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1
Argesanu, George Nicolae. « Risk analysis and hedging and incomplete markets ». Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1079923360.
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Thesis (Ph. D.)--Ohio State University, 2004.Title from first page of PDF file. Document formatted into pages; contains x, 86 p.; also includes graphics Includes bibliographical references (p. 84-86). Available online via OhioLINK's ETD Center
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Pagliardi, Giovanni. « Financial markets, political variables and extreme events ». Thesis, Cergy-Pontoise, Ecole supérieure des sciences économiques et commerciales, 2017. http://www.theses.fr/2017ESEC0006.
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Cette thèse de doctorat étudie les dynamiques des marchés financiers quand des évènements extrêmes et des variables politiques sont pris en compte. Il est reconnu que les crises financières aussi bien que les évènements politiques nationaux et internationaux ont un impact significatif sur les bourses mondiales, et cet impact est devenu encore plus important avec l'intégration accrue des marchés financiers, de telle sorte par exemple qu'un choc dans un pays peut avoir rapidement des répercussions sur les autres marchésThis thesis investigates the dynamics of financial markets from different perspectives. First, we analyze the impact of different political variables on market prices. We show that the quality of economic policy and the institutional effectiveness display surprisingly low correlation and play a crucial role for the stock, CDS and forex markets. Second, focusing on extreme events, we show that the extreme correlation between asset returns and trading volumes is very low during stock market booms and crashes. Third, in order to optimally deal with these extreme events, we study the predictive accuracy of an entropy-based estimator to forecast asset prices. We compare this entropic estimator with a standard quadratic technique based on the mean square error, and we show that the entropy attains higher forecasting precision. Finally, we study pairs trading, a well-known investment strategy that is applied to the Italian stock market, and investigate the determinants of its profitability
3
Sjöling, Björn. « Indicators for Bubble Formation in Housing Markets ». Thesis, KTH, Bygg- och fastighetsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-90980.
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It widely is assumed that property markets can be predicted and to be able to make forecasts, concerning future housing prices, a number of different indicators are used. But if it possible to know the future today, why do we still experience bubbles in housing markets? To answer this question the reliability of four of the most commonly used indicators were tested for the time period between 2000 and 2010. To evaluate the indicators predicting power the development in, Germany, Sweden, Spain and the UK was studied. Germany and Sweden did not experience a correction during the most recent financial crises, while Spain and the UK did. If the evaluated indicators would be good predictors of future developments, it should have been possible to see differences in the attained values prior to the crises and it should have been easy to forecast that prices would fall in the UK and Spain and that they would be fairly stable in Germany and continue to increase in Sweden. The results from this study do not support the statement, that property prices can be forecasted, but, on the contrary, indicates that the investigated indicators have very limited predictive power in forecasting future price developments in housing markets. The result also show that variable rate mortgages can be expected to play a smoothing effect on property prices during economic cycles.
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Sjöling, Björn-O. « Indicators for Bubble Formation in Housing Markets ». Thesis, KTH, Fastigheter och byggande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-91643.
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It widely is assumed that property markets can be predicted and to be able to make forecasts, concerning future housing prices, a number of different indicators are used. But if it possible to know the future today, why do we still experience bubbles in housing markets? To answer this question the reliability of four of the most commonly used indicators were tested for the time period between 2000 and 2010. To evaluate the indicators predicting power the development in, Germany, Sweden, Spain and the UK was studied. Germany and Sweden did not experience a correction during the most recent financial crises, while Spain and the UK did. If the evaluated indicators would be good predictors of future developments, it should have been possible to see differences in the attained values prior to the crises and it should have been easy to forecast that prices would fall in the UK and Spain and that they would be fairly stable in Germany and continue to increase in Sweden. The results from this study do not support the statement, that property prices can be forecasted, but, on the contrary, indicates that the investigated indicators have very limited predictive power in forecasting future price developments in housing markets. The result also show that variable rate mortgages can be expected to play a smoothing effect on property prices during economic cycles.
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Jahedpari, Fatemeh. « Artificial prediction markets for online prediction of continuous variables ». Thesis, University of Bath, 2016. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.690730.
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In this dissertation, we propose an online machine learning technique – named Artificial Continuous Prediction Market (ACPM) – to predict the value of a continuous variable by (i) integrating a set of data streams from heterogeneous sources with time varying compositions such as changing the quality of data streams, (ii) integrating the results of several analysis models for each data source when the most suitable model for a given data source is not known a priori, (iii) dynamically weighting the prediction of each analysis model and data source to form the system prediction. We adapt the concept of prediction market, motivated by their success in forecasting accurately the outcome of many events [Nikolova and Sami, 2007]. Our proposed model instantiates a sequence of prediction markets in which artificial agents play the role of market participants. Agents participate in the markets with the objective of increasing their own utility and hence indirectly cause the markets to aggregate their knowledge. Each market is run in a number of rounds in which agents have the opportunity to send their prediction and bet to the market. At the end of each round, the aggregated prediction of the crowd is announced to all agents, which provides a signal to agents about the private information of other agents so they can adjust their beliefs accordingly. Once the true value of the record is known, agents are rewarded according to accuracy of their prediction. Using this information, agents update their models and knowledge, with the aim of improving their performance in future markets. This thesis proposes two trading strategies to be utilised by agents when participating in a market. While the first one is a naive constant strategy, the second one is an adaptive strategy based on Q-Learning technique [Watkins, 1989]. We evaluate the performance of our model in different situations using real-world and synthetic data sets. Our results suggest that ACPM: i) is either better or very close to the best performing agents, ii) is resilient to the addition of agents with low performance, iii) outperforms many well-known machine learning models, iv) is resilient to quality drop-out in the best performing agents, v) adapts to changes in quality of agents predictions.
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Simen, Chardin Wese. « Variance and jump risks in financial markets ». Thesis, University of Reading, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.627643.
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This thesis investigates variance and jump risks in financial markets. Chapter 1 introduces these two concepts. Following this overview, Chapter 2 presents a thorough analysis of the compensation required by investors for their exposure to commodity variance risk. We analyze the payoffs of variance swaps of 21 prominent commodity markets over more than 20 years and find significant variance risk premia in 18 out of 21 markets. We show that commodity variance risk premia are negative, time-varying and their magnitudes increase with variance. Although classical and state-of-the-art factor models cannot explain variations in commodity variance risk premia satisfactorily, we document a significant relation between variance risk premia and macroeconomic beliefs. Chapter 3 builds on the findings of Chapter 2 to study the implication of the volatility risk premium for volatility forecasting. The volatility risk premium drives a wedge between the volatility implied from the risk-neutral probability measure and subsequently realized under the physical probability measure, making implied volatility a biased forecast of realized volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility risk premium and implement this methodology using more than 20 years of options and futures data on three major energy markets.
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Rubio, Margarita. « Housing markets, business cycles and monetary policy ». Thesis, Boston College, 2008. http://hdl.handle.net/2345/354.
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Thesis advisor: Fabio GhironiThesis advisor: Matteo Iacoviello
This dissertation studies the implications of housing market heterogeneity for the trans- mission of shocks, welfare and the conduct of monetary policy. In the first chapter I focus on mortgage contract heterogeneity (fixed vs. variable-rate mortgages). I develop and solve a New Keynesian dynamic stochastic general equilibrium model that features a housing market and a group of constrained individuals who need housing collateral to obtain loans. A given proportion of constrained households borrows at a variable rate, while the rest borrows at a fixed rate. The model predicts that in an economy with mostly variable-rate mortgages, an exogenous interest rate shock has larger effects on borrowers than in a fixed-rate economy. For plausible parametrizations, aggregate differences are muted by wealth effects on labor supply and by the presence of savers. More persistent shocks cause larger aggregate differences. From a normative perspective I find that, in the presence of collateral constraints, the optimal Taylor rule is less aggressive against inflation than in the standard sticky-price model. Furthermore, for given monetary policy, a high proportion of fixed-rate mortgages is welfare enhancing. Then, I develop a two-country version of the model to study the implications of housing market heterogeneity for a monetary union as well as costs and benefits of being in a monetary union when there are asymmetric shocks. Results show that consumption reacts more strongly to common shocks in countries with high loan-to-value ratios (LTVs), a high proportion of borrowers or variable-rate mortgages. I also find that country-specific housing price shocks increase consumption not only in the country where the shock takes place. Welfare analysis shows that housing-market homogeneization is not beneficial per se, only when it is towards low LTVs or predominantly fixed-rate mortgages. As for costs and benefits of monetary unions, when there is a technology shock in one of the countries and they are symmetric, the monetary union regime is welfare worsening. However, results are dependent on whether or not countries are symmetric and on the source of the asymmetry
Thesis (PhD) — Boston College, 2008
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Hartel, Andreas J. W. [Verfasser], Markus [Gutachter] Engstler et Markus [Gutachter] Sauer. « Die laterale Diffusion des variablen Oberflächenglykoproteins in Trypanosomen und in artifiziellen Membranen / Andreas J. W. Hartel. Gutachter : Markus Engstler ; Markus Sauer ». Würzburg : Universität Würzburg, 2015. http://d-nb.info/1108780504/34.
