161 |
Analisando flutuações de um mercado financeiro artificial baseado na expectativa de riqueza dos agentes / Analyzing fluctuations of an artificial financial market based on expected wealth of agentsGarcia, Luiz Antonio Marques January 2008 (has links)
Esta dissertação apresenta uma proposta de modelo de mercado financeiro artificial que reproduz séries de retornos com propriedades estatísticas universais semelhantes às observadas em séries reais. Dentre as propriedades, também chamadas de fatos estilizados na Economia, as séries artificiais de retornos exibiram ausência de autocorrelação para os retornos simples, leis de potência para autocorrelação para os retornos absolutos e quadráticos, excesso de curtose nas distribuições de retorno, gaussianidade agregacional e volatilidade clusterizada. Cabe salientar, que não há na literatura um outro mercado artificial que reproduziu tantos fatos estilizados conjuntamente. O modelo dinâmico e síncrono é baseado em agentes que transacionam ativos com risco como ações de empresa através de ordens de compra e venda enviadas ao mercado a cada período de tempo. O preço de mercado das ações é calculado da média ponderada pelo volume das ordens negociadas entre os agentes. O objetivo dos agentes é maximizar sua riqueza e, para isso, seguem ou a estratégia fundamentalista utilizando os dividendos para calcular os preços das ações ou a estratégia técnica baseada em análise de séries temporais. A principal contribuição da modelagem foi acrescentar às estratégias um fator de aprendizado em que o agente considera sua habilidade individual passada de previsão de riqueza esperada para calcular os retornos futuros. Este trabalho também mediu o coeficiente de Gini para descobrir como algumas variáveis de mercado afetavam a distribuição de riqueza dos agentes e, além disso, estudou quais valores de dividendo tornavam uma estratégia mais eficiente que outra. Por fim, incorporaram-se características evolutivas aos agentes possibilitandoos a trocar de estratégias no decorrer da simulação e, com isso, os resultados mostraram aumento da riqueza dos agentes. / This work presents a new artificial stock market model for reproducing price time series of assets in such market model. For a suitable validation of the model, we verified several statistical and universal properties (called stylized facts in the Economics Literature) and similar results are obtained with data extracted from real stock markets. We investigate several properties including absence of autocorrelation for simple returns and the power behavior law of autocorrelation for absolute and quadratic returns, excess of kurtosis, aggregational gaussianity, and clustered volatility. It is important to mention that no other similar artificial model has investigated so many statistical universalities. Our synchronous model is based on agents negotiating risk assets through purchase and sale orders. These orders are stored in books for each simulation step. The weighted average volume of all orders negotiated by the agents determines the price of an asset. For the sake of simplicity, our model considers two kinds of strategies: 1. Fundamentalist - where one uses the dividends to calculate the expected return of an asset; 2. Trend predictor - where one obtains the expected returns directly from an analysis of the price time series. One of the main contributions of our model was to add a term that works as the expected wealth of an agent. This is considered an important psychological factor in the decision making process. In addition, we consider an income inequality index to analyze the wealth distribution of the agents: the Gini-coefficient, which predicts an inequality interval of [0 (society completely fair),1 (society completely unfair)]. We also study the influence of the dividends and risk free assets parameters on this coefficient. Finally, some evolutionary features of the model are analyzed. Our results show an increase in agent’s wealth when strategies are updated according to the following criteria: if expected wealth does not reach a given threshold, the agent changes his strategy from Fundamentalist to Trend Predictor or vice-versa. If the expected wealth reaches the specified threshold, the agent keeps his initial strategy. We tested different threshold values in this analysis and the conclusion was confirmed in all cases studied.
