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Relevant bibliographies by topics / Volatility predictability

Academic literature on the topic 'Volatility predictability'

Author: Grafiati

Published: 8 May 2023

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Dissertations / Theses
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Journal articles on the topic "Volatility predictability"

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Ghosh, Bikramaditya, Krishna M.C., Shrikanth Rao, Emira Kozarević, and Rahul Kumar Pandey. "Predictability and herding of bourse volatility: an econophysics analogue." Investment Management and Financial Innovations 15, no. 2 (June 25, 2018): 317–26. http://dx.doi.org/10.21511/imfi.15(2).2018.28.

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Financial Reynolds number works as a proxy for volatility in stock markets. This piece of work helps to identify the predictability and herd behavior embedded in the financial Reynolds number (time series) series for both CNX Nifty Regular and CNX Nifty High Frequency Trading domains. Hurst exponent and fractal dimension have been used to carry out this work. Results confirm conclusive evidence of predictability and herd behavior for both the indices. However, it has been observed that CNX Nifty High Frequency Trading domain (represented by its corresponding financial Reynolds number) is more predictable and has traces of significant herd behavior. The pattern of the predictability has been found to follow a quadratic equation.

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CAO, MELANIE. "EFFECTS OF RETURN PREDICTABILITY ON OPTION PRICES WITH STOCHASTIC VOLATILITY FOR THE MARKET PORTFOLIO." Annals of Financial Economics 01, no. 01 (June 2005): 0550005. http://dx.doi.org/10.1142/s2010495205500053.

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I examine the effects of return predictability on option prices for the market portfolio in the presence of stochastic volatility and/or stochastic interest rates. The analysis is implemented in an equilibrium framework where a consistent option pricing model is derived with the return predictability and stochastic volatility and the precise link between the actual and the risk neutral measures is endogenized. The equilibrium analysis indicates that the return predictability is induced by the mean-reverting and heteroskedastic features of aggregate dividends. It is shown that risk-neutral option pricing model with the stochastic volatility and/or stochastic interest rates can be consistent with return predictability. Numerical results suggest that (i) models with either perfect predictability or no predictability will significantly overprice long-term options across different strike prices when the return of the underlying exhibits modest predictability; (ii) the stochastic volatility does not affect option prices in a significant way when asset return predictability is properly reflected in the actual stock price process; (iii) when return predictability is correctly specified, the effects of stochastic interest rates are not uniform.

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Dichev, Ilia D., and Vicki Wei Tang. "Earnings volatility and earnings predictability." Journal of Accounting and Economics 47, no. 1-2 (March 2009): 160–81. http://dx.doi.org/10.1016/j.jacceco.2008.09.005.

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Dai, Zhifeng, Huiting Zhou, Xiaodi Dong, and Jie Kang. "Forecasting Stock Market Volatility: A Combination Approach." Discrete Dynamics in Nature and Society 2020 (June 5, 2020): 1–9. http://dx.doi.org/10.1155/2020/1428628.

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We find that combining two important predictors, stock market implied volatility and oil volatility, can improve the predictability of stock return volatility. We also document that the stock market implied volatility provides far more significant predictability than the oil volatility and other nonoil macroeconomic and financial variables. The empirical results show the “kitchen sink” combination approach that using two predictors jointly performs better than not only the univariate regression models which use oil volatility or stock market implied volatility separately but also convex combination of the individual forecasts. This improvement of predictability is also remarkable when we consider the business cycle. Furthermore, the robust test based on different lag lengths and different macroinformation shows that our forecasting strategy is efficient.

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Kim, Jungmu, and Yuen Jung Park. "Predictability of OTC Option Volatility for Future Stock Volatility." Sustainability 12, no. 12 (June 25, 2020): 5200. http://dx.doi.org/10.3390/su12125200.

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This study explores the information content of the implied volatility inferred from stock index options in the over-the-counter (OTC) market, which has rarely been studied in the literature. Using OTC calls, puts, and straddles on the KOSPI 200 index, we find that implied volatility generally outperforms historical volatility in predicting future realized volatility, although it is not an unbiased estimator. The results are more apparent for options with shorter maturity. However, while implied volatility has strong predictability during normal periods, historical volatility is superior to implied volatility during a period of crisis due to the liquidity contraction of the OTC options market. This finding suggests that the OTC options market can play a role in conveying important information to predict future volatility.