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Hund, John Eric. « Variance and covariance dynamics in emerging sovereign credit markets / ». Digital version accessible at:, 2000. http://wwwlib.umi.com/cr/utexas/main.
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Karlsson, Robin, et Jessica Olsson. « Den svenska aktiemarknadens beroende av makroekonomin i Tyskland och USA ». Thesis, Linköping University, Department of Management and Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-8101.
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Bakgrund: Dagligen diskuteras utländsk makroekonomiska data i svensk media, där förväntningarna på utvecklingen av dessa sätts i sammanhang med utvecklingen på den svenska börsen.
Syfte: Målet med den här studien var att utröna i hur stor utsträckning denna information kan anses vara betydande för en aktieinvesterare med kapital på den svenska börsen. Hänsyn togs även till börscykler samt varierande tidsperioder.
Genomförande: Med grund i the Arbitrage Pricing Theory genomfördes multipla regressionsanalyser, med det svenska indexet OMXS30 som beroendevariabel. Undersökningarna baserades på månadsdata för perioden april 1991 till och med augusti 2006. Den makroekonomiska datan försköts därtill en period för att ta hänsyn till variablernas eventuella fördröja effekter på Stockholmsbörsen.
Resultat: Integrationen mellan börserna visade sig ha ökat över tiden, med undantag för extraordinära perioder som IT-boomen, där makroekonomiska fundamentaldata istället slås ut. En positiv utvecklingen av långräntan samt konsumentförtroendet i USA tyder på en samtida börsuppgång i Sverige. Vidare är båda växelkurserna starkt signifikanta, där en stärkt dollar och en försvagad euro har positiva effekter på den svenska marknadsutvecklingen.
Background: Foreign macroeconomic fundamentals are daily discussed in the Swedish media, where expectations on the development of these are put into context with the ecnonomic development in Sweden.
Aim: The purpose of this thesis is to analyse to what extent this information is important for a investor on the Swedish Stock Market. Consideration was also taken to trends in the Stock Market as well as varying time periods.
Research Method: Against the background of the Abritrage Pricing Theory a multiple regression analysis was conducted,with the Swedish Stock Market Index OMXS30 as the dependent variable. The macroeconomic variables where based on monthly data between April 1991 and August 2006 and were thereto lagged one period in order to identify any delayed effects.
Result: The integration between the Stock Markets was found to increse over time, with the exception of extraordinary periods, as the IT-boom, where macroeconomic fundamentals lost significance. A positive long-term interest rate as well as a positive consumer confidence in the U.S. was found to indicate a contemporary rising market in Sweden. Further were both of the exchange rates found significant, where a stronger dollar and a weaker euro have positive effects on the Swedish current Stock Market.
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Shreay, Sanatan. « Essays on modeling limited dependent variables applied to industrial organization and labor markets ». Pullman, Wash. : Washington State University, 2009. http://www.dissertations.wsu.edu/Dissertations/Spring2009/S_Shreay_050409.pdf.
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Botes, Gearé. « The adaptive markets hypothesis : Testing for variable efficiency and cyclical profitability in the South African market ». University of the Western Cape, 2020. http://hdl.handle.net/11394/8027.
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Magister Commercii - MComThis research attempts to discover whether the Adaptive Market Hypothesis theory is applicable in the South African financial market and explores the innovation and cyclical profitability implications of the Adaptive Market Hypothesis theory. This is achieved in two parts: first by determining if returns follow a random walk or not and second by analysing the consistency of technical and fundamental factors to explain the cross-section of equity returns between 1 January 1998 to 31 December 2017. The tests of stock return dependency include a total of five tests on the average monthly returns for each stock in the ALSI covering normality and random walk theory for the duration of the two sub-periods and entire examination period.
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Petitet, Marie. « Long-term dynamics of investment decisions in electricity markets with variable renewables development and adequacy objectives ». Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED032/document.
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Les marchés électriques libéralisés sont supposés assurer la coordination de long terme des investissements afin de garantir sécurité d’approvisionnement, viabilité et compétitivité. Dans le modèle de référence energy-only, la formation des prix par alignement sur le coût variable de l’équipement marginal sur les marchés horaires successifs fournit un signal prix pour les investisseurs. Cependant, en pratique, ce modèle est remis en question quant à sa capacité à déclencher des investissements dans les technologies bas-carbone et en particulier les énergies renouvelables (EnR) et quant à sa capacité à garantir la sécurité d’approvisionnement. Cette thèse cherche d’abord à caractériser ces deux défaillances de marché puis s’intéresse à différentes solutions pour faire face à chacune d’entre elles. Pour cela, la réflexion s’appuie sur un modèle en System Dynamics développé afin de simuler les investissements dans les marchés électriques.D’une part, les résultats montrent que le remplacement des mécanismes de support hors marché par des investissements par le marché avec l’aide d’un prix du carbone apparait comme une solution pour déclencher le développement des EnR à condition d'un engagement politique fort en faveur d’un prix du carbone élevé. D’autre part, il apparait aussi que le marché energy-only avec des prix plafonnés ne parvient pas à assurer l’adéquation de capacité. L’ajout d’un marché de capacité ou la suppression du plafond de prix permettent une amélioration en termes de nombre d’heure de délestage et de bien-être collectif. De plus, le marché de capacité apparaît comme le meilleur choix pour le régulateur parmi les architectures de marché considéréesIn liberalised electricity systems, power markets are expected to ensure the long-term coordination of investments in order to guarantee security of supply, sustainability and competitiveness. In the reference energy-only market, it relies on the ability of power markets — where the hourly price is aligned with the marginal cost of the system — to provide an adequate price-signal for investors. However, in practice, questions have been raised about its ability to trigger investments in low-carbon technologies including in particular Renewable Energy Sources of Electricity (RES-E), and its ability to ensure capacity adequacy. After a characterisation of these market failures, this dissertation tackles the two research topics within a methodological framework based on a System Dynamics model developed to simulate private investment decisions in power markets.First, the results show that substituting out-of-market support mechanisms for RES-E by market-based investments helped by the sole implementation of a carbon price appears as a feasible solution to trigger RES-E development providing that there is a political commitment on a high carbon price. Second, it also appears that the energy-only market with price cap is ineffective to ensure capacity adequacy. Adding a capacity market or removing the price cap both bring benefits in terms of loss of load expectation and social welfare. Moreover, the capacity market is identified as the best option for regulators among the considered market designs
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Villavicencio, Manuel. « Analyzing the optimal development of electricity storage in electricity markets with high variable renewable energy shares ». Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED044/document.
