Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market

Modelling and forecasting the volatile spot pricing process for electricity presents a number of challenges. For increasingly deregulated electricity markets, like that in the Australian state of New South Wales, there is need to price a range of derivative securities used for hedging. Any derivative pricing model that hopes to capture the pricing dynamics within this market must be able to cope with the extreme volatility of the observed spot prices. By applying wavelet analysis, we examine both the price and demand series at different time locations and levels of resolution to reveal and differentiate what is signal and what is noise. Further, we cleanse the data of leakage from the high frequency, mean reverting price spikes into the more fundamental levels of frequency resolution. As it is from these levels that we base the reconstruction of our filtered series, we need to ensure they are least contaminated by noise. Using the filtered data, we explore time series models as possible candidates for explaining the pricing process and evaluate their forecasting ability. These models include one from the threshold autoregressive (AR) model. What we find is that models from the TAR class produce forecasts that best appear to capture the mean and variance components of the actual data.electricity; wavelets, time series models; forecasting

Diagnostic testing for earnings simulation engines in the Australian electricity market

This study has endeavoured to propose and implement a series of diagnostic tests to determine the appropriateness of electricity simulation engines (ESEs) for generating electricity load and price paths to be used as input in the determination of a retailer’s earnings distribution and the assessment of earnings-at-risk (EaR) measures. Additional diagnostic measures require development before a routine can be developed whereby a complete diagnostic report can be generated as output using simulated and historical data as input. This work includes: (1) Further partitioning of output load and prices from an ESE into off-peak, peak and weekend periods to determine the subsequent effect on earnings. (2) The diagnosis of simulated load paths. As simulated load was not supplied for all engines, the diagnostics developed in this report did not include an analysis of load. (3) The building of a response surface to capture the interaction between temperature, load and price. (4) Examination of the convergence behaviour of an ESE. Convergence in this context means the determination of the minimum number of load and price paths required from a simulator in order to return expected profiles that conform to industry expectations. This would involve the sequential testing of an increasing number of simulated paths from an ESE in order to determine the number required. In conclusion, it is important to understand that each of the simulators that were diagnosed in this study were criticised according to industry expectations, and to the degree that the diagnostics employed here reflect those expectations. In fact, all simulators will attract criticism given that they are calibrated on historical data and are expected to generate future prices for market conditions that are unknown. The mark of an appropriate ESE is that the future load and pricing structure it generates is not too much at variance with industry expectations. A critical function of a simulator is for it not to overestimate or underestimate load and prices such that the risk metrics used to govern earnings risk faced by an electricity retailer are compromised to the extent that their book is either grossly over-hedged or under-hedged

Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies

In this paper we have tested for evidence of nonlinear structure in United Kingdom asset returns including those of real estate and investment trusts, stock market indices and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear deterministic (chaotic) structure against a random alternative, others have power against nonlinear stochastic structure. If nonlinear deterministic and random walk models are not appropriate to explain asset returns behaviour, then stochastic nonlinearity seems like a logical alternative. The results from our study lead us to that conclusion.

