Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches

We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016). We perform momentum strategies based on these two approaches in a diversified portfolio consisting of 55 global liquid futures contracts, and further compare these results to the time series momentum and buy-and-hold strategies. We find that the momentum strategy based on the constant volatility scaling method is the most efficient approach with an annual return of 15.3%

Momentum and the Cross-section of Stock Volatility

Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called “momentum crashes”. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect. We propose a new approach, generalised risk-adjusted momentum (GRJMOM), to mitigate the negative impact of high momentum-specific risks. GRJMOM is proven to be more profitable and less risky than existing momentum ranking approaches across multiple asset classes, including the UK stock, commodity, global equity index, and fixed income markets

Agent-Based Decentralized Control Method for Islanded Microgrids

In this paper, an agent-based decentralized control model for islanded microgrids (MGs) is proposed, which consists of a two-layer control structure. The bottom layer is the electrical distribution MG, while the top layer is the communication network composed of agents. An agent is regarded as a local control processor together with communication devices, so agents can collect present states of distributed generators (DGs) and loads when communication lines are added between two layers. Moreover, each agent can also exchange information with its neighboring agents of the network. After information is processed according to control laws, agents adjust the production of DGs to which they connect. Further, a systematic method is presented, which can be used to derive a set of control laws for agents from any given communication network, after the rules to establish the communication network are given. Furthermore, it has been seen that the output power supplied by DGs satisfies the load demand in the MG when agents use the proposed control laws. Finally, the simulation results show that frequency and voltage fluctuations are small and meet the requirements.Qiang L, Feixiong Chen, Minyou Chen, Josep M. Guerrero, Derek Abbot

China’s choice on the participation in establishing marine protected areas in areas beyond national jurisdiction

Currently, the issue of marine biodiversity in areas beyond national jurisdiction (ABNJ) has made a lot of significant progress in both international legislative process and national practices. As a State Party to UNCLOS, China has actively participated in the negotiations of the BBNJ agreement, in which the marine protected areas (MPAs) as one of the area-based management tools have been an issue of great concern. It is considered to be a feasible and direct conservation tool. In order to evaluate the possibility of China’s participation in the establishment of MPAs in the future, this paper analyzes the drivers for and limits on China’s involvement in the construction of MPAs in the context of the current Chinese situation. And it also puts forward possible countermeasures on how to deal with the challenges brought by the MPAs in ABNJ to China. It is concluded that there is a great possibility that China will eventually choose to participate in the establishment of MPAs in ABNJ as China advocates the concept of a maritime community with a shared future

Multiagent-Based Reactive Power Sharing and Control Model for Islanded Microgrids

In islanded microgrids (MGs), the reactive power cannot be shared proportionally among distributed generators (DGs) with conventional droop control, due to the mismatch in feeder impedances. For the purpose of proportional reactive power sharing, a multiagent system (MAS)-based distributed control model for droop-controlled MGs is proposed. The proposed control model consists of two layers, where the bottom layer is the electrical distribution MG, while the top layer is a communication network composed of agents. Moreover, agents on the communication network exchange the information acquired from DGs with neighbors, and calculate set points for DGs they connect to, according to the control laws. Furthermore, a theorem is demonstrated, which yields a systematic method to derive the control laws from a given communication network. Finally, three cases are carried out to test the performance of the control model, in which the uncertainty of intermittent DGs, variations in load demands, as well as impacts of time delays are considered. The simulation results demonstrate the effectiveness of the control model in proportional reactive power sharing, and the plug and play capability of the control model is also verified.Feixiong Chen, Minyou Chen, Qiang Li, Kaikai Meng, Josep M. Guerrero, Fellow and Derek Abbot

Networked and Distributed Control Method with Optimal Power Dispatch for Islanded Microgrids

In this paper, a two-layer network and distributed control method is proposed, where there is a top-layer communication network over a bottom-layer microgrid. The communication network consists of two subgraphs, in which the first is composed of all agents, while the second is only composed of controllable agents. The distributed control laws derived from the first subgraph guarantee the supply-demand balance, while further control laws from the second subgraph reassign the outputs of controllable distributed generators, which ensure active and reactive power are dispatched optimally. However, for reducing the number of edges in the second subgraph, generally a simpler graph instead of a fully connected graph is adopted. In this case, a near-optimal dispatch of active and reactive power can be obtained gradually, only if controllable agents on the second subgraph calculate set points iteratively according to our proposition. Finally, the method is evaluated over seven cases via simulation. The results show that the system performs as desired, even if environmental conditions and load demand fluctuate significantly. In summary, the method can rapidly respond to fluctuations resulting in optimal power sharing

Cost-Based Droop Schemes for Economic Dispatch in Islanded Microgrids

In this paper, cost-based droop schemes are proposed, to minimize the total active power generation cost in an islanded microgrid (MG), while the simplicity and decentralized nature of the droop control are retained. In cost-based droop schemes, the incremental costs of distributed generators (DGs) are embedded into the droop schemes, where the incremental cost is a derivative of the DG cost function with respect to output power. In the steady state, DGs share a single common frequency, and cost-based droop schemes equate incremental costs of DGs, thus minimizing the total active power generation cost, in terms of the equal incremental cost principle. Finally, simulation results in an islanded MG with high a penetration of intermittent renewable energy sources are presented, to demonstrate the effectiveness, as well as plug and play capability of the cost-based droop schemes.Feixiong Chen, Minyou Chen, Qiang Li, Kaikai Meng, Yongwei Zheng, Josep M. Guerrero, Derek Abbot

A temperature gradient based Condition Estimation Method for IGBT Module

The paper presents a temperature gradient based method for device state evaluation, taking the insulated Gated Bipolar Transistor (IGBT) modules as an example investigation. Firstly, theoretical basis of this method is presented and the results from example calculation on temperature gradient indicate that the increased thermal resistance and power loss of IGBT modules would increase the temperature gradient. Then an electrical-thermal- mechanical finite element method (FEM) model of IGBT modules, which takes the material temperature-dependent characteristic into account, is utilized to estimate the temperature gradient distribution for both healthy and fatigue conditions. It is found that the temperature gradient varies with power loss. Furthermore, both the experimental and simulation investigation on the temperature gradient for different conditions were conducted, and it is concluded that the temperature gradient can not only track the change of power loss, but have a better sensitivity compared with temperature distribution. In addition, the temperature gradient can reflect the defects location and distinguish failures degree. In the end the influence on the temperature gradient distribution caused by solder fatigue, void and delamination are discussed