|
162 |
Interaction des dispositifs FACTS avec les charges dynamiques dans les réseaux de transport et d'interconnexionAmmari, Sami 10 November 2000 (has links) (PDF)
La dérégulation du marché de l'électricité, qui concerne progressivement tous les pays d'Europe, modifie profondément l'approche technico-économique dans l'exploitation et l'optimisation des réseaux électriques. C'est dans ce nouveau contexte que les spécialistes des .réseaux électriques se voient de plus en 'plus confrontés à de nombreux défis. Le développement des dispositifs FACTS (Flexible AC Transmission System) ouvre de nouvelles perspectives pour une meilleure exploitation des réseaux par leur action continue et rapide _sur les différents paramètres du réseau. Toutefois, ces dispositifs, ne sont pas à l'abri d'éventuelles interactions entre eux mais aussi avec d'autres éléments du réseau tels que les charges dynamiques. Cette thèse, qui s'inscrit dans le cadre de l'analyse et l'amélioration de la sécurité dynamique des réseaux électriques, s'est focalisé sur l'impact de l'interaction des dispositifs FACTS avec les charges dynamiques. Dans ce travail, il a été démontré que les boucles d'amortissement des oscillations de puissance dimensionnées par les techniques classiques de sensibilité ne sont pas robustes vis-à-vis des variations des modèles de charge. Pour remédier ,à ces problèmes, une première méthode, basée sur la sensibilité des valeurs propres et tenant compte. des variations des modèles de charge, a été proposée. Deux autres méthodes plus robustes, basées sur les techniques LMI, ont été mises en oeuvre. La première, basée Sllr une représentation polytopique des systèmes incertains, convient au cas d'incertitudes non structurées. La deuxième, basée sur une représentation LPV (système linéaire à paramètres variants), permet de traiter le cas d'incertitudes structurées.
|
163 |
Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou modelPszczola, Agnieszka, Walachowski, Grzegorz January 2009 (has links)
<p>The purpose of this study is to identify an impact on an option pricing within NASDAQ OMX Stockholm Market, if the underlying</p><p>asset prices include jumps. The current financial crisis, when jumps are much more evident than ever, makes this issue very actual and important in the global sense for the portfolio hedging and other risk management applications for example for the banking sector. Therefore, an investigation is based on OMXS30 Index and SEB A Bank. To detect jumps the Barndorff-Nielsen and Shephard non-parametric bipower variation test is used. First it is examined on simulations, to be finally implemented on the real data. An affirmation of a jumps occurrence requires to apply an appropriate model for the option pricing. For this purpose the Kou model, a double exponential jump-diffusion one, is proposed, as it incorporates essential stylized facts not available for another models. Th parameters in the model are estimated by a new approach - a combined cumulant matching with lambda taken from the Barrndorff-Nielsen and Shephard test. To evaluate how the Kou model manages on the option pricing, it is compared to the Black-Scholes model and to the real prices of European call options from the Stockholm Stock Exchange. The results show that the Kou model outperforms the latter.</p>
|
164 |
Power Electronics for Mitigation of Voltage Sags and Improved Control of AC Power SystemsMagalhães de Oliveira, Marcio January 2000 (has links)
The thesis deals with the application of compensators andswitches based on power electronics in AC transmission anddistribution systems. The objective of the studieddevices/equipment is the power flow and voltage control intransmission systems and the mitigation of voltage sags andmomentary interruptions to critical loads in distributionsystems. For validating the power electronics based devices/equipmentdescribed in the thesis, scaled models at a real-time simulatorhave been built. Simulation results of these models arepresented and discussed in the thesis. The equipment studied in the thesis exploit the fast controlactions that can be taken by power electronics devices, whichare much faster than the speed of conventional equipment andprotection systems, based on electromechanical devices. In thisway, the power quality of distribution systems is improved,regarding duration and magnitude of voltage sags (dips) andmomentary interruptions, which are the most relevant types ofdisturbances in distribution systems. The thesis presents some compensators based onforced-commutation voltage-source converters for correctingvoltage sags and swells to critical loads. The seriesconverter, usually denoted Dynamic Voltage Restorer (DVR), hasbeen proved suitable for the task of compensating voltage sagsin the supply network. The use of solid-state devices ascircuit breakers in distribution systems has also been studiedwith the objective of achieving fast interruption or limitationof fault currents. The location and practical aspects for theinstallation of these solid-state breakers are presented. Ithas beenshown that a configuration based on shunt and seriesconnected solid-state devices with controllable turn-offcapability can also provide voltage sag mitigation, without theneed of transformers and large energy storage elements. The operation and control of two Flexible AC TransmissionSystem (FACTS) devices for voltage and power flow control intransmission systems, namely the Static Synchronous Compensator(STATCOM) and the Unified Power Flow Controller (UPFC),respectively, are also studied. A faster response compared totraditional equipment consisting of mechanically based/switchedelements is then achieved. This allows a more flexible controlof power flow and a secure loading of transmission lines tolevels nearer to their thermal limits. The behaviour of thesedevices during faults in the transmission system is alsopresented. Keywords: power electronics, power quality, voltagesags, voltage-source converters, Custom Power, FACTS, real-timesimulations, solid-state devices.