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L’essor des technologies renouvelable à apport variable pose des nombreuses difficultés dans le fonctionnement du système électrique. Ce système doit garantir l’équilibre offre-demande à tout moment, ainsi que d’assurer des hauts niveaux de fiabilité du service. Donc, la variabilité accroît les besoins de flexibilité et des services système. Ils existent plusieurs options capables de fournir ceux services, dont : le renforcement des interconnections, le pilotage intelligent de la demande, le renforcement des capacités de réponse rapide des unités de production, mais aussi, le mis en œuvre des technologies de stockage de l’électricité. Cependant, les marchés électriques actuels sont basés sur la rémunération de l’énergie. Donc, la valorisation intégrale des services qui peut fournir le stockage semble difficile, ce qui restreint le « business case » des options de flexibilité.Cette thèse s’inscrit autour des propos suivants : (1) modéliser et évaluer les interrelations entre variabilité, besoins de flexibilité et objectifs de décarbonation du parc électrique, (2) analyser le rôle, ainsi que la valeur, des différents technologies du stockage à travers le cas Français aux horizons 2020, 2030 et 2050, et (3) discuter sur les aspects de régulation de la flexibilité, ainsi que proposer des politique énergétiques concrètes permettant la réussite des objectifs de transition énergétique et de décarbonation du mix électrique françaisThe increasing variability of electricity production in Europe, which is mainly due to the intermittent production of renewables such as wind and photovoltaic (VRE), will require significant efforts to reconcile demand and supply at all times. Thus, increasing shares of variability imply increasing amounts of system services. In addition to upgraded interconnections, demand-side management (DSM) and dispatchable backup capacity, electric energy storage (EES) technologies will have a major role to play in this context.However, due to the peculiar price formation mechanism prevailing in energy-only electricity markets, the commercial case for EES is being eroded by the very forces that create the need for its increased deployment at the system level. The private incentives of EES are thus diminishing while its social value, which is determined by the multiple system services these technologies can supply, is increasing.This thesis sets out to (1) model and assess the interplays between variability, flexibility needs and decarbonization objectives, (2) analyze the role and the value of EES technologies in view of the French official objectives by 2020, 2030 and 2050, and (3) discuss regulatory aspects, and propose a set of energy policies allowing to succeed in the energy transition and decarbonization goals
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Valliant, dit Massart Noel. « Mean-variance hedging and pricing of contingent claims in incomplete markets ». Thesis, Imperial College London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.297287.
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Ochs, Oliver Michael [Verfasser], Markus [Akademischer Betreuer] Lackinger, Katharina [Gutachter] Krischer et Markus [Gutachter] Lackinger. « The Immersion Scanning Tunneling Microscope : Development and First Long-Term Variable-Temperature Studies at Liquid-Solid Interfaces / Oliver Michael Ochs ; Gutachter : Katharina Krischer, Markus Lackinger ; Betreuer : Markus Lackinger ». München : Universitätsbibliothek der TU München, 2021. http://d-nb.info/1234656132/34.
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Brückner, Markus [Verfasser], Andreas [Akademischer Betreuer] Mitschele-Thiel, Jochen [Gutachter] Seitz et Paul [Gutachter] Müller. « A QoS model for highly variable mobile networks / Markus Brückner ; Gutachter : Jochen Seitz, Paul Müller ; Betreuer : Andreas Mitschele-Thiel ». Ilmenau : TU Ilmenau, 2017. http://d-nb.info/1178134938/34.
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Shafie, Abdul Ghani. « The structural relationship between stock market returns and macroeconomic variables in international equity markets ». Thesis, University of Stirling, 1991. http://hdl.handle.net/1893/2251.
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This study is concerned with investigating the structural relationship between stock markets and economic variables in different countries. In investigating the relationships, the following six questions are posed:- Are stock markets in the United States, the United Kingdom, West Germany, France, Norway, Japan, Singapore, Malaysia, Australia and South Africa related to each other and do they influence each other? Does the level of any relationship change over time? Are variables representing economic activity in each country related to similar variables in the other countries? Does the level of any economic relationship change over time? Are the comovements of both equity markets and economic indicators consistent? and Are stock markets examined in this study influenced by similar common underlying factors? The empirical results suggest positive answers to these questions. The main findings from the study suggest that equity returns are related and although some markets have a higher degree of similarity, the covariance between international equity returns remain stable over the short period but tend to change in the long run. It is also found that economic variables of different countries are related in a consistent way to the equity markets. Finally it is shown that stock prices in each country are systematically affected by similar economic factors.
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Abdullah, M. « Asset pricing with empirical, zero-beta, macro and state variables in international equity markets ». Thesis, University of Salford, 2018. http://usir.salford.ac.uk/47224/.
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This study aims to improve asset pricing by using empirical, zero-beta, macro and state variables. Firstly, we improve asset pricing with empirical factors as we find the gap that the five-factor model augmented with momentum factor, is yet to be examined in international equity markets. We use the time-series and cross-sectional tests to assess the performance of this six-factor model and compare the performance with other traditional asset pricing models. Findings suggest that the five-factor model improves with the addition of momentum factor. Secondly, we attempt to improve asset pricing by using the gold return as a proxy of the zero-beta rate in global regions. We find that the gold beta is insignificantly different from zero in the U.S. and U.K. equity markets. We confirm the efficiency of gold markets with a battery of efficiency tests and find the position of gold at the minimum variance frontier. When we perform empirical tests by using gold as a zero-beta asset in empirical factor models, we find a convincing evidence in those equity markets as we obtain higher R-squared values, lower Sharpe ratios of alphas and fewer significant pricing errors. Thirdly, we examine the role of gold as a hedging factor in the Intertemporal Capital Asset Pricing Model (ICAPM) in the U.S. and global asset pricing. We perform multivariate and Generalised Method of Moments (GMM) to assess the joint significance of the market and gold price factors. We find that the gold is not a useless factor both in the U.S. and the global asset pricing. Fourthly, we employ empirical, macroeconomic, and state variables to improve asset pricing. We assess the performance of the 23 asset pricing models with the Merton (1973) criteria of multifactor models. We also explore the innovative role of inflation and industrial production with ICAPM and empirical multifactor models. We employ single and multiple predictive regressions to assess forecasting criteria and utilise first-stage GMM to assess the cross-sectional criteria of multifactor models. Results on the multifactor models confirm earlier findings that the applicability of gold return as a proxy of the zero-beta rate improves the model performance of not only empirical factor model but also ICAPM models. This research has many useful applications for investors, policy makers and regulatory bodies. The alternative zero-beta models are useful to obtain better estimates of expected returns during the market crisis and improve pricing of small and risky stocks.
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Ogden, Lillie. « Exploring Opportunities for Novel Electricity Trading Strategies within a Virtual Power Plant in the European Power Market : New Possibilities in Power Trading Due to the Increased Share of Variable Renewable Energy ». Thesis, KTH, Energiteknik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-277841.
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This report explores the impacts of variable renewable energy (VRE) on power trading in the European wholesale electricity market. The intricate operation of a typical power exchange in Europe is accompanied by an equally complex balancing system. The increasing amount of VRE in the power system, such as wind and solar power, has far-reaching impacts for power traders in both this electricity market and the corresponding balancing system. As a result, the electricity market is evolving in unprecedented ways and new participants are entering the playing field to capitalize on the changing dynamics caused by VRE generators. One novel participant, the virtual power plant (VPP), possesses an advantage over other market participants by aggregating VRE generators with controllable renewable energy generators, like biogas and hydro plants, into one entity. This allows the VPP to both gain access to live VRE production data that larger plants don’t have, which it then utilizes to remotely dispatch various subpools of assets, and to provide balancing services to the grid. Subsequently, VPPs are able to trade VRE and other renewable electricity superiorly on the same spot markets and balancing systems as large central power plants and industrial consumers. The report asserts that VPP traders can earn profits through means of innovative trading strategies that exploit predictable market impacts caused by VRE power through a robust understanding of the electricity market and their unique access to data.Denna rapport undersöker effekterna av variabel förnybar energi (VRE) på krafthandeln på den europeiska elhandelsmarknaden för stora aktörer. Den komplicerade driften av ett typiskt kraftutbyte i Europa åtföljs av ett lika komplicerat balanseringssystem. Den ökande mängden VRE i kraftsystemet, såsom vind- och solkraft, har långtgående effekter för krafthandlare på både denna elmarknad och motsvarande balanseringssystem. Som ett resultat utvecklas elmarknaden på enastående sätt och nya deltagare kommer in på spelplanen för att dra nytta av den förändrade dynamiken som orsakas av VRE-generatorer. En ny spelare, det virtuella kraftverket (VPP), har en fördel jämfört med andra marknadsaktörer genom att samla VRE-generatorer med styrbara förnybara energiproducenter, som biogas och vattenkraftverk, till en enhet. Detta gör att VPP både kan få tillgång till live VRE-produktionsdata som större anläggningar inte har, som den sedan använder för att distribuera olika underpooler av tillgångar och för att tillhandahålla balanstjänster till nätet. Därefter kan VPP: er handla med VRE och annan förnybar el på ett överlägset sätt på samma spotmarknader och balanseringssystem som stora centrala kraftverk och industrikonsumenter. Rapporten visar att VPP-handlare kan göra vinster genom innovativa handelsstrategier som utnyttjar förutsägbara marknadseffekter orsakade av VRE-kraft genom en detaljerad förståelse för elmarknaden och unik tillgång till data för produktionen av förnybar energi
QC 20201118
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Blaha, Jeffrey. « Variable Selection Methods for Residential Real Estate Markets : An Exploration of Random Forest Trees in Spatial Economics ». University of Toledo / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1503330225924692.
