Mathematical Model of the Electricity Prices on the Spot Market

Cijena se na tržištu električne energije neprestano mijenja. Njezina je buduća kretanja zbog karakteristika električne energije relativno teško predvidjeti. Zbog toga se primjenjuju sljedeća tri procesa: proces kretanja budućih cijena električne energije po geometrijskom Brownovom gibanju, proces kretanja prosječnih vrijednosti cijena električne energije i proces kretanja budućih cijena električne energije s povremenim vršnim vrijednostima. U radu su obrađena sva tri procesa, čime je obuhvaćena njihova definicija, formulacija, primjena te navođenje prednosti i nedostataka.The price on the electricity market is constantly changing. Owing to the characteristics of electricity the future movement of the price is relatively hard to predict. For this reason the following three processes are applied: the process of the future electricity price movement according to the geometric Brownian motion, the mean reversion process, and the price spikes process. The paper discusses all three processes, including their definitions, formulas and applications, as well as their upsides and downsides

THE TECHNIQUES OF EXERCISING FUTURES AND FORWARDS BY THE HEDGING METHOD

Ponuda i potražnja električne energije zbog njenih ograničenja mora biti uvijek uravnotežena. Cijene električne energije neprestano variraju te ih nije moguće sa sigurnošću odrediti. Promptna ili spot cijena električne energije odraz je besprekidne uravnoteženosti proizvodnje, opskrbe i distribucije električne energije. Zbog nekontroliranog izlaganja riziku od stalnih promjena spot cijene električne energije, sudionici tržišta mogu si stvoriti gubitke. Zbog toga su na tržištu uvedeni terminski ugovori. Njima se može ograničiti tržišni rizik uz primjenu hedging metode. Dva su tipa terminskih ugovora: future ugovori s kojima se trguje na burzi i forward ugovori s kojima se trguje izvan burze. U radu se daje njihov opis, razlike i primjena. Nakon toga slijedi opisivanje hedging metode te njena primjena na future ugovorima. Pri kraju rada dana je primjena future ugovora na najvećoj srednjoeuropskoj burzi EEX (European Electricity Exchange).Supply and demand are always supposed to be balanced due to certain limitations relating to electricity. Electricity prices fluctuate constantly and cannot be determined with complete certainty. The spot market price of electricity is a reflection of the continuous equilibrium among the production, supply and distribution of electricity. Due to uncontrolled exposure to the risk of the continual fluctuations of the spot market prices, market participants can incur financial losses. For this purpose, futures and forwards have been introduced on the markets. Owing to them, market risk can be hedged by employing the hedging method. Two types of such contracts exist: futures traded on electricity exchanges and forwards traded on over-the-counter markets. In this article, the descriptions, differences and application of these contracts are presented. A description of the hedging method and its application to futures is provided. At the end of the article, an application of a futures contract on the largest Middle European electricity exchange, EEX, is presented

Mathematical Model of the Electricity Prices on the Spot Market

Cijena se na tržištu električne energije neprestano mijenja. Njezina je buduća kretanja zbog karakteristika električne energije relativno teško predvidjeti. Zbog toga se primjenjuju sljedeća tri procesa: proces kretanja budućih cijena električne energije po geometrijskom Brownovom gibanju, proces kretanja prosječnih vrijednosti cijena električne energije i proces kretanja budućih cijena električne energije s povremenim vršnim vrijednostima. U radu su obrađena sva tri procesa, čime je obuhvaćena njihova definicija, formulacija, primjena te navođenje prednosti i nedostataka.The price on the electricity market is constantly changing. Owing to the characteristics of electricity the future movement of the price is relatively hard to predict. For this reason the following three processes are applied: the process of the future electricity price movement according to the geometric Brownian motion, the mean reversion process, and the price spikes process. The paper discusses all three processes, including their definitions, formulas and applications, as well as their upsides and downsides