|
165 |
Synchronous Voltage Reversal Control of Thyristor Controlled Series CapacitorÄngquist, Lennart January 2002 (has links)
Series compensation of transmission lines is an effectiveand cheap method of improving the power transmission systemperformance. Series capacitors virtually reduces the length ofthe line making it easier to keep all parts of the power systemrunning in synchronism and to maintain a constant voltage levelthroughout the system. In Sweden this technology has been inuse since almost 50 years. The possibility to improve the performance of the ACtransmission system utilizing power electronic equipment hasbeen discussed a lot since about ten years. Some newsemiconductor based concepts have been developed beside thesince long established HVDC and SVC technologies. The ThyristorControlled Series Capacitor (TCSC) is one such concept. Byvarying the inserted reactance an immediate and well-definedimpact on the active power flow in the transmission line isobtained. Several potential applications, specifically poweroscillation damping, benefit from this capability. The conceptimplied the requirement to design a semiconductor valve, whichcan be inserted directly in the high-voltage power circuit.This certainly presented a technical challenge but thestraightforward approach appeared to be a cost-effectivealternative with small losses. It was also realized that the TCSC exhibits quite differentbehaviour with respect to subsynchronous frequency componentsin the line current as compared to the fixed series capacitorbank. This was a very interesting aspect as the risk ofsubsynchronous resonance (SSR), which just involves such linecurrent components, has hampered the use of series compensationin power systems using thermal generating plants. The thesis deals with the modelling and control aspects ofTCSC. A simplifying concept, the equivalent, instantaneousvoltage reversal, is introduced to represent the action of thethyristor controlled inductive branch, which is connected inparallel with the series capacitor bank in the TCSC. The idealvoltage reversal is used in the thesis in order to describe andexplain the TCSC dynamics, to investigate its apparentimpedance at various frequencies, as a platform forsynthesizing the boost control system and as the base elementin deriving a linear, small-signal dynamical model of thethree-phase TCSC. Quantitative Feedback Theory (QFT) then hasbeen applied to the TCSC model in order to tune its boostregulator taking into account the typical variation ofparameters that exists in a power system. The impact of theboost control system with respect to damping of SSR is finallybeing briefly looked at. <b>Keywords:</b>Thyristor Controlled Series Capacitor, TCSC,FACTS, reactive power compensation, boost control, phasorestimation, Quantitative Feedback Theory, subsynchronousresonance, SSR.
|
166 |
Testing for jumps in face of the financial crisis : Application of Barndorff-Nielsen - Shephard test and the Kou modelPszczola, Agnieszka, Walachowski, Grzegorz January 2009 (has links)
The purpose of this study is to identify an impact on an option pricing within NASDAQ OMX Stockholm Market, if the underlying asset prices include jumps. The current financial crisis, when jumps are much more evident than ever, makes this issue very actual and important in the global sense for the portfolio hedging and other risk management applications for example for the banking sector. Therefore, an investigation is based on OMXS30 Index and SEB A Bank. To detect jumps the Barndorff-Nielsen and Shephard non-parametric bipower variation test is used. First it is examined on simulations, to be finally implemented on the real data. An affirmation of a jumps occurrence requires to apply an appropriate model for the option pricing. For this purpose the Kou model, a double exponential jump-diffusion one, is proposed, as it incorporates essential stylized facts not available for another models. Th parameters in the model are estimated by a new approach - a combined cumulant matching with lambda taken from the Barrndorff-Nielsen and Shephard test. To evaluate how the Kou model manages on the option pricing, it is compared to the Black-Scholes model and to the real prices of European call options from the Stockholm Stock Exchange. The results show that the Kou model outperforms the latter.