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Scharff, Richard. « Design of Electricity Markets for Efficient Balancing of Wind Power Generation ». Doctoral thesis, KTH, Elektriska energisystem, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-171063.
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Deploying wind power to a larger extent is one solution to reduce negative environmental impacts of electric power supply. However, various challenges are connected with increasing wind power penetration levels. From the perspective of transmission system operators, this includes balancing of varying as well as - to some extent - uncertain generation levels. From the perspective of power generating companies, changes in the generation mix will affect the market's merit order and, hence, their profits. This thesis focuses on provision and use of flexibility in the Nordic electricity market. First, this thesis studies wind power variations and accuracy of wind power forecasts in Sweden using statistical methods. Even though today’s wind penetration levels are still low in Sweden, power systems and electricity markets have to cope with these characteristics of variations and forecast errors to a larger extent in future. Second, it investigates to which extent an increased exchange and use of flexibility that is available in the intraday time-frame could efficiently facilitate system balancing and whether this would also be profitable from the power generating companies' perspective. Here, a simulation model is developed that reflects important aspects of production planning and trading decisions in the intraday time-frame. In a first case study, it is shown that the benefits of internal rescheduling strongly depend on the costs to adjust production plans in the intraday time-frame as compared to real-time. In a second case study, it becomes evident that trading flexibility in the intraday time-frame can reduce the need for system balancing more efficiently than internal rescheduling within each balance responsible party. Motivated by the positive gains of intraday trading and the challenge of appropriately modelling continuous intraday markets, trading activity and price development on Elbas is investigated. The results provide insights into trading behaviour on a continuous intraday market and show that trading is not always in accordance to the power system's physical situation. To the extent to which better information and adaptations in the market design could improve the market participants' base for trading decisions, policy recommendations and further research questions areas suggested.Att använda vindkraft i en större utsträckning är en möjlighet att minska elproduktionens negativa miljöpåverkan. Det finns dock också olika utmaningar med stora mängder vindkraft. Från ett systemperspektiv gäller det till exempel att hålla balansen mellan tillförsel och konsumtion av el. Från elproducenternas perspektiv bör vindkraftens påverkan på elmarknaden nämnas eftersom det påverka aktörernas vinster. Avhandlingen titta närmare in i hur man kan få tillgång till mer flexibilitet på produktionssidan. Avhandlingen består av tre delar. För det första undersöks variationer och prognosfel av vindkraft i Sverige med hjälp av statistiska metoder. Även om andel vindkraft hittills är låg i Sverige, behöver elsystemet och elmarknader i framtiden hantera samma egenskaper av själva variationer och prognosfel som idag men i en större utsträckning. För det andra undersöks hur den flexibiliteten som finns i tidshorisonten några timmar innan leveranstimmen kan utnyttjas för att integrera vindkraften på ett sätt som är både fördelaktigt från systemets och från aktörernas perspektiv. Undersökningen sker med hjälp av en simuleringsmodell som omfattar viktiga delar i produktionsplanering och intradayhandel. I en fallstudie uppvisas att vinster av intern omplanering är i högsta grad beroende på kostnadsskillnaden mellan omplanering några timmar innan leveranstimmen och anpassning av körscheman under själva leveranstimmen. Resultat av ytterligare en fallstudie uppvisar att det är betydligt billigare och mer effektivt att använda intradayhandel istället för intern omplanering för att utnyttja den befintliga flexibiliteten och för att reducera obalanser som systemoperatörer annars behöver ta hand om under leveranstimmen. Detta är en anledning till att undersöka handelsmönster på Elbas som är en intradaymarknad med kontinuerlig handel. En annan anledning till den här tredje delen är utmaningarna i att modellera kontinuerlig intradayhandel. Studien beskriver handelsaktiviteten på Elbas och hur priserna utvecklas under handelstiden. Ett resultat är att handeln inte alltid återspeglar den fysiska situationen i elsystemet. I den utsträckningen som ett snabbare informationsflöde och förändringar i marknadsdesignen kunde förbättrar aktörernas underlag för intradayhandel, föreslås förbättringar och öppna forskningsfrågor.
QC 20150911
Elektra 36141: Korttidsplanering av vatten-värmekraftsystem vid stora mängder vindkraft: System-perspektivet
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Xu, Weijun Banking & Finance Australian School of Business UNSW. « Optimal hedging strategy in stock index future markets ». Awarded by:University of New South Wales. Banking & ; Finance, 2009. http://handle.unsw.edu.au/1959.4/43728.
Texte intégralRésumé :
In this thesis we search for optimal hedging strategy in stock index futures markets by providing a comprehensive comparison of variety types of models in the related literature. We concentrate on the strategy that minimizes portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. There are linear regression models assuming time-invariant volatility; GARCH-type models capturing time-varying volatility, Markov regime switching (MRS) regression models assuming state-varying volatility, and MRS-GARCH models capturing both time-varying and state-varying volatility. We use both Maximum Likelihood Estimation (MLE) and Bayesian Gibbs-Sampling approach to estimate the models with four commonly used index futures contracts: S&P 500, FTSE 100, Nikkei 225 and Hang Seng index futures. We apply risk reduction and utility maximization criterions to evaluate hedging performance of MVHRs estimated from these models. The in-sample results show that the optimal hedging strategy for the S&P 500 and the Hang Seng index futures contracts is the MVHR estimated using the MRS-OLS model, while the optimal hedging strategy for the Nikkei 225 and the FTSE 100 futures contracts is the MVHR estimated using the Asymmetric-Diagonal-BEKK-GARCH and the Asymmetric-DCC-GARCH model, respectively. As in the out-of sample investigation, the time-varying models such as the BEKK-GARCH models especially the Scalar-BEKK model outperform those state-varying MRS models in majority of futures contracts in both one-step- and multiple-step-ahead forecast cases. Overall the evidence suggests that there is no single model that can consistently produce the best strategy across different index futures contracts. Moreover, using more sophisticated models such as MRS-GARCH models provide some benefits compared with their corresponding single-state GARCH models in the in-sample case but not in the out-of-sample case. While comparing with other types of models MRS-GARCH models do not necessarily improve hedging efficiency. Furthermore, there is evidence that using Bayesian Gibbs-sampling approach to estimate the MRS models provides investors more efficient hedging strategy compared with the MLE method.
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Jeong, Kyeong-Soo. « The effects of domestic and trade policy variables on the U.S. beef wholesale and slaughter markets ». Thesis, Montana State University, 1990. http://etd.lib.montana.edu/etd/1990/jeong/JeongK1990.pdf.
Texte intégralRésumé :
Trading in beef products has been increasing during the 1980's and its impact on the U.S. beef industry has become an important issue for various interest groups. Particularly, U.S. by-product exports have become a large value item in U.S. beef product exports and contribute greatly to meat packer returns and Japanese beef import quotas have become less stringent. The main objective of this study is to develop a dynamic structural model of the U.S. wholesale carcass and slaughter cattle industry. The model incorporated pertinent domestic variables and foreign trade variables such as imports and exports of beef and veal, live cattle imports, and by-product exports. The econometric model explicitly includes U.S. carcass demand and supply, U.S. slaughter demand and supply, beef and veal import demand and supply, beef and veal export demand and supply, live cattle import demand and supply, and foreign trade in farm level by-products. The empirical model was estimated within a rational distributed lag framework, using instrumental variables with either the maximum likelihood or ordinary least squares procedure depending upon the nature of the stochastic error terms. The short-run and long-run impacts of the exogenous variables on the dependent variables are calculated using sequential partial derivatives involving the difference equation coefficients and slope parameters. The distributed lag impacts of trade shocks on the U.S. beef prices are calculated using reduced form coefficients specific to selected exogenous and predetermined variables combined with price transmission effects between market levels. The empirical results show that most of the foreign trade variables were statistically significant and demonstrated theoretically correct signs. The long-run impacts of foreign trade in beef products were generally small but were large enough to suggest that incorporating foreign market arguments in the framework of dynamic analysis is important in a U.S. beef market analysis. However, the use of monthly or quarterly data and disaggregate price and quantity data for the trade variables would be more desirable in order to reduce aggregation bias.
