Some New Approaches to Forecasting the Price of Electricity: A Study of Californian Market

In this paper we consider the forecasting performance of a range of semi- and non- parametric methods applied to high frequency electricity price data. Electricity price time-series data tend to be highly seasonal, mean reverting with price jumps/spikes and time- and price-dependent volatility. The typical approach in this area has been to use a range of tools that have proven popular in the financial econometrics literature, where volatility clustering is common. However, electricity time series tend to exhibit higher volatility on a daily basis, but within a mean reverting framework, albeit with occasional large ’spikes’. In this paper we compare the existing forecasting performance of some popular parametric methods, notably GARCH AR-MAX, with approaches that are new to this area of applied econometrics, in particular, Artificial Neural Networks (ANN); Linear Regression Trees, Local Regressions and Generalised Additive Models. Section 2 presents the properties and definitions of the models to be compared and Section 3 the characteristics of the data used which in this case are spot electricity prices from the Californian market 07/1999-12/2000. This period includes the ’crisis’ months of May-August 2000 where extreme volatility was observed. Section 4 presents the results and ranking of methods on the basis of forecasting performance. Section 5 concludes.Electricty Time Series; Forecasting Performance; Semi- and Non- Parametric Methods

Política de defesa do Brasil

Comunicação proferida pelo Tenente-Brigadeiro-do-Ar Marco Gonçalves Mendes, no IDN no dia 23 de Março de 2010, no âmbito do ciclo de conferências intitulado Visões Globais para a Defesa

Long memory or shifting means? A new approach and application to realised volatility

It is now recognised that long memory and structural change can be confused because the statistical properties of times series of lengths typical of financial and econometric series are similar for both models. We propose a new set of methods aimed at distinguishing between long memory and structural change. The approach, which utilises the computational efficient methods based upon Atheoretical Regression Trees (ART), establishes through simulation the bivariate distribution of the fractional integration parameter, d, with regime length for simulated fractionally integrated series. This bivariate distribution is then compared with the data for the time series. We also combine ART with the established goodness of fit test for long memory series due to Beran. We apply these methods to the realized volatility series of 16 stocks in the Dow Jones Industrial Average. We show that in these series the value of the fractional integration parameter is not constant with time. The mathematical consequence of this is that the definition of H self-similarity is violated. We present evidence that these series have structural breaks.Long-range dependence; Strong dependence; Global dependence; Hurst phenomena

Deformations of legendrian curves

Tese de doutoramento, Matemática (Geometria e Topologia), Universidade de Lisboa, Faculdade de Ciências, 2018In chapters 1 and 2 we study deformations of Legendrian curves in P*C². In chapter 1 we construct versal and semiuniversal objects in the category of deformations of the parametrization of a germ of a Legendrian curve as well as in the subcategory of equimultiple deformations. We show that these objects are given by the conormal or fake conormal of an hypersurface in C² x Cʳ. In chapter 2 we prove the existence of equisingular versal and semiuniversal deformations of a Legendrian curve, on this instance making use of deformations of the equation. By equisingular we mean that the plane projection of the fibres have fixed topological type. We prove in particular that the base space of such an equisingular versal deformation is smooth and construct it explicitly when the special fibre has semiquasihomogeneous or Newton non-degenerate plane projection. Chapter 3 concerns the construction of a moduli space for Legendrian curves singularities which are contactomorphic-equivalent and equisingular through a contact analogue of the Kodaira-Spencer map for curve singularities. We focus on the specific case of Legendrian curves which are the conormal of a plane curve with one Puiseux pair. To do so, it is fundamental to understand how deformations of such singularities behave, which was done in the previous chapter. The equisingular semiuniversal microlocal deformations constructed in chapter 2 already contain in their base space all the relevant fibres in the construction of such a moduli space. This is so because all deformations are isomorphic through a contact transformation to the pull-back of a semiuniversal deformation

O vício de não incorporação da cláusula contratual nos contratos de adesão

Dissertação de mestrado em Direito dos Contratos e da EmpresaOs deveres de informação assumem-se como um fator essencial de proteção, no âmbito dos contratos de adesão, mas as consequências da sua violação não se mostram claras, dada a ambiguidade da expressão utilizada no artigo 8º do D.L. nº 446/85, de 25 de Outubro. Procurase, neste estudo, encontrar a consequência para a referida violação, tendo em conta os objetivos da lei. Procede-se à análise do controlo da incorporação das cláusulas, controlo, este, onde se incluem os deveres de informação. Estudam-se os princípios subjacentes ao mesmo, apurandose o seu objetivo e verificando-se como devem ser aplicados os deveres de informação. Desta analise resulta que o controlo da incorporação deve permanecer separado do controlo do conteúdo, que os deveres de informação estão enquadrados pelo princípio da transparência, que, por sua vez, é expressão do princípio da boa fé; e que o objetivo destes deveres é permitir que a parte que se limita a aderir, possa, por um lado, ponderar, de modo devidamente informado, se deve concluir o contrato ou não e, por outro lado, esteja devidamente preparada para a execução do contrato. Com isto em mente faz-se o estudo das diferentes possibilidades, apreciando-se as vantagens e desvantagens das mesmas e a sua adequação ao regime legal. Da comparação das diferentes possibilidades é possível concluir qual o regime a que está sujeita a sanção da violação dos deveres de informação, em termos de quem pode invocar a sanção, o respetivo prazo, a possibilidade de sanação e a possibilidade de conhecimento oficioso. Daqui também resulta a resposta ao problema que se pôs inicialmente, ou seja, qual é o vício que resulta da violação dos deveres de informação. Não se conclui sem antes de referir qual o efeito, no contrato, da não incorporação da cláusula afetada.The information requirements are an essential factor of protection, regarding standard contracts and unfair contract terms, but the consequences of their violation are not clear, considering the ambiguity of the expression used in article 8º of the D.L. nº 446/85, of October 25th. Here we try to ascertain the consequence of that violation, bearing in mind the goals of the law. We analyze the incorporation control of the contract terms, in which are included the information requirements. We study its underlying principles, finding its goal and describing how the information requirements should be observed. From this analysis we find that the incorporation control should remain separated from the content control, that the information requirements are under the principle of transparency, which, itself, is an expression of the principle of good faith; and that the goal of these requirements is to allow the party, that is restricted to the option of accepting or not the contract, on one hand, to consider, with enough information, should he accept the contract or not, and, on the other hand, to be prepared for the execution of the contract. Keeping this in mind, we do the study of the different possibilities, considering their advantages and disadvantages, and their suitability to the law. From the comparison of the different possibilities it is possible to ascertain which regime regulates the sanction resulting from the non-compliance of information requirements; defining who can argue the non-compliance, its deadline, possibility of ratification and the possibility of being assessed on the court´s own motion. From this it is possible to answer our initial problem, that is, which sanction is the consequence of non-compliance regarding the information requirements. Finally, we study the consequences, on the contract, of the non-incorporation of the contractual term