|
167 |
Power Electronics for Mitigation of Voltage Sags and Improved Control of AC Power SystemsMagalhães de Oliveira, Marcio January 2000 (has links)
<p>The thesis deals with the application of compensators andswitches based on power electronics in AC transmission anddistribution systems. The objective of the studieddevices/equipment is the power flow and voltage control intransmission systems and the mitigation of voltage sags andmomentary interruptions to critical loads in distributionsystems.</p><p>For validating the power electronics based devices/equipmentdescribed in the thesis, scaled models at a real-time simulatorhave been built. Simulation results of these models arepresented and discussed in the thesis.</p><p>The equipment studied in the thesis exploit the fast controlactions that can be taken by power electronics devices, whichare much faster than the speed of conventional equipment andprotection systems, based on electromechanical devices. In thisway, the power quality of distribution systems is improved,regarding duration and magnitude of voltage sags (dips) andmomentary interruptions, which are the most relevant types ofdisturbances in distribution systems.</p><p>The thesis presents some compensators based onforced-commutation voltage-source converters for correctingvoltage sags and swells to critical loads. The seriesconverter, usually denoted Dynamic Voltage Restorer (DVR), hasbeen proved suitable for the task of compensating voltage sagsin the supply network. The use of solid-state devices ascircuit breakers in distribution systems has also been studiedwith the objective of achieving fast interruption or limitationof fault currents. The location and practical aspects for theinstallation of these solid-state breakers are presented. Ithas beenshown that a configuration based on shunt and seriesconnected solid-state devices with controllable turn-offcapability can also provide voltage sag mitigation, without theneed of transformers and large energy storage elements.</p><p>The operation and control of two Flexible AC TransmissionSystem (FACTS) devices for voltage and power flow control intransmission systems, namely the Static Synchronous Compensator(STATCOM) and the Unified Power Flow Controller (UPFC),respectively, are also studied. A faster response compared totraditional equipment consisting of mechanically based/switchedelements is then achieved. This allows a more flexible controlof power flow and a secure loading of transmission lines tolevels nearer to their thermal limits. The behaviour of thesedevices during faults in the transmission system is alsopresented. Keywords: power electronics, power quality, voltagesags, voltage-source converters, Custom Power, FACTS, real-timesimulations, solid-state devices.</p>
|
168 |
Synchronous Voltage Reversal Control of Thyristor Controlled Series CapacitorÄngquist, Lennart January 2002 (has links)
<p>Series compensation of transmission lines is an effectiveand cheap method of improving the power transmission systemperformance. Series capacitors virtually reduces the length ofthe line making it easier to keep all parts of the power systemrunning in synchronism and to maintain a constant voltage levelthroughout the system. In Sweden this technology has been inuse since almost 50 years.</p><p>The possibility to improve the performance of the ACtransmission system utilizing power electronic equipment hasbeen discussed a lot since about ten years. Some newsemiconductor based concepts have been developed beside thesince long established HVDC and SVC technologies. The ThyristorControlled Series Capacitor (TCSC) is one such concept. Byvarying the inserted reactance an immediate and well-definedimpact on the active power flow in the transmission line isobtained. Several potential applications, specifically poweroscillation damping, benefit from this capability. The conceptimplied the requirement to design a semiconductor valve, whichcan be inserted directly in the high-voltage power circuit.This certainly presented a technical challenge but thestraightforward approach appeared to be a cost-effectivealternative with small losses.</p><p>It was also realized that the TCSC exhibits quite differentbehaviour with respect to subsynchronous frequency componentsin the line current as compared to the fixed series capacitorbank. This was a very interesting aspect as the risk ofsubsynchronous resonance (SSR), which just involves such linecurrent components, has hampered the use of series compensationin power systems using thermal generating plants.