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PAIVA, FRANCISCO JOSE MATTOSO. « CRITICAL VARIABLES PROPOSAL FOR A PRELIMINARY DECISION MAKING MODEL OF ACQUISITION OF REFINERIES IN NEW MARKETS ». PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=31907@1.
Texte intégralRésumé :
Em consequência da atuação das empresas de petróleo em um mercado globalizado, uma das etapas do processo de internacionalização destas empresas é a aquisição de refinarias em novos mercados. Destacam-se aqueles em que as oportunidades são mais desafiadoras, como as emergentes economias do Oriente, principalmente a China e a Índia. Se a eficiência de um sistema logístico é crítica para as operações das empresas em seus próprios países, torna-se ainda mais importante para estas operações globalizadas, considerando-se os diferentes ambientes encontrados nos países onde as empresas passam a operar. A tomada de decisão sobre a aquisição de novas refinarias fora de seus países requer o conhecimento dos impactos desta aquisição sobre os fluxos de petróleo e seus produtos entre os mercados,
considerando-se os diferentes fatores que atuam sobre estes fluxos. Neste trabalho, por meio de uma pesquisa bibliográfica, estuda-se a proposta da Petrobras em desenvolver uma ferramenta de avaliação do fluxo de petróleo e seus produtos em função da compra de novas refinarias, a ser utilizada no processo de tomada de decisão. Estudam-se as principais variáveis críticas de projeto a serem consideradas no futuro desenvolvimento dessa ferramenta.As a consequence of the performance of the oil companies in a globalized market, one of the steps of the internationalization process of these companies is the acquisition of refineries in new markets. Among them are those where opportunities are more challenging, as the emerging economies of the East, especially China and India. If the efficiency of a logistics system is critical to the companies operations in their countries, it becomes even more important for these globalized operations, considering different environments of the countries where the companies will operate. The decision on the acquisition of new refineries out of their countries requires the knowledge of the impact of that acquisition on the oil and its products flow through the markets, considering the various different factors that affect them. Based on a literature survey, in this work the proposal for developing a tool for evaluating the oil and its products flow for Petrobras as a function of the purchase of new refineries that will be used in the decision making process is studied. This thesis analyses the main project s critical variables to be considered in the future development of this tool.
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Espig, Martin [Verfasser], Joachim [Akademischer Betreuer] Enders et Markus [Akademischer Betreuer] Roth. « Entwicklung, Aufbau und Charakterisierung einer variabel repetierenden, spinpolarisierten Elektronenkanone mit invertierter Isolatorgeometrie / Martin Espig. Betreuer : Joachim Enders ; Markus Roth ». Darmstadt : Universitäts- und Landesbibliothek Darmstadt, 2016. http://d-nb.info/1112141855/34.
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Ng, Sau-wah. « Population genetics study on the variable number of Tandem repeats (VNTR) loci of a Han Chinese population in Hong Kong and its application in human identity ». Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2292582X.
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Detlefsen, Kai. « Equity derivatives markets ». Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2007. http://www.gbv.de/dms/zbw/561396701.pdf.
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Jäckel, Christoph [Verfasser], Christoph [Akademischer Betreuer] Kaserer et Markus [Akademischer Betreuer] Glaser. « Incorporating model uncertainty into the variable selection problem of expected return proxies / Christoph Jäckel. Gutachter : Markus Glaser ; Christoph Kaserer. Betreuer : Christoph Kaserer ». München : Universitätsbibliothek der TU München, 2014. http://d-nb.info/1056035617/34.
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Schmidt, Patrick [Verfasser]. « Bedeutung und Verhalten der Werte des kardialen Markers BNP und weiterer Variablen bei starker Ausdauerbelastung / Patrick Schmidt ». Berlin : Medizinische Fakultät Charité - Universitätsmedizin Berlin, 2011. http://d-nb.info/1025239431/34.
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Pettersson, Fabian, et Oskar Ringström. « Portfolio Optimization : An Evaluation of the Downside Risk Framework on the Nordic Equity Markets ». Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275688.
Texte intégralRésumé :
Risk management in portfolio construction is a widely discussed topic and the tradeoff between risk and return is always considered before an investment is made. Modern portfolio theory is a mathematical framework which describes how a rational investor can use diversification to optimize a portfolio, which suggests using variance to measure financial risk. However, since variance is a symmetrical metric, the framework fails to correctly account for the loss aversion preferences most investors exhibit. Therefore, the use of downside risk measures were proposed, which only measures the variance of the portfolio below a certain threshold, usually set to zero or the risk-free rate. This thesis empirically investigates the differences in performance between the two risk measures when used to solve a real world portfolio optimization problem. Backtests using the different measures on all major Nordic equity markets are performed to highlight the dynamics between the frameworks, and when one should be preferred over the other. It is concluded that the optimization frameworks indeed provides a useful tool for investors to construct great performing portfolios. However, even though the downside risk framework is more mathematically rigorous, implementing this risk measure instead of variance seems to be of less importance for the actual results.Riskhantering för aktieportföljer är mycket centralt och en avvägning mellan risk och avkastning görs alltid innan en investering. Modern Portföljteori är ett matematiskt ramverk som beskriver hur en rationell investerare kan använda diversifiering för att optimera en portfölj. Centralt för detta är att använda portföljens varians för att mäta risk. Dock, eftersom varians är ett symmetriskt mått lyckas inte detta ramverk korrekt ta hänsyn till den förlustaversion som de flesta investerare upplever. Därför har det föreslagits att istället använda olika mått på nedsiderisk (downside risk), som endast tar hänsyn till portföljens varians under en viss avkastningsgräns, oftast satt till noll eller den riskfria räntan. Denna studie undersöker skillnaderna i prestation mellan dessa två riskmått när de används för att lösa ett verkligt portföljoptimeringsproblem. Backtests med riskmåtten har genomförts på de olika nordiska aktiemarknaderna för att visa på likheter och skillnader mellan de olika riskmåtten, samt när det enda är att föredra framför det andra. Slutsatsen är att ramverken ger investerare ett användbart verktyg för att smidigt optimera portföljer. Däremot verkar den faktiska skillnaden mellan de två riskmåtten vara av mindre betydelse för portföljernas prestation. Detta trots att downside risk är mer matematiskt rigoröst.
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Fausch, Jürg. « Essays on Financial Markets and the Macroeconomy ». Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-140151.
Texte intégralRésumé :
Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. Using a reasonable calibration, the macroeconomic DSGE model is consistent with a number of stylized facts observed in financial markets like the equity premium, a negative real term spread, a positive nominal term spread and the predictability of stock returns, without compromising the model's ability to fit key macroeconomic variables. The interest rate smoothing in the monetary policy rule helps generate a low risk-free rate volatility which has been difficult to achieve for standard real business cycle models where monetary policy is neutral. In an application, I show that the model provides a framework for analyzing monetary policy interventions and the associated effects on asset prices and the real economy. Macroeconomic news and the stock market: Evidence from the eurozone. This paper is an empirical study of excess return behavior in the stock market in the euro area around days when important macroeconomic news about inflation, unemployment or interest rates are scheduled for announcement. I identify state dependence such that equity risk premia on announcement days are significantly higher when the interests rates are in the vicinity of the zero lower bound. Moreover, I provide evidence that for the whole sample period, the average excess returns in the eurozone are only higher on days when FOMC announcements are scheduled for release. However, this result vanishes in a low interest rate regime. Finally, I document that the European stock market does not command a premium for scheduled announcements by the European Central Bank (ECB). The impact of ECB monetary policy surprises on the German stock market. We examine the impact of ECB monetary policy surprises on German excess stock returns and the possible reasons for such a response. First, we conduct an event study to asses the impact of conventional and unconventional monetary policy on stock returns. Second, within the VAR framework of Campbell and Ammer (1993), we decompose excess stock returns into news regarding expected excess returns, future dividends and future real interest rates. We measure conventional monetary policy shocks using futures markets data. Our main findings are that the overall variation in German excess stock returns mainly reflects revisions in expectations about dividends and that the stock market response to monetary policy shocks is dependent on the prevailing interest rate regime. In periods of negative real interest rates, a surprise monetary tightening leads to a decrease in excess stock returns. The channels behind this response are news about higher expected excess returns and lower future dividends.
