PORTFOLIO OPTIMIZATION IN ELECTRICITY TRADING WITH LIMITED LIQUIDITY

In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An application of this model shows that the optimal hedging strategy for generation portfolios is strongly dependent on the size of the portfolio considered as well as on the variance-covariancematrix used and the liquidity function assumed.optimization; electricity, liquidity; electricity trading; mean-variance-model

Modelling the impact of different permit allocation rules on optimal power plant portfolios

The electricity generation mix of many European countries is strongly dominated by fossil fuelled power plants. Given that CO2-emissions are responsible for a major part of the anthropogenic greenhouse effect, emission trading has been introduced in the EU in 2005. Under the European emissions trading scheme (ETS), the emission quantities of major industry branches, most notably the electricity industry are capped and a system of tradable CO2 emission permits is established. Although the effects of emission trading on emissions, industry structure and investment had been analysed on beforehand by a number of models, the impact of rules for primary permit allocation has so far hardly been focused on. This was mostly seen as a distributional issue not affecting the efficiency of the market mechanism itself. However a closer look at the permit allocation rules shows that the number of permits allocated to new plants often depends on their fuel and technology (e. g. in Germany). This may consequently have distorting effects on market prices and investment decisions, which so far have been hardly investigated quantitatively. In order to analyse such effects, a mixed complimentary programming (MCP) model is developed, which allows to model investment incentives in the electricity sector. It takes into account major power generation technologies, emission constraints, endogenous investment allocation rules and price elasticity of demand. In particular also the time-varying structure of electricity demand is accounted for and the corresponding distinction of base- and peak-load technologies. The model is applied to the EU-27 focusing on the year 2015, i.e. on the third trading period, where so far no decision has been made on the allocation rules to be applied. From this analysis we derive the average market prices for emission allowances and electricity and the optimal power plant capacities under different allocation schemes. In a pure environmental perspective the auctioning of permits is expected to be a first-best solution, but it could endanger the competitiveness and the security of supply of the European Union. The reason for the latter is that the generation mix becomes biased in favour of gas fuelled plants, which are associated with the least specific CO2-emissions, but have to be imported to a large extent from politically unreliable regions like Russia or the Middle East. The results of our analysis however show that allocating emissions for free, based on expected full-load hours and fuel specifics, will lead to higher CO2-prices whilst the effect of securing supply is only limited. Also electricity prices will only be slightly lower, so that the contribution of free allocation schemes to economic competitiveness is also limited.climate protection, security of supply, emission trading, allocation of emission permits, electricity markets, power plant portfolio

GAS STORAGE VALUATION UNDER LIMITED MARKET LIQUIDITY: AN APPLICATION IN GERMANY

Natural gas storages may be valuated by applying real options theory. However it is crucial, not to ignore that most evolving gas spot markets, like the German spot market, lack of liquidity. In this context, considering storage operators as price takers does not account for interdependencies of storage operations and market prices. This paper offers a novel approach to storage valuation taking into account the effect of management decisions on market prices. The within this paper proposed methodology determines the optimal production schedule and value by determining the stochastic differential equation describing the storage value and then applying a finite difference scheme. We find that limited liquidity lowers the storage value and reduces withdrawal and injection amounts. Further, we observe decreasing reservation prices for injection and withdrawing for growing illiquidity resulting in a left shift of injection and withdrawing threshold prices.natural gas valuation, limited liquidity

Model-Based Systems Engineering in Mobile Applications

An efficient system development needs reuse, traceability and understanding. Today, specifications are usually written in text documents. Reuse means a copy and paste of suitable specifications. Traceability is the textual note that references to affected requirements. Achieving a full context understanding requires reading hundreds of pages in a variety of documents. Changing one textual requirement in complex systems can be very time-consuming. Model-based systems engineering (MBSE) addresses these issues. There, an integrated system model is used for the design, analysis, communication and system specification and shall contribute to handling the system complexity. This paper shows aspects of this approach in the development of a wheel loader\'s attachment system. Customer requirements will be used to derive a specification model. Based on this, the author introduces the system and software architecture. The connection between requirement and architecture leads to a traceable system design and produces the huge advantage of MBSE

Ascertaining the Values of σx\sigma_x, σy\sigma_y, and σz\sigma_z of a Polarization Qubit

In the 1987 spin retrodiction puzzle of Vaidman, Aharonov, and Albert one is challenged to ascertain the values of $\sigma_x$, $\sigma_y$, and $\sigma_z$ of a spin-1/2 particle by utilizing entanglement. We report the experimental realization of a quantum-optical version in which the outcome of an intermediate polarization projection is inferred by exploiting single-photon two-qubit quantum gates. The experimental success probability is consistently above the 90.2% threshold of the optimal one-qubit strategy, with an average success probability of 95.6%.Comment: 4 pages, 2 figures; final version with new title and new abstract; to appear in Physical Review Letter

Entrepreneurial Elites: Industry Structure Investment, and Welfare Effects of Incubating New Businesses

complementary abilities, entrepreneurial partnership, spin-off, incubator organization, random vs. rational matching

Improving computer aided tolerancing by using feature technology

The application of feature technology in the field of Computer Aided Tolerancing (CAT) enhances simultaneous engineering during the product development process. The combination of micro-geometrical, topological and other product data within one element enables further integration and processing of tolerance information in different phases of the product life cycle. The designer\u27s functional view can be combined with Design for X information. For example, information about necessary and possible manufacturing processes for a specified tolerance might be attached to the geometry of a workpiece. By using this approach a first choice of manufacturing machines or information about necessary and possible inspection-methods could be achieved

Neutrophil Extracellular Traps in Atherosclerosis and Atherothrombosis

Neutrophil extracellular traps expelled from suicidal neutrophils comprise a complex structure of nuclear chromatin and proteins of nuclear, granular, and cytosolic origin. These net-like structures have also been detected in atherosclerotic lesions and arterial thrombi in humans and mice. Functionally, neutrophil extracellular traps have been shown to induce activation of endothelial cells, antigen-presenting cells, and platelets, resulting in a proinflammatory immune response. Overall, this suggests that they are not only present in plaques and thrombi but also they may play a causative role in triggering atherosclerotic plaque formation and arterial thrombosis. This review will focus on current findings of the involvement of neutrophil extracellular traps in atherogenesis and atherothrombosis