Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility

Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still puzzling researchers and practitioners. In this paper, we propose an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different mean-reversion rates for 'normal' and 'extreme' (spike) periods. Another feature of the model is its ability to capture correlation structures of electricity price spikes. Furthermore, all model parameters can easily be estimated with help of historical data. Consequently, we argue that this model does not only extend academic literature on electricity spot price modeling, but is also suitable for practical purposes, e.g. as underlying price model for option pricing. --Electricity,Energy markets,Lévy processes,Mean-reversion,Spikes,Stochastic volatility,GARCH

Magmatic versus amagmatic : a study of local seismicity and lithospheric structure at two contrasting Southwest Indian Ridge segments

New sea oor is constantly being created at the global spanning system of mid-ocean ridges (MOR). Over a wide range of spreading rates is the produced oceanic crust of surprisingly uniform thickness and composition. An exception are ridges with spreading rates slower than 15-20 mm yra 1, so-called ultraslow spreading MORs, at which the crustal thickness and composition drastically change. A totally different mode of sea oor spreading occurs, with discontinuous crustal accretion along-axis. Entire sections of the ridge axis lack an igneous crust and the neighbouring volcanoes receive more melt than the regional average. The Gakkel Ridge in the ice-covered Arctic Ocean and the Southwest Indian Ridge (SWIR) in the stormy Southern Ocean are the main representatives of the ultraslow spreading ridges. At present, the processes of lithosphere formation at ultraslow spreading rates are still poorly understood. The investigation of microearthquakes, with networks of ocean bottom seismometers (OBS) or hydrophones, has signi cantly progressed our understanding of the lithosphere accretion processes at faster spreading ridges. Until recently, the rough environmental conditions prevented the long-term deployment of OBSs at the main representatives of ultraslow ridges. This thesis makes use of the rst one-year long records from two OBS networks with comparable extent that had been placed at different sections of the SWIR from 2012 to 2013. The chosen sites are characterized by contrasting crustal thickness, lithology and morphology. The Oblique Supersegment network was deployed near 13Adegree30a E where peridotites are the dominant sea oor lithology and a typical igneous crust is absent. The Segment 8 network was deployed near 65Adegree30a E around the volcanic center of the SWIR Segment 8 where the crust is locally thickened and the sea oor consists exclusively of basalts. I picked and located the microearthquakes for the Oblique Supersegment network and compiled an 11-month long catalogue that contains 2000 microearthquakes. This catalogue was subsequently used to calculate so-called yield-strength envelopes of the lithosphere that provide constraints on the rheological strength and the geothermal gradient below the axial valley. I further used an existing microearthquake catalogue of the Segment 8 network for a local earthquake tomography to image the 3-dimensional structure of seismic velocities below the SWIR Segment 8. The combined seismicity catalogues from both networks showed systematic undulations in the maximum depth of faulting (brittle-ductile transition) along the SWIR axis; with deeper hypocenters below amagmatic ridge segments and shallower hypocenters below magmatic segments. The brittle- ductile transition is mainly temperature related. Thus, its position provides insight into the sub- axial thermal structure. The undulating hypocenter depths imply parallel undulations of the deeper lithosphere-asthenosphere boundary, under which molten material is constantly present. Previous studies postulated such a topography of the lithosphere-asthenosphere boundary that guides the buoyantly owing mantle melts from amagmatic segments towards magmatic centers and thereby maintains the pattern of uneven melt supply along the SWIR. The combined microseismicity results from both OBS networks strongly support this hypothesis and provide the missing geophysical proof of this concept. An extensive aseismic region extending to 15 km depth was found in the upper lithosphere at the Oblique Supersegment, where peridotite is the dominant lithology. The aseismic behaviour is best explained by weakening of the lithosphere by serpentinization, likely focused in aseismic shear zones that constitute the rift valley bounding faults. Geochemical sampling revealed enhanced diffusive uxes near the scarp of a bounding fault and increased methane concentrations in the valley waters that likely stem from abiotic, serpentinization-related processes. The local earthquake tomography of the SWIR Segment 8 network showed a prominent low-velocity anomaly below the segmenta s volcanic center that indicates the presence of partial melts. In addition, preceding teleseismic activity and recorded microearthquake swarms with simultaneous intrusion tremor pointed to an ongoing spreading event. It turned out that this magmatic spreading episode likely lasted already over a decade and thereby vastly exceeds the duration of all previously documented magmatic spreading episodes at active MORs. In summary, this thesis provides for the rst time a detailed insight into the microearthquake activity at two SWIR segments. The analysis and interpretation of the data presented in this thesis signi cantly contribute to a better understanding of the lithospheric structure and the sea oor accretion processes at ultraslow spreading MORs

