TESTING FOR WEEKLY SEASONAL UNIT ROOTS IN DAILY ELECTRICITY DEMAND: EVIDENCE FROM DEREGULATED MARKETS

This paper analyses the nature of the weekly seasonal component in daily observations for the electricity demand series from several deregulated markets. We present and use the extension of the seasonal unit roots test of Hylleberg et al (1990) to the weekly seasonality case to formally determine whether the seasonal component of each variable exhibits stochastic non-stationarity. Daily demand series are taken from the Spanish, Argentine and Victoria State (Australia) Electricity Wholesale Markets. We find that only in the case of the Australian electricity demand there is evidence of unit roots, so the usual differentiating procedure employed in conventional time series models or regression approaches could imply a mis-specification. Este trabajo examina la naturaleza del componente estacional semanal presente en las observaciones diarias de la demanda de electricidad de distintos mercados liberalizados. Se presenta y se utiliza la extensión del contraste de raíces unitarias estacionales de Hylleberg et al. (1990) para el caso de estacionalidad semanal en datos de frecuencia diaria, con la finalidad de determinar formalmente si el componente estacional de cada serie muestra o no comportamientos no-estacionarios. Las series de demanda se han obtenido de los mercados mayoristas de electricidad de Argentina, España y del estado de Victoria (Australia). La evidencia muestra que sólo en el caso de Victoria parecen existir raíces unitarias, por lo que el procedimiento habitual de diferenciación en la metodología de series temporales o de regresión implicaría la incorrecta especificación del auténtico proceso subyacente.Demanda eléctrica, contraste HEGY, raíces unitarias estacionales. Electric power, HEGY test, seasonal unit roots.

- EVALUATION OF THE FIXING TRADING SYSTEM IN THE SPANISH MARKET

In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the fundamental purpose of which is to reduce the volatility of stocks and thus improve their liquidity. The main motive of this study is to verify whether the improvements that the advocates of the new trading system have been predicting have actually taken place, as we believe that any innovation that is introduced into the market should be subjected to empirical evaluation. To do so, the effect that this innovation has had on the indicators of liquidity, returns and volatility of the stocks involved is examined, using parametric and nonparametric tests and employing a methodology based on the technique of the event study. We concluded that the evidence observed seems to contradict the very expectations that motivated the imposition of the new negotiating system, since a significant worsening wasobserved in liquidity and returns, whereas, on the other hand, no apparent decrease is observed in volatility. Durante 1998 se implantó en el mercado español el sistema de contratación de valores conprecios únicos en cada periodo de ajuste, más conocido como sistema de negociación fixing.Este sistema representa una fórmula alternativa al sistema tradicional de negociación continua,aplicable a aquellos valores que reúnen una serie de determinadas características. A su vez,constituye una importante innovación cuya finalidad es, fundamentalmente, reducir la volatilidadde los títulos y mejorar su liquidez. La motivación fundamental del presente trabajo consiste encontrastar si se han producido las mejoras que vaticinaban los impulsores del nuevo sistema decontratación, en la creencia de que cualquier innovación llevada a cabo en el mercado debe sersometida a evaluación. Para ello, se estudia el efecto sobre indicadores de liquidez, rendimientoy volatilidad medios de los títulos a los que esta innovación afectó, utilizando pruebasparamétricas y no paramétricas y metodología basada en la técnica del event study. Laconclusión a la que se llega en este estudio es que la evidencia observada parece ser contraria alas expectativas que motivaron la implantación del nuevo sistema de contratación, pues seobserva un empeoramiento significativo en los niveles de liquidez y rentabilidad y, en cambio, nose observa disminución aparente en el nivel de volatilidad.Fixing, liquidez, volatilidad, rendimiento, negociación infrecuente. Fixing, Liquidity, Returns, Volatility, Thin Trading.

Track My Hoist

Construction sites all over the world rely on hoist lifts for transporting material and workers at the job site. Despite being such an integral part of construction projects, there is currently no tool to track the use of this critical and highly necessary piece of equipment at the construction site. The purpose of this project is to design a systemthat would enable the managers and employees of construction companies to efficiently track and manage the hoist lifts at their sites. Efficient tracking and management of the lifts would result in savings of cost, time, and energy for the construction companies. Such improvements would also help boost worker morale, which would consequently boost productivity. Over the course of this project the team has designed an interactive yet intuitive software application that helps effectively track and manage hoist lifts on construction sites

ON THE SMALL SAMPLE PROPERTIES OF DICKEY FULLER AND MAXIMUM LIKELIHOOD UNIT ROOT TESTS ON DISCRETE-SAMPLED SHORT-TERM INTEREST RATES

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the performance of conventional tests for unit root nonstationarity since these are typically derived under the assumption of homoskedasticity. Given the relative unfamiliarity on the issue, we conducted an extensive Monte Carlo investigation in order to assess the performance of the DF unit root tests, and examined the effects on the limiting distributions of test procedures (t- and likelihood ratio tests) based on maximum likelihood estimation of models for short-term rates with a linear drift.Unit root, interest rates, CKLS model.