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Wayman, Brian H. « Arterial Response to Local Mechanical Variables : The Effects of Circumferential and Shear Stress ». Diss., Georgia Institute of Technology, 2007. http://hdl.handle.net/1853/22611.
Texte intégralRésumé :
Arteries respond to changes in global mechanical parameters (pressure, flow rate, and longitudinal stretching) by remodeling to restore local parameters (circumferential stress, shear stress, and axial strain) to baseline levels. Because a change in a single global parameter results in changes of multiple local parameters, the effects of individual local parameters on remodeling remain unknown. This study uses a novel approach to study remodeling in organ culture based on independent control of local mechanical parameters. The approach is illustrated by studying the effects of circumferential and shear stress on remodeling-related biological markers. Porcine carotid arteries were cultured for three days at a circumferential stress of 50 kPa or 150 kPa or, in separate experiments, a shear stress of 0.75 Pa or 2.25 Pa. At high circumferential stress, matrix synthesis, smooth muscle cell proliferation, and cell death are significantly greater, but matrix metalloproteinase-2 (MMP-2) and pro-MMP-2 activity are significantly less. In contrast, biological markers measured were unaffected by shear stress. Applications of the proposed approach for improved understanding of remodeling, optimizing mechanical conditioning of tissue engineered arteries, and selection of experimentally motivated growth laws are discussed.
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Ng, Sau-wah, et 吳秀華. « Population genetics study on the variable number of Tandem repeats (VNTR) loci of a Han Chinese population in Hong Kong and itsapplication in human identity ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31224994.
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Janes, Holly. « Adjusting for covariate effects in biomarker studies using the subject-specfic threshold ROC curve / ». Thesis, Connect to this title online ; UW restricted, 2005. http://hdl.handle.net/1773/9536.
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Errey, Olivia Claire. « Variable capture levels of carbon dioxide from natural gas combined cycle power plant with integrated post-combustion capture in low carbon electricity markets ». Thesis, University of Edinburgh, 2018. http://hdl.handle.net/1842/33240.
Texte intégralRésumé :
This work considers the value of flexible power provision from natural gas-fired combined cycle (NGCC) power plants operating post-combustion carbon dioxide (CO2) capture in low carbon electricity markets. Specifically, the work assesses the value of the flexibility gained by varying CO2 capture levels, thus the specific energy penalty of capture and the resultant power plant net electricity export. The potential value of this flexible operation is quantified under different electricity market scenarios, given the corresponding variations in electricity export and CO2 emissions. A quantified assessment of natural gas-fired power plant integrated with amine-based post-combustion capture and compression is attempted through the development of an Aspen Plus simulation. To enable evaluation of flexible operation, the simulation was developed with the facility to model off-design behaviour in the steam cycle, amine capture unit and CO2 compression train. The simulation is ultimately used to determine relationships between CO2 capture level and the total specific electricity output penalty (EOP) of capture for different plant configurations. Based on this relationship, a novel methodology for maximising net plant income by optimising the operating capture level is proposed and evaluated. This methodology provides an optimisation approach for power plant operators given electricity market stimuli, namely electricity prices, fuel prices, and carbon reduction incentives. The techno-economic implications of capture level optimisation are considered in three different low carbon electricity market case studies; 1) a CO2 price operating in parallel to wholesale electricity selling prices, 2) a proportional subsidy for low carbon electricity considered to be the fraction of plant electrical output equal to the capture level, and 3) a subsidy for low carbon electricity based upon a counterfactual for net plant CO2 emissions (similar to typical approaches for implementing an Emissions Performance Standard). The incentives for variable capture levels are assessed in each market study, with the value of optimum capture level operation quantified for both plant operators and to the wider electricity market. All market case studies indicate that variable capture is likely to increase plant revenue throughout the range of market prices considered. Different market approaches, however, lead to different valuation of flexible power provision and therefore different operating outcomes.
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Schopen, Jan-Hendrik [Verfasser], Martin [Akademischer Betreuer] Missong et Thorsten [Akademischer Betreuer] Poddig. « Exogenous Variables in Dynamic Conditional Correlation Models for Financial Markets / Jan-Hendrik Schopen. Gutachter : Martin Missong ; Thorsten Poddig. Betreuer : Martin Missong ». Bremen : Staats- und Universitätsbibliothek Bremen, 2012. http://d-nb.info/1072155885/34.
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McHugh, Cathy. « Study of the effects of supraphysiological growth hormone administration in healthy young adults on metabolic variables and markers of sporting performance ». Thesis, University of Southampton, 2012. https://eprints.soton.ac.uk/361595/.
Texte intégralRésumé :
Growth hormone (GH) administration in individuals with GH deficiency improves physical performance by increased stroke volume and systemic vascular resistance, substrate availability, erythropoiesis, and altered body composition (increased lean body mass and reduced body fat). This study has evaluated the performance of a methodology developed by the GH-2000 research team to detect GH abuse in athletes. This is based on the measurement of IGF-I and Nterminal pro-peptide of collagen type III (P-III-NP), in non-Caucasian amateur athletes. This study has also evaluated the effects of 28 days of supraphysiological GH administration in GH replete health individuals on markers of performance including exercise capacity (V02 maximum), heart rate, substrate utilisation, body composition, and insulin resistance. The study has examined if any changes are associated with changes in serum adiponectin, NEFA or IGF-I concentrations. 36 healthy non-Caucasian amateur athletes completed a double blind randomised placebo controlled trial of 28 days of self-administered subcutaneous nightly GH injections (0.1 IU/kg/day or 0.2 IU/kg/day) or placebo.
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Ali, Abubaker Ali. « An empirical examination of conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in Arab stock markets ». Thesis, University of Gloucestershire, 2011. http://eprints.glos.ac.uk/1147/.
Texte intégralRésumé :
This thesis empirically examined conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in four Arab stock markets, namely Jordan, Morocco, Tunisia and Kuwait over a period extended from January 1998 to December 2009. The desire to test these models in the Arab stock market was motivated by that fact that stock returns in these markets do not follow normal distribution and there exist third and fourth moments (skewness and kurtosis). More than 50% of the realised returns from the Arab stock market are lower than the risk free return, meaning the realised return is negative. Arab countries are different in terms of their economic situation and many have carried out economic reform programmes. In addition, their stock markets have been affected by multiple political and economic shocks. Arab stock markets are characterised by a low number of listed companies, low trading volume, low value of market capitalisation, and hence low market liquidity. Examination of the conditional four-moment CAPM was performed using panel data regression, whereas APT pre-specified macroeconomic variables with market liquidity by using six macroeconomic variables: industrial production, inflation, money supply, interest rate, exchange rate and oil price, panel data regression and Principal Components Analysis (PCA). The results of unconditional two-, three- and four-moment CAPM showed that there was not a significant positive relationship between beta and co-kurtosis, and return and that there was an insignificant relationship between co-skewness and return which was opposite to sign of market skewness in all stock markets included in the sample. However, the results of testing conditional two-, three- and four-moment CAPM showed a significant positive (negative) relationship between beta and return in an up (down) market in all the stock markets included in the sample. The results of conditional three- and four-moment CAPM showed a significant negative (positive) relationship between co-skewness and return when the market was up (down) in Jordan and Tunisia. Based on the results of conditional four-moment CAPM, a positive (negative) relationship between co-kurtosis and return in up (down) markets was found in Tunisia only when using a value weighted index (VWI). The results of panel data regression and PCA revealed that the most important macroeconomic variables that remain significant in explaining stock returns were oil price for Jordan and exchange rate and oil price for Kuwait. With respect to market liquidity, the results showed a significant negative relationship between market liquidity and stock returns in both Jordan and Kuwait. Generally, empirical results showed that the most important variable to explain the cross-section of stock returns is conditional co-variance (conditional beta), whereas the importance of others variables (co-skewness, co-kurtosis, macroeconomic variables and market liquidity) were different from market to other.
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Offer, Patrick Markus Dirk Verfasser], Bernhard [Akademischer Betreuer] [Blümich et Christian [Akademischer Betreuer] Raabe. « k, q & ; b - Moderne Kodierungsstrategien von Fourier-konjugierten Variablen der Bewegung in der Kernspinresonanz / Patrick Markus Dirk Offer ; Bernhard Blümich, Christian Julius Raabe ». Aachen : Universitätsbibliothek der RWTH Aachen, 2019. http://d-nb.info/1195237618/34.