THE PRINCIPLE OF EXERCISING OPTIONS ON THE ELECTRICITY MARKET

Rizik od stalnih promjena cijena moguće je umanjiti korištenjem različitih financijskih instrumenata. U tu skupinu instrumenata spadaju ugovori o opcijama; odnosno opcije. Po njima kupac otkupljuje pravo na ugovorene cijene nekog predmetnog sredstva; na primjer električne energije. S obzirom na varljivost cijena kupac ne mora izvesti opciju. Tada je njegov jedini gubitak otkupljeno pravo ili premija; što odgovara vrijednosti jedne opcije. Matematički modeli za određivanje vrijednosti opcija razvijaju se već više od sto godina. No; svoj procvat doživljaju sedamdestih godina 20. stoljeća zahvaljujući formuli Black-Scholes kojom se određuje teoretska vrijednost opcija. U članku se daje podjela opcija po različitim kriterijima; opisuju načini njihovog izvođenja te prati povijesni razvoj modela za određivanje vrijednosti opcija. Izložen je primjer izvođenja opcije na najvećoj srednjoeuropskoj burzi električne energije EEX uz primjenu margina.Continual price fluctuations are possible to hedge by using various financial instruments; including options. An option buyer buys the right to the settlement price of an underlying asset such as electricity. Due to the volatility of the asset price; the buyer is not obliged to exercise the option. In such a case; the buyer\u27s only loss is the purchased right or the option premium; which is equal to the option price. Mathematical models for option pricing have been developed in the last hundred years. These models were very popular during the 1970s; owing to the application of the Black-Scholes formula for the calculation of theoretical option prices. In this article; options are distinguished according to various criteria; specific exercising methods are described and the historical development of option pricing models is reviewed. An example of option exercising with closing out of the margins on the largest Middle European electricity exchange; EEX; is presented

THE PRINCIPLE OF EXERCISING OPTIONS ON THE ELECTRICITY MARKET

Rizik od stalnih promjena cijena moguće je umanjiti korištenjem različitih financijskih instrumenata. U tu skupinu instrumenata spadaju ugovori o opcijama; odnosno opcije. Po njima kupac otkupljuje pravo na ugovorene cijene nekog predmetnog sredstva; na primjer električne energije. S obzirom na varljivost cijena kupac ne mora izvesti opciju. Tada je njegov jedini gubitak otkupljeno pravo ili premija; što odgovara vrijednosti jedne opcije. Matematički modeli za određivanje vrijednosti opcija razvijaju se već više od sto godina. No; svoj procvat doživljaju sedamdestih godina 20. stoljeća zahvaljujući formuli Black-Scholes kojom se određuje teoretska vrijednost opcija. U članku se daje podjela opcija po različitim kriterijima; opisuju načini njihovog izvođenja te prati povijesni razvoj modela za određivanje vrijednosti opcija. Izložen je primjer izvođenja opcije na najvećoj srednjoeuropskoj burzi električne energije EEX uz primjenu margina.Continual price fluctuations are possible to hedge by using various financial instruments; including options. An option buyer buys the right to the settlement price of an underlying asset such as electricity. Due to the volatility of the asset price; the buyer is not obliged to exercise the option. In such a case; the buyer\u27s only loss is the purchased right or the option premium; which is equal to the option price. Mathematical models for option pricing have been developed in the last hundred years. These models were very popular during the 1970s; owing to the application of the Black-Scholes formula for the calculation of theoretical option prices. In this article; options are distinguished according to various criteria; specific exercising methods are described and the historical development of option pricing models is reviewed. An example of option exercising with closing out of the margins on the largest Middle European electricity exchange; EEX; is presented

On-chip integrated nanowire device platform with controllable nanogap for manipulation, capturing, and electrical characterization of nanoparticles

