Analysis of futures and spot electricity markets under risk aversion.

We analyze the procurement problem in the electricity supply chain, focusing on the interaction between futures and spot prices. The supply chain network analyzed in our study includes risk-averse generators and retailers, both with the ability to use conditional value at risk (CV@R) in their decision processes. In this supply chain, the futures price is computed to clear the futures market, without imposing the constraint that the expected spot price equals the futures price. As major methodological contributions: we compute the Nash equilibrium of the problem using CV@R and considering conjectural variations; we derive analytical relationships between the futures and the spot market outcomes and study the implications of demand and marginal cost uncertainty, as well as the level of the players' risk aversion, on market equilibrium; we introduce the concept of risk-adjusted expectation to derive the futures market price as a function of the players' expected losses or profits in the spot market; and we use consistent spot and wholesale price derivatives to calculate the players' reaction functions. Finally, we illustrate our model with several numerical examples in the context of the Spanish electricity market, studying how the shape of the forward curve and the relationship between spot and futures prices depend on seasonality, risk aversion, generators' market power, and hydrological resources. Surprisingly we observed that risk aversion increases the profit and reduces firms' risk, and that the consumer utility is higher in the scenarios in which retailers behave a la Cournot in the wholesale market

Random-energy model in random fields

The random-energy model is studied in the presence of random fields. The problem is solved exactly both in the microcanonical ensemble, without recourse to the replica method, and in the canonical ensemble using the replica formalism. The phase diagrams for bimodal and Gaussian random fields are investigated in detail. In contrast to the Gaussian case, the bimodal random field may lead to a tricritical point and a first-order transition. An interesting feature of the phase diagram is the possibility of a first-order transition from paramagnetic to mixed phase.Comment: 18 pages, 5 figures (included

Risk management in solar-based power plants with storage: a comparative study

Investment in solar generation is essential to achieve EU climate neutrality by 2050. Using stochastic programming, we study the management of solar power plants considering trading in the spot and future markets, weather derivatives based on solar radiation, storage, and risk management. We provide a comparative study of two technologies: a concentrated solar power plant with thermal storage and a photovoltaic power plant with electrical batteries. The significant managerial contributions can be classified into four levels. First, regarding trading and generation decisions, we proved that: a) plants sell energy in the spot market during the night and store energy in the morning; b) storage happens at the same time as electricity is purchased in the spot market; c) in the Summer the plants sell more in the futures market; d) storage, in both types of technology, increases trading in futures and spot markets and creates value for generators. Second, regarding the use of options on solar radiation, we show that a) the value of put and call options depends on the expected solar radiation; b) the radiation option prices are correlated with generation and storage levels and with the anticipated trading in spot and futures markets; c) the optimal strategy is to sell calls and buy put options; d) generators with a storage system sell significantly more call options. Third, regarding risk aversion, we proved that: a) the higher the risk aversion, the more the generator sells in the futures market and the higher the number of purchased put contracts; b) the risk-adjusted profit from options trading is zero. Finally, in comparing both technologies, even though the operation and financial management patterns are similar, the photovoltaic power plant is more profitable, and the batteries create more value

Novo método de análise de estruturas com alvenarias de enchimento

Os sismos ocorridos em L’Aquila (Itália), em 2009, e em Lorca (Espanha), em 2011, são exemplos de sismos que evidenciaram os efeitos das alvenarias não estruturais de enchimento na resposta sísmica dos edifícios de estrutura em betão armado. O Eurocódigo 8 (EC8) também apresenta muitas referências aos efeitos negativos das alvenarias de enchimento nos pilares, referindo a necessidade de incorporar esses efeitos nos modelos quando se pretende explorar a ductilidade da estrutura, principalmente em situações de distribuição irregular desses painéis em planta e em altura. O processo mais usual de incorporar esses efeitos tem sido através da consideração de macromodelos, designadamente modelando o comportamento estrutural das paredes por intermédio de escoras diagonais. Neste trabalho, é apresentado um novo método, denominado por Método dos Elementos de Fibras de Contacto (MEFC), que recorre a micromodelos. São apresentados alguns casos de estudo que ilustram a importância da modelação destes elementos não estruturais, e também permitem demonstrar as potencialidades do novo método de análise de estruturas

