Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an ap...Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an approach to identifying heat stress events and pricing the heat stress weather derivative due to persistent days of high surface air temperature （SAT）. Cooling degree days （CDD） are used as the weather index for trade. In this study, a call-option model was used as an example for calculating the price of the index. Two heat stress indices were developed to describe the severity and physical impact of heat waves. The daily Global Historical Climatology Network （GHCN-D） SAT data from 1901 to 2007 from the southern California, USA, were used. A major California heat wave that occurred 20-25 October 1965 was studied. The derivative price was calculated based on the call-option model for both long-term station data and the interpolated grid point data at a regular 0.1~ x0.1~ latitude-longitude grid. The resulting comparison indicates that （a） the interpolated data can be used as reliable proxy to price the CDD and （b） a normal distribution model cannot always be used to reliably calculate the CDD price. In conclusion, the data, models, and procedures described in this study have potential application in hedging agricultural and other risks.展开更多
Stock price volatility is considered the main matter of concern within the investment grounds.However,the diffusivity of these prices should as well be considered.As such,proper modelling should be done for investors ...Stock price volatility is considered the main matter of concern within the investment grounds.However,the diffusivity of these prices should as well be considered.As such,proper modelling should be done for investors to stay healthy-informed.This paper suggest to model stock price diffusions using the heat equation from physics.We hypothetically state that,our model captures and model the diffusion bubbles of stock prices with a better precision of reality.We compared our model with the standard geometric Brownian motion model which is the wide commonly used stochastic differential equation in asset valuation.Interestingly,the models proved to agree as evidenced by a bijective relation between the volatility coefficients of the Brownian motion model and the diffusion coefficients of our heat diffusion model as well as the corresponding drift components.Consequently,a short proof for the martingale of our model is done which happen to hold.展开更多
In this study, a coal pricing model for Turkey is developed employing Granger causality and cointegration analysis by using monthly data between January 2003 and April 2009. Empirical results based on Granger causalit...In this study, a coal pricing model for Turkey is developed employing Granger causality and cointegration analysis by using monthly data between January 2003 and April 2009. Empirical results based on Granger causality tests indicate that foreign coal futures prices and domestic consumer price index for energy sector can be used as the leading indica- tors for domestic coal prices for Turkey. An error correction model for Turkish coal pricing is specified by taking into account the results of Granger causality. The forecast of the coal prices based on error correction model is giving very successful results. It is observed that the coal prices and forecasted coal prices values are almost moving together or very close to each other.展开更多
Rare earth price rose again as sales heating up since November. Suffered the oversold and experienced the recent positive and constant multiple stimulus, rare earth industry is welcoming its periodic 'turning poin...Rare earth price rose again as sales heating up since November. Suffered the oversold and experienced the recent positive and constant multiple stimulus, rare earth industry is welcoming its periodic 'turning point'. It is understood that some manufacturers began to overhaul in November and the upstream production will be reduced correspondingly. However, demands from magnet and other downstream industries are relatively stable. Driven by restricting output and national reserve, profitability of rare earth industry is expected to improve. Securities' research reports show that national reserve posed a significant support to rare earth prices in recent years.展开更多
传统调度方式下系统调峰能力不足,风电弃风严重。先采用需求侧管理调控负荷的方法削峰填谷、降低负荷谷时段风电弃风,再在需求响应的引导下,通过对热电联产机组(CHP,combined heat and power)处储热环节的控制,解耦以热定电刚性约束,增...传统调度方式下系统调峰能力不足,风电弃风严重。先采用需求侧管理调控负荷的方法削峰填谷、降低负荷谷时段风电弃风,再在需求响应的引导下,通过对热电联产机组(CHP,combined heat and power)处储热环节的控制,解耦以热定电刚性约束,增强系统调峰能力。以系统煤耗量最小为优化目标,构建了包含需求响应、储热的电热联合优化调度模型。算例采用粒子群算法进行优化求解,模拟结果表明:本方法既能有效减少风电弃风,又能降低系统煤耗。展开更多
基金supportedin part by the US National Science Foundation (GrantNos. AGS-1015926 and AGS-1015957)supported in part by a U.S. National Oceanographic and Atmospheric Administration (NOAAGrantNo. EL133E09SE4048)
文摘Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an approach to identifying heat stress events and pricing the heat stress weather derivative due to persistent days of high surface air temperature （SAT）. Cooling degree days （CDD） are used as the weather index for trade. In this study, a call-option model was used as an example for calculating the price of the index. Two heat stress indices were developed to describe the severity and physical impact of heat waves. The daily Global Historical Climatology Network （GHCN-D） SAT data from 1901 to 2007 from the southern California, USA, were used. A major California heat wave that occurred 20-25 October 1965 was studied. The derivative price was calculated based on the call-option model for both long-term station data and the interpolated grid point data at a regular 0.1~ x0.1~ latitude-longitude grid. The resulting comparison indicates that （a） the interpolated data can be used as reliable proxy to price the CDD and （b） a normal distribution model cannot always be used to reliably calculate the CDD price. In conclusion, the data, models, and procedures described in this study have potential application in hedging agricultural and other risks.
文摘Stock price volatility is considered the main matter of concern within the investment grounds.However,the diffusivity of these prices should as well be considered.As such,proper modelling should be done for investors to stay healthy-informed.This paper suggest to model stock price diffusions using the heat equation from physics.We hypothetically state that,our model captures and model the diffusion bubbles of stock prices with a better precision of reality.We compared our model with the standard geometric Brownian motion model which is the wide commonly used stochastic differential equation in asset valuation.Interestingly,the models proved to agree as evidenced by a bijective relation between the volatility coefficients of the Brownian motion model and the diffusion coefficients of our heat diffusion model as well as the corresponding drift components.Consequently,a short proof for the martingale of our model is done which happen to hold.
文摘In this study, a coal pricing model for Turkey is developed employing Granger causality and cointegration analysis by using monthly data between January 2003 and April 2009. Empirical results based on Granger causality tests indicate that foreign coal futures prices and domestic consumer price index for energy sector can be used as the leading indica- tors for domestic coal prices for Turkey. An error correction model for Turkish coal pricing is specified by taking into account the results of Granger causality. The forecast of the coal prices based on error correction model is giving very successful results. It is observed that the coal prices and forecasted coal prices values are almost moving together or very close to each other.
文摘Rare earth price rose again as sales heating up since November. Suffered the oversold and experienced the recent positive and constant multiple stimulus, rare earth industry is welcoming its periodic 'turning point'. It is understood that some manufacturers began to overhaul in November and the upstream production will be reduced correspondingly. However, demands from magnet and other downstream industries are relatively stable. Driven by restricting output and national reserve, profitability of rare earth industry is expected to improve. Securities' research reports show that national reserve posed a significant support to rare earth prices in recent years.
文摘传统调度方式下系统调峰能力不足,风电弃风严重。先采用需求侧管理调控负荷的方法削峰填谷、降低负荷谷时段风电弃风,再在需求响应的引导下,通过对热电联产机组(CHP,combined heat and power)处储热环节的控制,解耦以热定电刚性约束,增强系统调峰能力。以系统煤耗量最小为优化目标,构建了包含需求响应、储热的电热联合优化调度模型。算例采用粒子群算法进行优化求解,模拟结果表明:本方法既能有效减少风电弃风,又能降低系统煤耗。