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Offer, Patrick Markus Dirk [Verfasser], Bernhard [Akademischer Betreuer] Blümich et Christian [Akademischer Betreuer] Raabe. « k, q & ; b - Moderne Kodierungsstrategien von Fourier-konjugierten Variablen der Bewegung in der Kernspinresonanz / Patrick Markus Dirk Offer ; Bernhard Blümich, Christian Julius Raabe ». Aachen : Universitätsbibliothek der RWTH Aachen, 2019. http://d-nb.info/1195237618/34.
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Santos, Roberto Amaral de Castro Prado. « Natural gas vehicles in Brazil : consequences to fuel markets ». reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24016.
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Made available in DSpace on 2018-06-05T14:01:45Z (GMT). No. of bitstreams: 1 Dissertação - Natural Gas Vehicles in Brazil - Consequences to Fuel Markets - Roberto Amaral C P Santos - EESP-FGV - versão final.pdf: 944438 bytes, checksum: 1c0da5644a3a1d8c63a9f60d618a9325 (MD5) Previous issue date: 2018-05-10
This Master Thesis consists of one empirical article on the field of Microeconomy. Natural Gas Vehicles (NGVs) are very popular in many countries around the world, including Brazil. The Brazilian State of Rio de Janeiro has the largest NGV fleet of the country. Using a panel database extending for 15 years, we evaluate the impact of the NGV fleet penetration growth in Rio de Janeiro on the retailers’s prices and margins of gasoline and sugarcane ethanol. By correcting for endogeneity, we are able to identify a negative impact of the former variables on the last ones. The result is generally robust to different specifications of our model and instrument, as well as to data adjustment. We also calculate that the NGV fleet growth has benefited the environment through lower pollutant emissions. Hence, the increase in the NGV fleet is benefitial to society not only through less polution, but also by lowering the prices of gasoline and ethanol, therefore benefiting its consumers.
Esta dissertação de mestrado consiste em um artigo empírico no campo da Microeconomia. Veículos movido a gás natural são populares em diversos países do mundo, incluindo o Brasil. O estado brasileiro do Rio de Janeiro tem a maior frota desse tipo de veículos no Brasil. Usando 15 anos de dados em painel, nós avaliamos o impacto do crescimento da penetração dos veículos movidos a gás natural no Rio de Janeiro sobre os preços e margens da gasolina e do etanol de cana-de-açúcar nos postos de gasolina fluminenses. Ao corrigir pela endogeneidade, identificamos um impacto negativo da primeira variável nas posteriores. Tal resultado é geralmente robusto a diferentes especificações do nosso modelo e instrumento, além de a ajustes nos dados. Além disso, calculamos que o crescimento da frota de veículos movidos a gás natural foi benéfico para o meio-ambiente por meio de menores emissões de poluentes. Assim, um aumento da frota de veículos movidos a gás natural beneficiou a sociedade não apenas através de uma menor poluição, mas também por diminuir o preço da gasolina e etanol, beneficiando, consequentemente, seus consumidores.
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Stofile, Samora Sivuyile. « A comparison on the execution of variables that determine successful mergers and acquisition activity in emerging markets : differences between emerging market multinational and developed market multinational corporations ». Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/27054.
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The internationalization process of firms has essentially been in two contexts, one focusing on those from the developed, and the other on those from the developing economies (Buckley et al.2008). According to (Panond, 2007), internationalization of Emerging Market Multinational Corporations (EMMNCs) has appeared in two waves, the first wave, which emerged in the late 1970s and early 1980s viewed the competitive advantages of EMMNCs as being derived from their ability in reducing costs through scale economies, often substituting machinery with human labour and replacing imported inputs with cheaper local ones, or improving performance through knowledge of operating in less developed markets.The objective of this research has been to understand the variables that drive the success of Mergers and Acquisitions as a mode of entry in Emerging Markets. The research looks at the application of these variables my multinational corporations from both emerging markets and those from developed markets; the aim is to ascertain if these variables are applied differently depending on the type of economy a multinational originates from.Given the saturation of developed markets multinationals have embarked on growth strategies into emerging markets where these markets are perceived as untapped, however most have failed to realise shareholder value as a result of the dynamics and challenges that these economies bring.Fukao et al. 2005 suggests that market share is one of the most useful means used in assessing the structure of the market and a particularly desirable characteristic of a target firm. This is usually couched in terms of having a ―good market position‖ in the relevant market. The specific target criterion is of special consideration in sectors which may show a high degree of stability of market structure (as compared to those which are characterized by technology intensity, low entry barriers and powerful competition, showing high volatility of market shares). As a result, it is expected that the market share variable will bear a positive coefficient in explaining the likelihood of foreign acquisition.The research proved successful that the application of the variables that determine success of an acquisition and merger between multinationals was similar and what drove this success was mainly based on experience in doing mergers and acquisitions. These led to further insights for current and future work on the topic.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Duarte, Nubia Esteban. « Mapeamento genético utilizando a teoria do gráfico da variável adicionada em modelos mistos ». Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-23062013-204844/.
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Atualmente, um dos problemas mais importantes da Genética é a identificação de genes associados com doenças complexas. Um delineamento adequado para esta finalidade corresponde à coleta de dados de famílias e plataformas de marcadores moleculares do tipo SNP (do inglês, Single Nucleotide Polimorphism). Estas plataformas representam pontos de referência estrategicamente dispostos ao longo do genoma dos indivíduos e são de alta dimensão. A análise destes dados traz desafios analíticos como o problema de múltiplos testes e a seleção de variáveis preditoras. Nesta tese, propõe-se um critério para discriminar as variáveis preditoras genéticas em efeitos devidos ao componente aleatório poligênico e ao componente residual, sob a estrutura de um modelo linear misto. Também, considerando que o efeito individual das variáveis preditoras é esperado ser pequeno, é sugerido um método para encontrar subconjuntos ordenados destas variáveis e estudar o seu efeito simultâneo sobre a variável resposta em estudo. Neste contexto, utiliza-se a teoria associada ao Gráfico da Variável Adicionada em modelos mistos. As propostas são validadas por meio de um estudo de simulação, o qual é baseado em estruturas de famílias envolvidas no Projeto ``Corações de Baependi\" (InCor/USP), cujo objetivo é identificar genes associados a fatores de risco cardiovascular na população brasileira. Para a implementação dos procedimentos, usa-se o programa R e na geração das variáveis preditoras genéticas adota-se o aplicativo SimPed.Recently, one of the most important problems in genetics is the identification of genes associated with complex diseases. A useful design for this proposal corresponds to collect data from extended families and molecular markers platforms SNPs (Single Nucleotide polymorphism). These platforms represent points of reference strategically placed along the genome of the individuals and are high dimensional. Analysis of these data brings analytical challenges as the problem of multiple testing and selection of predictive variables. In this thesis, we propose a criterion for discriminating predictors of genetic effects due to random polygenic component and the residual component, under the framework of a linear mixed model. Also, considering that the individual effects of predictor variables is expected to be small, it is suggested a method for finding ordered subsets of these variables and study their simultaneous effect on the response variable under study. In this context, is used the theory of the added variable plot under a mixed model framework. The proposals are validated through a simulation study, which is based on structures of families involved in the Project `` Baependi Heart Study (FAPESP Process 2007/58150-7), whose objective is to identify genes associated with cardiovascular risk factors in the Brazilian population. This proposal is implemented by using the R statistical environment and for the simulation of genetic predictors is adopted the SimPed application.
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Bahous, Victor. « The predictive power of internet technology in studying the effect of socio-economic variables on stock trade in emerging markets : case of Lebanon ». Thesis, University of Newcastle upon Tyne, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.399304.
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Castellanos, Meeks Carmen. « Ethnic Markets and the Empowerment of Immigrant Women in America : A Case Study of The Redland Harvest Market Village in South Dade, Florida ». Scholarly Repository, 2010. http://scholarlyrepository.miami.edu/oa_dissertations/414.