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Nguyen, Tristan, and Alexander Schüßler. "Anomalien auf Aktienmärkten." Der Betriebswirt: Volume 54, Issue 2 54, no. 2 (June 30, 2013): 26–30. http://dx.doi.org/10.3790/dbw.54.2.26.

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In diesem Beitrag werden Anomalien (Puzzles) vorgestellt, die sich auf den gesamten Aktienmarkt beziehen. Equity Premium Puzzle steht für die zu hohe empirisch beobachtete Marktrisikoprämie. Sie kann nicht mit den Präferenzen der Erwartungsnutzentheorie erklärt werden. Volatility Puzzle bezeichnet die erhöhte Volatilität von Aktien. Diese schwanken zu stark, als dass sie den von rationalen Investoren diskontierten Wert erwarteter Dividenden widerspiegeln könnten. Predictability Puzzle beschreibt, dass gewisse Indikatoren die Preisentwicklung auf Marktebene vorhersagen. Für diese Anomalien werden verhaltenswissenschaftliche Erklärungen angeführt. This paper presents aggregate market anomalies. Equity Premium Puzzle means that the historical equity premium is too high to be explained by preferences of expected ultility theory. According to Volatility Puzzle, stocks move too much to be justified by dividend movements. Predictibility Puzzle describes that there are several ratios that predict aggregate market performance. We give behavioral explanations for those anomalies. Keywords: volatility puzzle, prospect theory, predictability puzzle, equity premium puzzle

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Christopherson, Jon A., and Andrew L. Turner. "Volatility and predictability of manager alpha." Journal of Portfolio Management 18, no. 1 (October 31, 1991): 5–12. http://dx.doi.org/10.3905/jpm.1991.409388.

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Raunig, Burkhard. "The predictability of exchange rate volatility." Economics Letters 98, no. 2 (February 2008): 220–28. http://dx.doi.org/10.1016/j.econlet.2007.04.035.

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Mavrides, Marios. "Predictability and volatility of stock returns." Managerial Finance 29, no. 8 (September 2003): 46–56. http://dx.doi.org/10.1108/03074350310768427.

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Li, Xingyi, and Valeriy Zakamulin. "The term structure of volatility predictability." International Journal of Forecasting 36, no. 2 (April 2020): 723–37. http://dx.doi.org/10.1016/j.ijforecast.2019.08.010.

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Dissertations / Theses on the topic "Volatility predictability"

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Zhang, Yuzhao. "Essays on return predictability and volatility estimation." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1666139151&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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Kasch-Haroutounian, Maria. "Transition equity markets of Central Europe : volatility, predictability, integration." Thesis, City University London, 2000. http://openaccess.city.ac.uk/8058/.

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The objective of this thesis is to add evidence from the transition equity markets of Central Europe to the econometric modelling of financial time series by addressing the issues of volatility, predictability and international asset pricing in these markets. In Chapter Two we start from an overview of the transition stock markets by presenting their historical background, basic regulations, statistics, and stock market indices. Chapter Three focuses on the modelling of univariate and multivariate volatility in transition equity markets. Our sample has all the previously documented characteristics of the unconditional distribution of stock returns normally used to justify the use of the GARCH class of the models of conditional volatility. Strong GARCH effects are apparent in all series examined. The estimates of asymmetric models of conditional volatility show rather weak evidence of asymmetries in the markets. The results of the multivariate specifications of volatility have implication for understanding the pattern of information flow between the markets. The constant correlation specification indicates significant conditional correlation between three pairs of countries: Hungary and Poland, Hungary and Czech Republic, and Poland and Czech Republic. The BEKK model of multivariate volatility shows evidence of return volatility spillovers from Hungary to Poland, but no volatility spillover effects are found in the opposite direction. Chapter Four examines the linear and nonlinear predictability of transition equity returns with simple technical trading rules. The application of the moving average trading rules to the data reveals that technical analysis helps to predict stock price changes. Firstly buy signals consistently generate higher returns than sell signals; secondly the returns following buy signals are less volatile than returns following sell signals. The application of the bootstrap methodology to check whether three popular null models of stock returns with linear conditional mean specification replicate the trading rule profits indicates that returns obtained from trading rules signals are not likely to be generated by these models. Comparison of the out-of-sample forecast performance of linear and nonlinear (feedforward networks) conditional mean estimators with past trading signals in the conditional mean equation indicates substantial forecast improvements of the feedforward network regression. Chapter Five addresses the issue of integration of the transition equity markets into the global capital market by testing pricing restrictions of the international CAPM simultaneously for four national equity markets: two developed markets (U.S. and Germany) and two new transition markets (Hungary and Poland). Methodologically, we extend the BEKK multivariate GARCH specification to accommodate GARCH-M effects, and propose an alternative specification of the conditional CAPM, which allows return volatility transmissions between the markets in the system. The results reveal that the world price of covariance risk is positive and equal across the markets. This is consistent with the international CAPM and supports the hypothesis of integration of the transition markets into the global market. However, our further results indicate individual significance of the Hungarian idiosyncratic risk, pointing to some level of segmentation of the Hungarian market. Moreover, the introduction of world-wide information variables into the system reveals that some variation in the excess national returns is still predictable after accounting for the measure of market-wide risk.

