Computing Tails of Compound Distributions Using Direct Numerical Integration

An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing high quantiles and conditional Value at Risk (CVaR) of compound distributions using characteristic functions. A key innovation of the numerical scheme is an effective tail integration approximation that reduces the truncation errors significantly with little extra effort. High precision results of the 0.999 quantile and CVaR were obtained for compound losses with heavy tails and a very wide range of loss frequencies using the DNI, Fast Fourier Transform (FFT) and Monte Carlo (MC) methods. These results, particularly relevant to operational risk modelling, can serve as benchmarks for comparing different numerical methods. We found that the adaptive DNI can achieve high accuracy with relatively coarse grids. It is much faster than MC and competitive with FFT in computing high quantiles and CVaR of compound distributions in the case of moderate to high frequencies and heavy tails

Minimum Capital Requirement Calculations for UK Futures

Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and absolute returns are incorporated into the measurement process so as to rely on the quadratic variation of a diffusion process and be robust in the presence of fat tails. The realized volatility estimates incorporate the long memory property. The dynamics of the volatility variable are adequately captured. Resulting rescaled returns are applied to minimum capital requirement calculations.

Energy and angular momentum sharing in dissipative collisions

Primary and secondary masses of heavy reaction products have been deduced from kinematics and E-ToF measurements, respectively, for the direct and reverse collisions of 93Nb and 116Sn at 25 AMeV. Light charged particles have also been measured in coincidence with the heavy fragments. Direct experimental evidence of the correlation of energy-sharing with net mass transfer has been found using the information from both the heavy fragments and the light charged particles. The ratio of Hydrogen and Helium multiplicities points to a further correlation of angular momentum sharing with net mass transfer.Comment: 21 pages, 20 figures. Submitted to European Physics Journal

A Monte Carlo simulation of the Sudbury Neutrino Observatory proportional counters

The third phase of the Sudbury Neutrino Observatory (SNO) experiment added an array of 3He proportional counters to the detector. The purpose of this Neutral Current Detection (NCD) array was to observe neutrons resulting from neutral-current solar neutrino-deuteron interactions. We have developed a detailed simulation of the current pulses from the NCD array proportional counters, from the primary neutron capture on 3He through the NCD array signal-processing electronics. This NCD array Monte Carlo simulation was used to model the alpha-decay background in SNO's third-phase 8B solar-neutrino measurement.Comment: 38 pages; submitted to the New Journal of Physic

On the calculation of time alignment errors in data management platforms for distribution grid data

The operation and planning of distribution grids require the joint processing of measurements from different grid locations. Since measurement devices in low- and medium-voltage grids lack precise clock synchronization, it is important for data management platforms of distribution system operators to be able to account for the impact of nonideal clocks on measurement data. This paper formally introduces a metric termed Additive Alignment Error to capture the impact of misaligned averaging intervals of electrical measurements. A trace-driven approach for retrieval of this metric would be computationally costly for measurement devices, and therefore, it requires an online estimation procedure in the data collection platform. To overcome the need of transmission of high-resolution measurement data, this paper proposes and assesses an extension of a Markov-modulated process to model electrical traces, from which a closed-form matrix analytic formula for the Additive Alignment Error is derived. A trace-driven assessment confirms the accuracy of the model-based approach. In addition, the paper describes practical settings where the model can be utilized in data management platforms with significant reductions in computational demands on measurement devices

Power quality and electromagnetic compatibility: special report, session 2

The scope of Session 2 (S2) has been defined as follows by the Session Advisory Group and the Technical Committee: Power Quality (PQ), with the more general concept of electromagnetic compatibility (EMC) and with some related safety problems in electricity distribution systems. Special focus is put on voltage continuity (supply reliability, problem of outages) and voltage quality (voltage level, flicker, unbalance, harmonics). This session will also look at electromagnetic compatibility (mains frequency to 150 kHz), electromagnetic interferences and electric and magnetic fields issues. Also addressed in this session are electrical safety and immunity concerns (lightning issues, step, touch and transferred voltages). The aim of this special report is to present a synthesis of the present concerns in PQ&EMC, based on all selected papers of session 2 and related papers from other sessions, (152 papers in total). The report is divided in the following 4 blocks: Block 1: Electric and Magnetic Fields, EMC, Earthing systems Block 2: Harmonics Block 3: Voltage Variation Block 4: Power Quality Monitoring Two Round Tables will be organised: - Power quality and EMC in the Future Grid (CIGRE/CIRED WG C4.24, RT 13) - Reliability Benchmarking - why we should do it? What should be done in future? (RT 15

pandapower - an Open Source Python Tool for Convenient Modeling, Analysis and Optimization of Electric Power Systems

pandapower is a Python based, BSD-licensed power system analysis tool aimed at automation of static and quasi-static analysis and optimization of balanced power systems. It provides power flow, optimal power flow, state estimation, topological graph searches and short circuit calculations according to IEC 60909. pandapower includes a Newton-Raphson power flow solver formerly based on PYPOWER, which has been accelerated with just-in-time compilation. Additional enhancements to the solver include the capability to model constant current loads, grids with multiple reference nodes and a connectivity check. The pandapower network model is based on electric elements, such as lines, two and three-winding transformers or ideal switches. All elements can be defined with nameplate parameters and are internally processed with equivalent circuit models, which have been validated against industry standard software tools. The tabular data structure used to define networks is based on the Python library pandas, which allows comfortable handling of input and output parameters. The implementation in Python makes pandapower easy to use and allows comfortable extension with third-party libraries. pandapower has been successfully applied in several grid studies as well as for educational purposes. A comprehensive, publicly available case-study demonstrates a possible application of pandapower in an automated time series calculation