</p><p>The thesis deals with the modelling and control aspects ofTCSC. A simplifying concept, the equivalent, instantaneousvoltage reversal, is introduced to represent the action of thethyristor controlled inductive branch, which is connected inparallel with the series capacitor bank in the TCSC. The idealvoltage reversal is used in the thesis in order to describe andexplain the TCSC dynamics, to investigate its apparentimpedance at various frequencies, as a platform forsynthesizing the boost control system and as the base elementin deriving a linear, small-signal dynamical model of thethree-phase TCSC. Quantitative Feedback Theory (QFT) then hasbeen applied to the TCSC model in order to tune its boostregulator taking into account the typical variation ofparameters that exists in a power system. The impact of theboost control system with respect to damping of SSR is finallybeing briefly looked at.</p><p><b>Keywords:</b>Thyristor Controlled Series Capacitor, TCSC,FACTS, reactive power compensation, boost control, phasorestimation, Quantitative Feedback Theory, subsynchronousresonance, SSR.</p>
|
169 |
VERS L'AMELIORATION DE LA SECURITE DES<br />RESEAUX ELECTRIQUES DE PUISSANCEBesanger, Yvon 04 December 2006 (has links) (PDF)
Voir document joint
|
170 |
Vilniaus rajono apylinkės teismo praktikos nagrinėjant bylas dėl teismo leidimų išdavimo ir faktų patvirtinimo analizė / The analysis of practice of dealing with the pleas for bestowal of court permissions and pleas for confirmation of facts in the court of Vilnius precinctLeleckaitė, Lina 10 March 2006 (has links)
Baigiamasis darbas skirtas išanalizuoti prašymu del teismo leidimu išdavimo ir faktu patvirtinimo nagrinejimo Vilniaus rajono apylinkes teisme praktika. Autorius, analizuodamas teismo bylas, kartu aptare ir teorinius klausimus. Prašymai del teismo leidimu išdavimo priskiriami prie ypatingosios teisenos bylu, kurios nagrinejamos supaprastinto proceso tvarka. Autorius analizavo kriterijus, pagal kuriuos nustatoma, kokiam konkreciai teismui teismingi šie prašymai. Kartu autorius aptare procesiniu dokumentu samprata, kurie skirstomi I byloje dalyvaujanciu asmenu ir teismo procesinius dokumentus. Darbe analizuojami šiu pareiškimu nagrinejimo tvarkos ypatumai bei terminai. Remiantis Vilniaus rajono apylinkes teismo bylomis, išskirtos pagrindines atsisakymu išduoti teismo leidimus priežastys. Taip pat aptarta teismo procesinio dokumento – nutarties, kuriuo užbaigiamas šiu bylu nagrinejimas, turinys ir jai budingi požymiai. Analizuodamas Vilniaus rajono apylinkes teismo bylas del teismo leidimu išdavimo, autorius pastebejo, kad teismas ne visada tinkamai taiko teisminguma reglamentuojancias teises normas. Taip pat pastebeta, kad teismas, nagrinedamas prašymus žodinio proceso tvarka, pažeidžia suteikta penkiu dienu termina šiems prašymams išnagrineti. Kalbant apie prašymus del faktu patvirtinimo, Vilniaus rajono apylinkes teisme buvo tik kelios tokios bylos, todel baigiamajame darbe atlikta tik keleto tokio pobudžio bylu analize. / The final work is dedicated to analyse the practice of dealing with the pleas for bestowal of court permissions and pleas for confirmations of facts in the court of Vilnius precinct. The author also talked over the theory by analysing court cases. Pleas for bestowal of court permissions are in the category of cases of special proceedings and they are dealt with in the simplified trial. The author analysed criteria’s determining which court should deal with the pleas. The author described the definitions of aforesaid processial documents, which are of two different kinds: documents of court participants and processial documents of the court. The final work described the singleness and terms of dealing with the pleas for bestowal of court permissions and pleas for confirmation of facts. Having analysed the cases the author singled out the main refusal reasons to bestowal the court permission. The definition and content of the final document in the court proceedings was also given in this work. Having analysed the cases in the court of Vilnius precinct there were found some wrong applications of law rules regarding the courts work. The court sometimes doesn’t abide the five days term after receiving aforesaid pleas to make a final decision in the case. It is also important to mention that the court received just a couple of pleas for confirmation of facts over few years.
|
Page generated in 0.0396 seconds