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Letra, Ivo José Santos. "What drives cryptocurrency value? A volatility and predictability analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12556.

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Mestrado em Decisão Económica e Empresarial
Esta tese descreve como as moedas digitais se tornaram no novo fenómeno nos mercados financeiros e como a mais popular das moedas digitais - Bitcoin - originou perguntas cruciais sobre o seu valor e como ao mesmo tempo as suas séries financeiras criaram uma oportunidade para estudar várias dinâmicas sobre o preço, que tipicamente estão fortemente ligadas a movimentos especulativos e sem análise fundamental. Com a utilização de um modelo GARCH(1,1) sobre dados diários e centrando-se em dois fenómenos recentes - moedas digitais, nomeadamente Bitcoin e conteúdo web oriundo do Google Trends, Wikipedia e Twitter - verificámos que os retornos da Bitcoin são fortemente impulsionados pela sua popularidade. Assim, analisando este relacionamento e modelando a existência de variâncias condicionais heterocedásticas demonstramos que o conteúdo proveniente de motores de busca e redes sociais e a flutuação nos preços Bitcoin estão intensamente ligados e que esta relação exibe alguma previsibilidade.
This thesis describes how digital currencies have rose as a new interesting phenomenon in the financial markets and how the most popular of the digital currencies - BitCoin - have risen crucial questions about their exchange rates and also represents a field to study the dynamics of this market, which is strongly connected with speculative traders with no fundamentals as there is no fundamental value to the currency. Using a GARCH(1,1) model on daily data and focusing on two emerging phenomena of recent years - digital currencies, particularly Bitcoin, and web content provided by search queries on Google Trends and Wikipedia and tweets from Twitter - we discover that Bitcoin returns are driven primarily by its popularity. Thus, we analyze their relationship, the existence of volatility clustering and demonstrate that the web content and Bitcoin prices are connected and they exhibit some predictable power.

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Wu, Ruojun. "Essays on the predictability and volatility of returns in the stock market." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2008. http://wwwlib.umi.com/cr/ucsd/fullcit?p3316421.

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Thesis (Ph. D.)--University of California, San Diego, 2008.
Title from first page of PDF file (viewed Sept. 4, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 127-132).

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Erickson, Matthew James, and Matthew James Erickson. "The Relation Between Firm Dividend Policy and the Predictability of Cash Effective Tax Rates." Diss., The University of Arizona, 2017. http://hdl.handle.net/10150/624547.

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I examine the relation between a firm's dividend policy and its strategic tax decisions. I posit that the capital market pressure associated with paying a dividend leads dividend-paying firms to seek predictable cash flows. I specifically focus on the volatility of a firm's cash effective tax rate (ETR) due to the observability, large size, variability, and periodicity of cash tax payments. Consistent with dividend payments altering a firm's strategic tax preferences, I find that firms that pay a higher dividend exhibit more predictable cash ETRs. Further, I find that the predictability of a dividend-initiating (eliminating) firm's cash ETR subsequently increases (decreases). Additionally, I find that, consistent with prior research suggesting that financially constrained firms "borrow" cash from their tax account, financial constraint moderates the positive relation between the predictability of a firm's cash ETR and its dividend payments. Importantly, my results hold for firms initiating a dividend in response to the exogenous shock of the Bush tax cuts. Finally, I also examine specific tax strategies dividend-paying firms use to help increase the predictability of their cash tax payments. My results contribute to the academic literature by examining whether, and how, dividend-paying firms alter their strategic tax decisions. Additionally, I contribute to ongoing public policy debates over the value of dividend payments by demonstrating a positive relation between dividend payments and the predictability of a firm's cash tax payments.

