It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-D...It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.展开更多
This paper presents a novel modified inter- active honey bee mating optimization （IHBMO） base fuzzy stochastic long-term approach for determining optimum location and size of distributed energy resources （DERs）. T...This paper presents a novel modified inter- active honey bee mating optimization （IHBMO） base fuzzy stochastic long-term approach for determining optimum location and size of distributed energy resources （DERs）. The Monte Carlo simulation method is used to model the uncertainties associated with long-term load forecasting, A proper combination of several objectives is considered in the objective function. Reduction of loss and power purchased from the electricity market, loss reduc- tion in peak load level and reduction in voltage deviation are considered simultaneously as the objective functions. First, these objectives are fuzzified and designed to be comparable with each other. Then, they are introduced into an IHBMO algorithm in order to obtain the solution which maximizes the value of integrated objective function. The output power orDERs is scheduled for each load level. An enhanced economic model is also proposed to justify investment on DER. An IEEE 30-bus radial distribution test system is used to illustrate the effectiveness of the proposed method.展开更多
基金National Natural Science Foundation of China(No.71401144)
文摘It is important to consider the changing states in hedging.The Markov regime-switching dynamic correlation multivariate stochastic volatility( MRS-DC-MSV) model was proposed to solve this issue. DC-MSV model and MRS-DC-MSV model were used to calculate the time-varying hedging ratios and compare the hedging performance. The Markov chain Monte Carlo( MCMC) method was used to estimate the parameters. The results showed that,there were obviously two economic states in Chinese financial market. Two models all did well in hedging,but the performance of MRS-DCMSV model was better. It could reduce risk by nearly 90%. Thus,in the hedging period,changing states is a factor that cannot be neglected.
文摘This paper presents a novel modified inter- active honey bee mating optimization （IHBMO） base fuzzy stochastic long-term approach for determining optimum location and size of distributed energy resources （DERs）. The Monte Carlo simulation method is used to model the uncertainties associated with long-term load forecasting, A proper combination of several objectives is considered in the objective function. Reduction of loss and power purchased from the electricity market, loss reduc- tion in peak load level and reduction in voltage deviation are considered simultaneously as the objective functions. First, these objectives are fuzzified and designed to be comparable with each other. Then, they are introduced into an IHBMO algorithm in order to obtain the solution which maximizes the value of integrated objective function. The output power orDERs is scheduled for each load level. An enhanced economic model is also proposed to justify investment on DER. An IEEE 30-bus radial distribution test system is used to illustrate the effectiveness of the proposed method.