The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance

This paper discusses the asymptotic and finite-sample properties of CUSUM-based tests for detecting structural breaks in volatility in the presence of stochastic contamination, such as additive outliers or measurement errors. This analysis is particularly relevant for financial data, on which these tests are commonly used to detect variance breaks. In particular, we focus on the tests by Inclán and Tiao [IT] (1994) and Kokoszka and Leipus [KL] (1998, 2000), which have been intensively used in the applied literature. Our results are extensible to related procedures. We show that the asymptotic distribution of the IT test can largely be affected by sample contamination, whereas the distribution of the KL test remains invariant. Furthermore, the break-point estimator of the KL test renders consistent estimates. In spite of the good large-sample properties of this test, large additive outliers tend to generate power distortions or wrong break-date estimates in small samples.

On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the performance of conventional tests for unit root nonstationarity since these are typically derived under the assumption of homoskedasticity. Given the relative unfamiliarity on the issue, we conducted an extensive Monte Carlo investigation in order to assess the performance of the DF unit root tests, and examined the effects on the limiting distributions of test procedures (t- and likelihood ratio tests) based on maximum likelihood estimation of models for short-term rates with a linear drift.Unit root, interest rates, CKLS model.

Disorder-specific functional abnormalities during sustained attention in youth with Attention Deficit Hyperactivity Disorder (ADHD) and with Autism

Attention Deficit Hyperactivity Disorder (ADHD) and Autism Spectrum Disorder (ASD) are often comorbid and share behavioural-cognitive abnormalities in sustained attention. A key question is whether this shared cognitive phenotype is based on common or different underlying pathophysiologies. To elucidate this question, we compared 20 boys with ADHD to 20 age and IQ matched ASD and 20 healthy boys using functional magnetic resonance imaging (fMRI) during a parametrically modulated vigilance task with a progressively increasing load of sustained attention. ADHD and ASD boys had significantly reduced activation relative to controls in bilateral striato–thalamic regions, left dorsolateral prefrontal cortex (DLPFC) and superior parietal cortex. Both groups also displayed significantly increased precuneus activation relative to controls. Precuneus was negatively correlated with the DLPFC activation, and progressively more deactivated with increasing attention load in controls, but not patients, suggesting problems with deactivation of a task-related default mode network in both disorders. However, left DLPFC underactivation was significantly more pronounced in ADHD relative to ASD boys, which furthermore was associated with sustained performance measures that were only impaired in ADHD patients. ASD boys, on the other hand, had disorder-specific enhanced cerebellar activation relative to both ADHD and control boys, presumably reflecting compensation. The findings show that ADHD and ASD boys have both shared and disorder-specific abnormalities in brain function during sustained attention. Shared deficits were in fronto–striato–parietal activation and default mode suppression. Differences were a more severe DLPFC dysfunction in ADHD and a disorder-specific fronto–striato–cerebellar dysregulation in ASD

Effects of internal fluctuations on the spreading of Hantavirus

We study the spread of Hantavirus over a host population of deer mice using a population dynamics model. We show that taking into account the internal fluctuations in the mouse population due to its discrete character strongly alters the behaviour of the system. In addition to the familiar transition present in the deterministic model, the inclusion of internal fluctuations leads to the emergence of an additional deterministically hidden transition. We determine parameter values that lead to maximal propagation of the disease, and discuss some implications for disease prevention policies

Removal of Nitrates from Stormwater Using Nanoclays

Creeks and rivers are often polluted as a result of stormwater runoff that carries various contaminants in to open water bodies, causing adverse environmental and health effects. Low impact development (LID) techniques are currently employed to treat this runoff prior to discharge. Nitrate, however, is not consistently removed by these LID techniques. This study analyzed the ability of several nanoclays to remove nitrate in runoff and determined the feasibility of using them as a soil supplement for LID implementation. Six different nanoclays and HCl-treated clays were compared (pre-modified trimethyl stearyl ammonium nanoclay, pre-modified dimethyl dialkyl amine nanoclay, unmodified hydrophilic bentonite, unmodified halloysite nanoclay, HCl modified hydrophilic bentonite and HCL modified kaolin) to the control clay, unmodified kaolin, for their ability to adsorb nitrate solution by batch adsorption experiments. The findings determined that the pre-modified trimethyl stearyl ammonium nanoclay was the most effective adsorbent, decreasing the nitrate concentration up to 86% for a nitrate to clay ratio of 6.25 mg: 1 g under normal pH (5-6) and temperature (25⁰C) conditions. The HCl acid modification did not prove to provide significant additional benefits to the clays. Column studies were also conducted on the most successful clay, pre-modified trimethyl stearyl ammonium nanoclay, to assess the breakthrough point when 0.1% w/w and 1% w/w of the nanoclay were added to Nevada Sand. The results showed a projected breakthrough pore volume of 17 when the larger fraction was added to the sand, and a corresponding hydraulic conductivity of 12.6 in/hr, which is 35% slower than the un-amended Nevada Sand. Such a high hydraulic conductivity indicated that future work can test larger fractions of clay to sand mixtures to achieve a higher number of pore volumes before the soil reaches its breakthrough point. Future studies can also further explore both batch and column experiments to assess the feasibility of implementing soil amendments to a filtration system by changing the experimental parameters, such as base soil material, types of nanoclays used, and the nanoclay to nitrate ratios. Additionally, synthetic stormwater from runoff should be used as the influent instead of a nitrate-only solution to reflect more realistic scenarios for a potential real-world application