Utilização de acelerogramas simulados na análise sísmica de estruturas

As análises sísmicas dinâmicas não lineares de estruturas requerem a definição da acção sísmica na forma de um acelerograma. Estes podem ser obtidos em registos de movimentos sísmicos intensos resultantes de um sismo real, ou podem ser usados acelerogramas sintéticos. A utilização de acelerogramas registados, nas avaliações do comportamento sísmico de edifícios localizados em Portugal, está bastante condicionada pelo facto de existirem poucos acelerogramas obtidos de registos de vibrações sísmicas intensas, provocadas por sismos de magnitude elevada. Para dar resposta a esta condicionante, a alternativa é o recurso a acelerogramas sintéticos, que, de acordo com o Eurocódigo 8 (EC8), podem ser divididos em artificiais e em simulados. Muito embora a geração de acelerogramas artificiais seja mais apelativa para os engenheiros de estruturas, a sua utilização será sempre questionável do ponto de vista da sismologia, dado que conduzem a acelerogramas irrealistas, pois são séries temporais (estacionárias em conteúdo espectral) ajustadas a um espectro de resposta, não traduzindo o real efeito de um evento sísmico. Uma alternativa consiste na utilização de acelerogramas simulados. Neste trabalho, é apresentado um método de simulação estocástica de movimentos sísmicos, que são gerados de forma a reproduzirem, de uma maneira aproximada, a influência da magnitude, do mecanismo focal e do caminho de propagação, visando o seu ajuste às características das fontes sismogenéticas de cada território, e tendo em conta os efeitos da geologia local. A metodologia foi implementada no programa informático SIMULSIS e aplicada na simulação de sismos ocorridos no passado. Em seguida, para ilustrar a capacidade do programa, foram realizadas simulações de sismos com diferentes características, de modo a que a média dos respectivos espectros de resposta se ajustem aos sismos tipo 1 e 2 estabelecidos no Anexo Nacional para o Algarve, no cumprimento dos requisitos estipulados no EC8 para as análises dinâmicas não lineares.info:eu-repo/semantics/publishedVersio

Contract design and supply chain coordination in the electricity industry.

In this article we propose a model of the supply chain in electricity markets with multiple generators and retailers and considering several market structures. We analyze how market design interacts with the different types of contract and market structure to affect the coordination between the different firms and the performance of the supply chain as a whole. We compare the implications on supply chain coordination and on the players’ profitability of two different market structures: a pool based market vs. bilateral contracts, taking into consideration the relationship between futures and spot markets. Furthermore, we analyze the use of contracts for differences and two-part-tariffs as tools for supply chain coordination. We have concluded that there are multiple equilibria in the supply chain contracts and structure and that the two-part tariff is the best contract to reduce double marginalization and increase efficiency in the management of the supply chain

Electromagnetic dual Einstein-Maxwell-scalar models

Electromagnetic duality is discussed in the context of Einstein-Maxwell-scalar (EMS) models including axionic-type couplings. This family of models introduces two non-minimal coupling functions $f(\phi)$ and $g(\phi)$, depending on a real scalar field $\phi$. Interpreting the scalar field as a medium, one naturally defines constitutive relations as in relativistic non-linear electrodynamics. Requiring these constitutive relations to be invariant under the $SO(2)$ electromagnetic duality rotations of Maxwell's theory, defines 1-parameter, closed $\textit{duality orbits}$ in the space of EMS models, connecting different electromagnetic fields in "dual" models with different coupling functions, but leaving both the scalar field and the spacetime geometry invariant. This mapping works as a solution generating technique, extending any given solution of a specific model to a (different) solution for any of the dual models along the whole duality orbit. We illustrate this technique by considering the duality orbits seeded by specific EMS models wherein solitonic and black hole solutions are known. For dilatonic models, specific rotations are equivalent to $S$-duality.Comment: 18 pages, 1 figur

Human Mobility in Large Cities as a Proxy for Crime

We investigate at the subscale of the neighborhoods of a highly populated city the incidence of property crimes in terms of both the resident and the floating population. Our results show that a relevant allometric relation could only be observed between property crimes and floating population. More precisely, the evidence of a superlinear behavior indicates that a disproportional number of property crimes occurs in regions where an increased flow of people takes place in the city. For comparison, we also found that the number of crimes of peace disturbance only correlates well, and in a superlinear fashion too, with the resident population. Our study raises the interesting possibility that the superlinearity observed in previous studies [Bettencourt et al., Proc. Natl. Acad. Sci. USA 104, 7301 (2007) and Melo et al., Sci. Rep. 4, 6239 (2014)] for homicides versus population at the city scale could have its origin in the fact that the floating population, and not the resident one, should be taken as the relevant variable determining the intrinsic microdynamical behavior of the system.Comment: 17 pages, 8 Figure