Cataloged from PDF version of article.We propose and demonstrate nanowire (NW) device platforms on-chip integrated using electric-field-assisted self-assembly. This platform integrates from nanoprobes to microprobes, and conveniently allows for on-chip manipulation, capturing, and electrical characterization of nanoparticles (NPs). Synthesizing segmented (Au–Ag–Au) NWs and aligning them across predefined microelectrode arrays under ac electric field, we controllably form nanogaps between the self-aligned end (Au) segments by selectively removing the middle (Ag) segments. We precisely control and tune the size of this middle section for nanogap formation in the synthesis process. Using electric field across nanogaps between these nanoprobes, we capture NPs to electrically address and probe them at the nanoscale. This approach holds great promise for the construction of single NP devices with electrical nanoprobe contacts

Arrays of suspended plasmonic nanodiscs

We demonstrate lateral arrays of suspended metal nanodiscs, erected in parallel, partially encased in a dielectric-wrap using in-template synthesis with their polarization-dependent properties controlled as a function of disc-gap/-width tailoring their scattering/absorption spectra. © 2013 IEEE

A Liquid Extraction Column With Reciprocated Wire Mesh Packing

In a new type of pulsating, liquid extractor, pulsating energy is added to the counter currently flowing liquid streams by a stainless-steel wire mesh packing which is reciprocated vertically in a 3-inch i.d. extraction column. The mass transfer performance and flooding characteristics are studied as a function of the frequency and amplitude of reciprocation, the total solvent and feed throughputs, and choice of phase dispersion. The benzene-HAc-H2O and MIBK-HAcH2O systems were used. Extraction data for the benzene system were correlated in terms of a dimensionless pulse velocity group. Operating throughputs are significantly higher than those achieved with other designs of mechanically aided extractors, while maintaining high rates of extraction. © 1969, American Chemical Society. All rights reserved

Flexible and fragmentable tandem photosensitive nanocrystal skins

We proposed and demonstrated the first account of large-area, semi-transparent, tandem photosensitive nanocrystal skins (PNSs) constructed on flexible substrates operating on the principle of photogenerated potential buildup, which avoid the need for applying an external bias and circumvent the currentmatching limitation between junctions. We successfully fabricated and operated the tandem PNSs composed of single monolayers of colloidal water-soluble CdTe and CdHgTe nanocrystals (NCs) in adjacent junctions on a Kapton polymer tape. Owing to the usage of a single NC layer in each junction, noise generation was significantly reduced while keeping the resulting PNS films considerably transparent. In each junction, photogenerated excitons are dissociated at the interface of the semi-transparent Al electrode and the NC layer, with holes migrating to the contact electrode and electrons trapped in the NCs. As a result, the tandem PNSs lead to an open-circuit photovoltage buildup equal to the sum of those of the two single junctions, exhibiting a total voltage buildup of 128.4 mV at an excitation intensity of 75.8 μW cm⁻² at 350 nm. Furthermore, we showed that these flexible PNSs could be bent over 3.5 mm radius of curvature and cut out in arbitrary shapes without damaging the operation of individual parts and without introducing any significant loss in the total sensitivity. These findings indicate that the NC skins are promising as building blocks to make low-cost, flexible, large-area UV/visible sensing platforms with highly efficient full-spectrum conversion

A 16-Channel Wireless Neural Recording System-on-Chip with CHT Feature Extraction Processor in 65nm CMOS

Wireless implantable neural recording chips enable multichannel data acquisition with high spatiotemporal resolution in situ. Recently, the use of machine learning approaches on neural data for diagnosis and prosthesis control have renewed the interest in this field, and increased even more the demand for multichannel data. However, simultaneous data acquisition from many channels is a grand challenge due to data rate and power limitations on wireless transmission for implants. As a result, recent studies have focused on on-chip classifiers, despite the fact that only primitive classifiers can be placed on resource-constrained chips. Moreover, robustness of the chosen algorithm cannot be guaranteed pre-implantation due to the scarcity of patient-specific data; waveforms can change over time due to electrode micro migration or tissue reaction, highlighting the need for robust adaptive features