Quasi-static contact problem with finitely many degrees of freedom and dry friction

A quasi-static contact problem is considered for a non-linear elastic system with finitely many degrees of freedom. Coulomb's law is used to model friction and the friction coefficient may be anisotropic and may vary along the surface of the rigid obstacle. Existence is established following a time-incremental minimization problem. Friction is artificially decreased to resolve the discontinuity arising from making and losing contact

Quasi-static contact problem with finitely many degrees of freedom and dry friction

A quasi-static contact problem is considered for a non-linear elastic system with finitely many degrees of freedom. Coulomb's law is used to model friction and the friction coefficient may be anisotropic and may vary along the surface of the rigid obstacle. Existence is established following a time-incremental minimization problem. Friction is artificially decreased to resolve the discontinuity arising from making and losing contact

Read Thyself:Cultural Self-reflection and the Relevance of Literary “Self”-labels

In recent political philosophy and sociology, self-reflexivity has been described as an indispensable condition for secularized democratic societies. In epistemology, it has been discussed as a key characteristic of human thinking. In this introduction, we discuss how literature connects both traditions by illustrating, demonstrating, and performing self-reflection in numerous forms. We provide an overview of the most important research on literary “self”-labels since the 1960s, from discourse criticism and deconstruction to narratology and systems theory, and we outline a conceptual and terminological framework for contemporary analyses. In contrast to clichéd ideas of postmodern “playfulness,” literary self-reflexivity has a crucial critical potential, as Michel Foucault suggests in his early texts: It can subvert hegemonic “allocritical” discourses and deconstruct dominant narratives and metaphors of exclusion. Providing a kaleidoscopic panorama of different forms, functions and genres of literary self-reflection, and presenting a variety of specific approaches tailored to analyze them, this volume demonstrates how the realms of aesthetic self-reference, cultural self-reflection, and human self-understanding interconnect, and which epistemological, social, and political consequences can be drawn from their analyses

Vortex pinning in super-conductivity as a rate-independent process

This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.For superconductors of type II the phenomenon of vortex pinning plays an important role in technological applications. Several models have been proposed for this effect (Kim et al., 1963; Bean, 1964; Bossavit, 1994). In Du et al. (1999) and Prigozhin (1996), some of these models are analyzed. In this work we want to contribute to the analysis for the two-dimensional, rate-independent model proposed in Chapman (2000), which has the special feature that vortex movement and creation is an activated process occurring only when a threshold value of the magnetic field is reached. For analytical studies of related rate-dependent models we refer to Chapman et al. (1996), Schätzle & Styles (1999) and Elliott & Styles (2000).Peer Reviewe

How to Measure the Game Experience? Analysis of the Factor Structure of Two Questionnaires

We describe and report the analysis of two widely used questionnaires to measure the player experience in digital games. In order to contribute to the further validation and meaningful application of the PENS and GEQ we examined the underlying factorial structure of both questionnaires. Four hundred and forty-seven participants played two different games and rated them on a set of various variables including the PENS and GEQ. Consistent with previous research we gained additional insight into optimization of both measurements. While the factor structure of the PENS appears to be consistent and invariant across two different games, the GEQ reveals weaknesses in fulfilling these requirements

Boosted Beta regression.

Regression analysis with a bounded outcome is a common problem in applied statistics. Typical examples include regression models for percentage outcomes and the analysis of ratings that are measured on a bounded scale. In this paper, we consider beta regression, which is a generalization of logit models to situations where the response is continuous on the interval (0,1). Consequently, beta regression is a convenient tool for analyzing percentage responses. The classical approach to fit a beta regression model is to use maximum likelihood estimation with subsequent AIC-based variable selection. As an alternative to this established - yet unstable - approach, we propose a new estimation technique called boosted beta regression. With boosted beta regression estimation and variable selection can be carried out simultaneously in a highly efficient way. Additionally, both the mean and the variance of a percentage response can be modeled using flexible nonlinear covariate effects. As a consequence, the new method accounts for common problems such as overdispersion and non-binomial variance structures