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Mohamed, El-Emam A. E. "Analysis of behaviour and predictability of stock returns and volatility on the Egyptian stock exchange." Thesis, University of York, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.422541.

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Jones, Greg. "The predictability and performance of the market volatility forecast implied by the premiums of FTSE100 index option contracts." Thesis, University of Reading, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298751.

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Psaradellis, I. "Essays on predictability & excess profitability of quantitative methods : modelling implied volatility, technical trading, data snooping and market efficiency." Thesis, University of Liverpool, 2017. http://livrepository.liverpool.ac.uk/3012184/.

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Alitab, Dario. "Discrete time models for financial volatility and jumps." Doctoral thesis, Scuola Normale Superiore, 2017. http://hdl.handle.net/11384/85716.

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Stan, Denis-Emanuel. "News flow and trading activity: A study of investor attention and market predictability." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/203276/1/Denis-Emanuel_Stan_Thesis.pdf.

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This thesis examines the relationship between investors' attention and movements in financial markets. Providing an explanation to the relationship between investor attention and market returns and return volatility, where attention is measured by Google search volume and two indirect price-based measures, investor attention does not contribute to return predictability however significant links to volatility are found. Furthermore, revisiting the joint volume-volatility relationship seeking to investigate the dynamic links of market volatility, trading volume, and investor attention (measured by Google search and Twitter tweet volume), investor attention provides a somewhat significant link for the rate at which investors seek market information.

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Books on the topic "Volatility predictability"

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Fund, International Monetary, ed. Volatility and predictability in national stock markets: How do emerging and mature markets differ? Washington, D.C: International Monetary Fund, 1996.

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Raunig, Burkhard. Testing for longer horizon predictability of return volatility with an application to the German DAX. [Vienna]: Oesterreichische Nationalbank, 2003.

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Demarest, Heidi Brockmann. US Defense Budget Outcomes: Volatility and Predictability in Army Weapons Funding. Palgrave Macmillan, 2017.

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Demarest, Heidi Brockmann. US Defense Budget Outcomes: Volatility and Predictability in Army Weapons Funding. Palgrave Macmillan, 2018.

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Timmerman, A. How learning in financial markets generates excess volatility and predictability in stock prices. Birkbeck College, University of London, 1992.

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Auinger, Florian. Causal Relationship Between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability. Springer Vieweg. in Springer Fachmedien Wiesbaden GmbH, 2015.

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Auinger, Florian. The Causal Relationship between the S&P 500 and the VIX Index: Critical Analysis of Financial Market Volatility and Its Predictability. Springer Gabler, 2015.

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Gooch, Thomas John. Volatility and predictability of exchange rates in an equilibrium model: A case study of the deutsche mark/U.S. dollar and the Canadian dollar/U.S. dollar. 1995.

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Book chapters on the topic "Volatility predictability"

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"■ Predictability of Risk Measures in International Stock Markets." In Stock Market Volatility, 343–52. Chapman and Hall/CRC, 2009. http://dx.doi.org/10.1201/9781420099553-23.

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Bali, Turan, and K. Ozgur Demirtas. "Predictability of Risk Measures in International Stock Markets." In Stock Market Volatility, 313–22. Chapman and Hall/CRC, 2009. http://dx.doi.org/10.1201/9781420099553.sec3.

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Dias, Rui Teixeira, Pedro Pardal, Nuno Teixeira, and Nicole Rebolo Horta. "Tail Risk and Return Predictability for Europe's Capital Markets." In Advances in Human Resources Management and Organizational Development, 281–98. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-6684-5666-8.ch015.

