨区套利的操作策略

甲醇作为一种基础化工原料,在精细化工、塑料、燃料等领域具有广泛的用途。甲醇期货对标的是华东地区现货价格,而其他地区的甲醇生产企业多是以传统的产销形式,在应对市场大幅波动时,防控经营风险方面能力有限。如何借助期货及衍生品工具,帮助其他地区企业有效防范市场剧烈波动带来的风险,实现稳健经营,成为企业在市场运作中的重要课题。为此,文章将套期保值的理论和操作策略,与甲醇产品具体的市场运行特点以及区域价格走势分析相结合,运用相对价格的思维方式,提出了跨区套利的模型,并从风险防控角度提出了相关建议和措施,为其他区域套利方案的设计和实施提供理论指导和实际运作参考。

考虑共享储能的配电网多主体协同调度策略

针对目前配网侧储能商运营模式单一、盈利方法模糊以及利用率低等问题,提出一种兼具电能自营和储能共享的储能商运营模式。首先,建立考虑共享储能的配电网多主体协同调度模型,该模型兼顾配电网、负荷聚合商和储能商的利益诉求,同时有效降低配电网净负荷峰谷差,缓解主网调峰压力。然后,模型实施两阶段优化,第1阶段为储能租赁容量优化,即配电网按需租赁储能进行削峰填谷,使租赁成本和净负荷方差最小;第2阶段为多主体协同优化,即储能商根据分时电价利用剩余容量“低储高放”套利,与负荷聚合商共同响应调峰,使配电网成本最低、负荷聚合商收益最大以及储能商套利最多,实现各主体互利共赢。最后,通过算例分析验证该文所提方法的有效性。

基于信息间隙决策理论的卡车式移动充电站协同调度策略

卡车式移动充电站(TMCS)由于具有良好的移动储能及调度灵活性已经引起国内外业界的高度关注,而其潜在的应用价值尚未得到充分挖掘。为此,提出一种基于信息间隙决策理论(IGDT)的TMCS协同优化调度策略,以协调其在为电动汽车充电服务和电网能量套利之间的协同运行。根据运营商对风险的偏好程度,分别建立鲁棒IGDT模型和机会IGDT模型,在不同风险态度下,探讨了电动汽车充电需求以及电网注入功率的不确定性对运营商优化调度方案的影响。算例分析表明,所提方法能够为考虑多重不确定因素的TMCS优化调度决策提供有效支撑,在兼顾充电服务质量的同时保障充电设施运营商的收益。

基于功率动态分配与容量短期补偿的用户侧BESS复用策略

用户侧电池储能系统(BESS)在维持新能源高渗透电网电力电量平衡中扮演着重要角色,其面向峰谷套利和调频的复用模式受到了广泛关注。但该模式下,BESS调度面临峰谷套利价格时变性和调频需求随机性的双重挑战。为更好地利用BESS资源,以最大化用户侧BESS日内收益为目标,提出了基于功率动态分配与容量短期补偿的用户侧BESS复用策略,并形成以套利功率、调差系数、容量补偿系数为核心参数的复用结果。仿真分析表明,通过动态功率分配,实现了BESS功率面向峰谷套利和调频的动态调整;通过容量短期补偿,实现了BESS对频率偏差信号的持续跟踪,并有效避免了容量越限的发生,BESS综合收益显著提升。

基于属性隐私的统计查询定价模型

现有统计查询定价模型没有考虑查询结果揭露数据集敏感属性的问题,难以通过相应地补偿数据提供方激励共享,对此提出一种基于属性隐私的定价模型。首先,基于提出的宽松近似Wasserstein机制(RAWM)计算查询敏感度,直接计算输出分布对距离的宽松上界以提高效率;然后,以约束属性隐私损失为前提,根据查询敏感度、噪声方差、补偿参数对数据提供方进行补偿;最后,在补偿之上运用成本加成法设计了多个无套利定价函数,可以针对单补偿成本和多边际成本等场景定价。实验结果表明,查询敏感度的计算时间从线性复杂度降低到了常数复杂度,在一亿数据量下仅有0.52%的效用代价;定价模型能够提供细粒度补偿以激励共享;设计的定价函数满足无套利性。

基于CEEMD-LSTM-Adaboost模型的白糖期货跨期套利策略

以白糖期货合约SR2201和SR2109的5 min高频数据为研究对象,在验证二者存在长期均衡关系的条件下,构建GARCH模型来刻画残差的ARCH效应,将互补集合经验模态分解(CEEMD)方法与长短期记忆网络(LSTM)、自适应提升算法(Adaboost)相结合,通过预测价差涨跌进行套利操作,设置不同开平仓阈值,在样本区间内进行4种神经网络套利策略对比研究。结果表明:基于CEEMD-LSTM-Adaboost模型的神经网络套利策略应用于白糖期货市场可行有效,并且其在模型预测精度和套利效果方面均比BP、LSTM和LSTM-Adaboost神经网络更具优势。

电梯加装楼层价值变动补偿算法设计与应用

在老旧住宅中实施电梯加装项目,虽然能提升居住便利性和整体房产价值,但低层住户通常因电梯安装后房产价值可能下降而持反对意见,成为项目推进的主要阻碍。针对这一问题,基于无套利市场假设,构建了一个以Black-Scholes模型为核心的楼层价值评估方法,通过计算电梯加装后各楼层的价值变化来确定合理的利益补偿方案。在此模型中,通过分析电梯加装前后不同楼层的价值差异,推导出保证任意楼层住户均无套利机会的补偿或支付金额,从而实现利益均衡,确保加装前后楼层价值系数的一致性。提出的方法为电梯加装项目的公平实施提供了新的理论依据,能够有效解决各楼层住户的利益冲突,促进电梯加装工程在市场公平的基础上顺利进行,具有较强的实践参考价值。