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Among the ever-growing studies on globalization and economic development, research studies focused on specific women's issues are few and far between. An increasing concentration of immigrant women in the ethnic markets across the United States has raised interest into the motivation and rationality behind these women in choosing this entrepreneurial niche as a main venue to enter the labor market in the North American economy. The implications of this phenomenon, both for the women involved and for the local economy, need to be ascertained and analyzed. This dissertation is a case study that uses the ethnographic method and several ethnographic techniques, such as archival research, focus groups, participant observation, and in-depth interviews, as means of exploring this research problem. The main goal of this study is to investigate the socio-economic relationship between immigrant women from Latin America and the Caribbean and The Redland Harvest Market Village in South Dade County, Florida. It seeks to understand why these immigrant women choose this ethnic market as a venue to enter the local labor market. This study examines the impact upon these women's livelihoods caused by their participation in the ethnic market as well as the ethnic market itself as a modifier of both immigrant women's relations of class, ethnicity and gender; and of the local economy framed within the Cuban economic enclave. This case study is guided by the following research questions. Do immigrant women improve their socio-economic status via incorporation into the ethnic market? Do immigrant women increase their sense of "empowerment" and "well-being" via incorporation into the ethnic market? Employing primary data, including 36 in-depth interviews of immigrant women working in The Redland Harvest Market Village in South Dade County, Florida, this case study identifies a variety of socio-economic elements that allowed for the separation of the findings into two conclusion sets: analytical and theoretical. Within the analytical conclusions, this case study points out several socio-economic variables. Immigrant women's livelihood is identified as the unit of analysis and its components are the main independent variables. Income is identified as the main dependent variable to modify the independent variables. At The Redland Harvest Market Village, immigrant women participate under certain conditions that limit their production value. Only Cash transactions and the low market value of the commodities offered in this ethnic market, yield a very limited income that constrains these women to a marginal and alternative subdivision of the informal sector within the local economy. However, this participation allows them to acquire some retailing skills useful in future entrepreneur ventures. In their private sphere, these women experience a perceivable gain in decision-making power within their family structure, despite obtaining limited financial independence. Within the theoretical conclusions, this study reveals similar levels of variation consistent with previous studies of female immigrants groups in the U.S. These women's socio-economic livelihood categories of ethnicity, class, educational level, labor skills and family structure hold patterns of similitude with women involved in zones of mass production in Southeast Asia and those working in the Maquiladora model of mass production on the U.S. Mexican border. The benefits obtained by these women from their participation in The Redland Harvest Market Village can be measured in terms of their gains in the degree of financial independence, decision-making, spatial mobility, and voice. The process of empowerment is completed through the creation of agency in these women livelihoods; an inventory of their capabilities or potentialities to live their life; and the actual funtionings or achievements of their capabilities. The sense of well-being and empowerment achieved through the introduction of a socio-economic modifier, such as earned income, is noticeable in the change in these women's disposition toward their role as individuals, wives, and mothers living within the community.
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佘泰基 et Tai-ki Share. « A study of office location in Hong Kong : an analysis of the relationship between selected location variables andabsorption of office space in localized office markets ». Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B31256739.
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Boateng, David. « Evaluation of the benefits of investment diversification to emerging financial markets with regression-based tests of mean-variance spanning : UK investors' perspective ». Thesis, University of Southampton, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.415241.
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Rovadoscki, Gregorí Alberto. « Associação genômica e parâmetros genéticos para características de perfil de ácidos graxos e qualidade de carne em ovinos da raça Santa Inês ». Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/11/11139/tde-26072017-104822/.
Texte intégralRésumé :
No cenário brasileiro, a ovinocultura representa uma importante atividade econômica e social, entretanto, a atividade não se encontra bem estruturada, e o setor de compra e venda de carne é o mais afetado. Existe uma baixa oferta do produto no Brasil, existindo a necessidade de importação do produto para atender o mercado interno. Aliado a isso, o mercado nacional oferece animais de idade avançada, com péssimas características de carcaça, acarretando no surgimento de tabus alimentares, devido à baixa qualidade da carne ovina ofertada pelos produtores brasileiros. Contudo, nos últimos anos houve uma crescente preocupação pelo consumo de alimentos que sejam considerados benéficos a saúde humana. Diante desta condição, os consumidores de carne vermelha estão mais preocupados, exigentes e conscientes, sobretudo quanto a composição de ácidos graxos da carne. Apesar da importância das características de qualidade de carne e perfil de ácidos graxos, são escassos os trabalhos na literatura que envolvam as estimativas de parâmetros genéticos, principalmente em se tratando de ovinos. Estudos envolvendo informações genômicas nos últimos anos tem sido uma importante ferramenta para investigar a arquitetura genética de características complexas por meio da identificação de variantes associadas a genes ou elementos reguladores de grande efeito sobre variância fenotípica das características de interesse. Diante do exposto, o objetivo deste estudo foi estimar os parâmetros genéticos (herdabilidades e correlações genéticas), e identificar regiões genômicas e genes candidatos para as características de perfil de ácidos graxos e de qualidade de carne em ovinos da raça Santa Inês sob metodologia multicaracterística. Foram utilizadas informações genotípicas e fenotípicas de 396 indivíduos machos da raça de ovinos Santa Inês, criados sob confinamento. Para o estudo de associação genômica ampla (GWAS) e estimativas dos parâmetros genéticos foi utilizado o método GBLUP sob abordagem multicaracterística. A análise de associação genômica identificou 38 diferentes regiões genômicas (as quais explicaram > 0,30% da variância genética) e 28 diferentes genes candidatos relacionados às características de qualidade de carne e perfil de ácidos graxos em ovinos Santa Inês. Este estudo revelou a existência de variação genética importante em todas as características estudadas, com herdabilidades variando entre 0,26 e 0,45. Portanto, as características de perfil de ácidos graxos e qualidade de carne podem ser melhoradas, manipuladas ou modificadas por meio da seleção baseada no mérito genético dos indivíduos. No geral, as correlações genéticas entre as características avaliadas foram favoráveis, indicativo que pode haver seleção de indivíduos com intuito de melhorar múltiplas características simultaneamente. Desta forma, os resultados encontrados contribuem para um melhor entendimento do controle genético de características de qualidade da carne e podem ser aplicados em programas de seleção genética de animais com o objetivo de deixar a carne com o perfil de ácidos graxos mais saudável, e ao mesmo tempo, melhorando atributos de qualidade da carne em ovinos da raça Santa Inês.In Brazil, sheep farming represents an important economic and social activity, however, it is not well structured, and the commercialization of meat products is the most affected sector. In addition, there is a low offer of the sheep meat in Brazil, and there is a need to import the product to supply the national market. Allied to this, the national market offers animals of old age, with low carcass traits, leading to a rejection of this kind of meat by the consumers, mostly because of the low quality of sheep meat produced in Brazil. Nevertheless, recently the concern about nutritional aspects of foods is growing, increasing the demand for foods that are considered beneficial to human health. In this sense, consumers of red meat are more worried and conscious, especially with the fatty acid composition of meat. Despite of the importance of meat quality traits and fatty acid profile, there are few studies in the literature that involve the estimation of genetic parameters in sheep. Studies involving genomic information have been an important tool for investigating the genetic architecture of complex traits, mainly through the identification of genetic variants associated with genes or regulatory elements of great effect on the phenotypic variance of traits of interest. Thus, the objective in this study was to estimate the genetic parameters (heritabilities and genetic correlations), and to identify genomic regions and candidate genes for fatty acids profile and meat quality traits in Santa Inês sheep under a multitrait methodology. Genotypic and phenotypic information of 396 male Santa Inês sheep raised under confinement were used. For the genomewide association studies and estimates of the genetic parameters, the GBLUP method was used under a multitrait approach. Genome-wide association analysis identified 38 different genomic regions (which explained > 0.30% of the additive genetic variance) and 28 different candidate genes related to meat quality and fatty acid profile traits in Santa Inês sheep. This study revealed the existence of significant genetic variation in all traits studied, with heritabilities varying between 0.26 and 0.45. Therefore, the fatty acid profile and meat quality traits can be improved, manipulated or modified through selection based on the genetic merit of individuals. In general, the genetic correlations among the traits evaluated were favorable, indicating that genetic progress in several traits can be achieved through the selection of individuals for multiple traits simultaneously. The results obtained in this study can contribute to a better understanding of the genetic control under the evaluated traits, and those can be applied in genetic selection programs in order to improve the fatty acids profile, making the meat healthier, and at the same time to improve the meat quality attributes in Santa Inês sheep.
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Share, Tai-ki. « A study of office location in Hong Kong : an analysis of the relationship between selected location variables and absorption of office space in localized office markets / ». Hong Kong : University of Hong Kong, 1999. http://sunzi.lib.hku.hk/hkuto/record.jsp?B25940788.
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