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This chapter aims to analyze financial integration and the presence of long memories in nine capital markets in the period from June 5, 2017 to June 3, 2022. To provide robustness to the research we divide the sample into two sub-periods: tranquil and crisis (global pandemic of 2020 and the Russian invasion of Ukraine in 2022). To conduct this analysis, different approaches will be undertaken in order to analyze two research questions: (1) Do European capital markets tend towards integration in periods of extreme volatility? (2) If yes, could this phenomenon make markets predictable? When comparing the two sub-periods, the authors find that the rhoDCCA of 16 pairs of markets remained strong, while the mean trendless correlation decreased from 20 to 12, while weak correlation coefficients appeared (8) and tended towards anti-persistence.

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Snoussi, Wafa, and Azza Béjaoui. "The Influence of Specific Criteria of Emerging Markets on SME Financing in MENA Markets." In Risk and Contingency Management, 398–420. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-3932-2.ch020.

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In this chapter we are interested in the impact of specific microstructure criteria of emerging markets in the financing of SMEs especially in risk measures. The main risk measurement tool is the Value-at-Risk (VaR) which is recommanded by the Basel II Committee on Banking Supervision (BCBS). The recommendations of the Basel II committee give financial institutions the freedom to develop their own Value-at-Risk model of risk measurement in order to calculate their capital requirements for financial risk. The Basel II committee recommends the use of back testing in order to validate the choice of the best method. In order to finance SMEs enterprises in emerging market we must consider the specific microstructure criteria of these emerging markets such as low liquidity, very pronounced asymmetric information, over predictability and high volatility how affects the risk estimation.

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Arterton, F. Christopher. "War and Democratic Conflict." In Strategy in Politics, 41—C3P59. Oxford University PressNew York, 2023. http://dx.doi.org/10.1093/oso/9780197644836.003.0003.

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Abstract This chapter confronts the reality that war and politics are two ends of a spectrum defined by the management of social conflict. The differences are instructive. Democratic politics takes place within institutions that define appropriate conduct. In contrast, the existential threats faced by a nation may justify military actions that otherwise would be considered unethical. Military strategists must consider the importance of thinking long term and the necessity of preparedness for the enemy’s actions. In both war and politics, it is essential to rise above the day-to-day tactical complications and focus upon larger and enduring objectives. Reliance upon predictability of the opponent’s movements focuses one’s attention squarely on the aspects of the conflict that one can control and those that one cannot. Both military leaders and political managers must function in the face of substantial volatility, uncertainty, complexity, and ambiguity.

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Conference papers on the topic "Volatility predictability"

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Dias, Rui, and Hortense Santos. "THE IMPACT OF COVID-19 ON EXCHANGE RATE VOLATILITY: AN ECONOPHYSICS APPROACH." In Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.2020.39.

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This paper aims to analyze the efficiency, in its weak form, between exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from July 1, 2019 to October 27, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the impact of the global pandemic created long memories in international foreign exchange markets? The results of the exponents Detrended Fluctuation Analysis (DFA) show that the exchange rates US-THB (0.60), US-MYR (0.59), US-SGD (0. 59), present long memories, to a lesser extent the exchange pairs US-GBP (0.56), US-EUR (0.53). On the other side, exchange rates US-RMB (0. 47), US-JPY (0. 43), US-CHF (0. 46), US-PHP (0. 38) show anti persistence, while the Detrended cross-correlation coefficient (𝑝𝐷𝐶𝐶𝐴) results show 19 average correlation coefficients (≌ 0.333 → ≌ 0.666), 10 weak correlation coefficient (≌ 0,000 → ≌ 0.333), 7 strong non-trend cross correlation coefficients (0.666→ ≌ 1,000). In conclusion, we show that the exchange pairs analyzed show some predictability, that is, there are levels of arbitrage that can be explored by investors; we also found that the exchange rates analyzed have characteristics of diversification, due to the low autocorrelation between markets. The objective of this study was not to analyze abnormal profitability by investors without incurring additional risk.

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Cohen, Stuart M., John Fyffe, Gary T. Rochelle, and Michael E. Webber. "The Effect of Fossil Fuel Prices on Flexible CO2 Capture Operation." In ASME 2009 3rd International Conference on Energy Sustainability collocated with the Heat Transfer and InterPACK09 Conferences. ASMEDC, 2009. http://dx.doi.org/10.1115/es2009-90308.

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Coal consumption for electricity generation produces over 30% of U.S. carbon dioxide (CO2) emissions, but coal is also an available, secure, and low cost fuel that is currently utilized to meet roughly half of America’s electricity demand. While the world transitions from the existing fossil fuel-based energy infrastructure to a sustainable energy system, carbon dioxide capture and sequestration (CCS) will be a critical technology that will allow continued use of coal in an environmentally acceptable manner. Techno-economic analyses are useful in understanding the costs and benefits of CCS. However, typical techno-economic analyses of post-combustion CO2 capture systems assume continuous operation at a high CO2 removal, which could use 30% of pre-capture electricity output and require new capacity installation to replace the output lost to CO2 capture energy requirements. This study, however, considers the inherent flexibility in post-combustion CO2 capture systems by modeling power plants that vary CO2 capture energy requirements in order to increase electricity output when economical under electricity market conditions. A first-order model of electricity dispatch and a competitive electricity market is used to investigate flexible CO2 capture in response to hourly electricity demand variations. The Electric Reliability Council of Texas (ERCOT) electric grid is used as a case study to compare plant and grid performance, economics, and CO2 emissions in scenarios without CO2 capture to those with flexible or inflexible CO2 capture systems. Flexible CO2 capture systems can choose how much CO2 to capture based on the competition between CO2 and electricity prices and a desire to either minimize operating costs or maximize operating profits. Coal and natural gas prices have varying degrees of predictability and volatility, and the relative prices of these fuels have a major impact on power plant operating costs and the resulting plant dispatch sequence. Because the chosen operating point in a flexible CO2 capture system affects net power plant efficiency, fuel prices also influence which CO2 capture operating point may be the most economical and the resulting dispatch of power plants with CO2 capture. Several coal and natural gas price combinations are investigated to determine their impact on flexible CO2 capture operation and the resulting economic and environmental impacts at the power plant and electric grid levels. This study investigates the costs and benefits of flexible CO2 capture in a framework of a carbon-constrained future where the effects of major energy infrastructure changes on fuel prices are not entirely clear.

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Bexten, Thomas, Manfred Wirsum, Björn Roscher, Ralf Schelenz, Georg Jacobs, Daniel Weintraub, and Peter Jeschke. "Optimal Operation of a Gas Turbine Cogeneration Unit With Energy Storage for Wind Power System Integration." In ASME Turbo Expo 2018: Turbomachinery Technical Conference and Exposition. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/gt2018-76688.

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Many energy supply systems around the world are currently undergoing a phase of transition characterized by a continuing increase in installed renewable power generation capacities. The inherent volatility and limited predictability of renewable power generation pose various challenges for an efficient system integration of these capacities. One approach to manage these challenges is the deployment of small-scale dispatchable power generation and storage units on a local level. In this context, gas turbine cogeneration units, which are primarily tasked with the provision of power and heat for industrial consumers, can play a significant role if they are equipped with a sufficient energy storage capacity allowing for a more flexible operation. The present study investigates a system configuration which incorporates a heat-driven industrial gas turbine interacting with a wind farm providing volatile renewable power generation. The required energy storage capacity is represented by an electrolyzer and a pressure vessel for intermediate hydrogen storage. The generated hydrogen can be reconverted to electricity and process heat by the gas turbine. The corresponding operational strategy for the overall system aims at an optimal integration of the volatile wind farm power generation on a local level. The study quantifies the impact of selected system design parameters on the quality of local wind power system integration that can be achieved with a specific set of parameters. In addition, the impact of these parameters on the reduction of CO2 emissions due to the use of hydrogen as gas turbine fuel is quantified. In order to conduct these investigations, detailed steadystate models of all required system components were developed. These models enable accurate simulations of the operation of each component in the complete load range. The calculation of the optimal operational strategy is based on an application of the Dynamic Programming algorithm. Based on this model setup, the operation of the overall system configuration is simulated for each investigated set of design parameters for a one-year period. The simulation results show that the investigated system configuration has the ability to significantly increase the level of local wind power integration. The parameter variation reveals distinct correlations between the main design parameters of the storage system and the achievable level of local wind power integration. Regarding the installed electrolyzer power consumption capacity, smaller additional benefits of capacity increases can be identified at higher levels of power consumption capacity. Regarding the geometrical volume of the hydrogen storage, it can be determined that the storage volume loses its limiting character on the operation of the electrolyzer at a characteristic level. The additional investigation of the CO2 emission reduction reveals a direct correlation between the level of local wind power integration and the achievable level of CO2 emission reduction.

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