The Spectral Energy Distribution of Fermi Bright Blazars

We have conducted a detailed investigation of the broadband spectral properties of the γ-ray selected blazars of the Fermi LAT Bright AGN Sample (LBAS). By combining our accurately estimated Fermi γ-ray spectra with Swift, radio, infra-red, optical, and other hard X-ray/γ-ray data, collected within 3 months of the LBAS data taking period, we were able to assemble high-quality and quasi-simultaneous spectral energy distributions (SED) for 48 LBAS blazars. The SED of these γ-ray sources is similar to that of blazars discovered at other wavelengths, clearly showing, in the usual log ν-log ν F _ν representation, the typical broadband spectral signatures normally attributed to a combination of low-energy synchrotron radiation followed by inverse Compton emission of one or more components. We have used these SED to characterize the peak intensity of both the low- and the high-energy components. The results have been used to derive empirical relationships that estimate the position of the two peaks from the broadband colors (i.e., the radio to optical, α_(ro), and optical to X-ray, α_(ox), spectral slopes) and from the γ-ray spectral index. Our data show that the synchrotron peak frequency (ν^S _(peak)) is positioned between 10^(12.5) and 10^(14.5) Hz in broad-lined flat spectrum radio quasars (FSRQs) and between 10^(13) and 10^(17) Hz in featureless BL Lacertae objects. We find that the γ-ray spectral slope is strongly correlated with the synchrotron peak energy and with the X-ray spectral index, as expected at first order in synchrotron-inverse Compton scenarios. However, simple homogeneous, one-zone, synchrotron self-Compton (SSC) models cannot explain most of our SED, especially in the case of FSRQs and low energy peaked (LBL) BL Lacs. More complex models involving external Compton radiation or multiple SSC components are required to reproduce the overall SED and the observed spectral variability. While more than 50% of known radio bright high energy peaked (HBL) BL Lacs are detected in the LBAS sample, only less than 13% of known bright FSRQs and LBL BL Lacs are included. This suggests that the latter sources, as a class, may be much fainter γ-ray emitters than LBAS blazars, and could in fact radiate close to the expectations of simple SSC models. We categorized all our sources according to a new physical classification scheme based on the generally accepted paradigm for Active Galactic Nuclei and on the results of this SED study. Since the LAT detector is more sensitive to flat spectrum γ-ray sources, the correlation between ν ^S _(peak) and γ-ray spectral index strongly favors the detection of high energy peaked blazars, thus explaining the Fermi overabundance of this type of sources compared to radio and EGRET samples. This selection effect is similar to that experienced in the soft X-ray band where HBL BL Lacs are the dominant type of blazars

Collaboratively and at scale: lending CAPE’s experience to the challenge of describing knowledge mobilisation

Across Higher Education Institutions (HEIs) and in policy domains, there has been increased support for and investment in knowledge mobilisation activities and roles. At a time in which funding decision makers and awardees need to evidence the value of investments, questions arise: what is knowledge mobilisation, what does it do and why does it need investing in? Through our work in CAPE, we are seeking to contribute insight into the ways that academic policy engagement is enacted through knowledge mobilisation. We reflect on what our experience of knowledge mobilisation practice collaboratively and at scale tells us, and why a deeper appreciation of the way it works at systemic levels might be useful for the sector as it develops

The first gamma-ray outburst of a narrow-line Seyfert 1 galaxy: the case of PMNJ0948+0022 in 2010 July

We report on a multiwavelength campaign for the radio-loud narrow-line Seyfert 1 (NLS1) galaxy PMN J0948+0022 (z= 0.5846) performed in 2010 July–September and triggered by a high-energy γ-ray outburst observed by the Large Area Telescope onboard the Fermi Gamma-ray Space Telescope. The peak flux in the 0.1–100 GeV energy band exceeded, for the first time in this type of source, the value of ~10^(−6) photon cm^(−2) s^(−1), corresponding to an observed luminosity of ~10^(48) erg s^(−1). Although the source was too close to the Sun position to organize a densely sampled follow-up, it was possible to gather some multiwavelength data that confirmed the state of high activity across the sampled electromagnetic spectrum. The comparison of the spectral energy distribution of the NLS1 PMN J0948+0022 with that of a typical blazar – such as 3C 273 – shows that the power emitted at γ-rays is extreme

15 GHz Monitoring of Gamma-ray Blazars with the OVRO 40 Meter Telescope in Support of Fermi

We present results from the first two years of our fast-cadence 15 GHz gamma-ray blazar monitoring program, part of the F-GAMMA radio monitoring project. Our sample includes the 1158 blazars north of -20 degrees declination from the Candidate Gamma-Ray Blazar Survey (CGRaBS), which encompasses a significant fraction of the extragalactic sources detected by the Fermi Gamma-ray Space Telescope. We introduce a novel likelihood analysis for computing a time series variability amplitude statistic that separates intrinsic variability from measurement noise and produces a quantitative error estimate. We use this method to characterize our radio light curves. We also present results indicating a statistically significant correlation between simultaneous average 15 GHz radio flux density and gamma-ray photon flux.Comment: 5 pages, 7 figures; 2009 Fermi Symposium; eConf Proceedings C09112

Bone turnover and metabolite responses to exercise in people with and without long-duration type 1 diabetes: a case-control study

INTRODUCTION: Exercise acutely alters markers of bone resorption and formation. As risk of fracture is increased in patients with type 1 diabetes, understanding if exercise-induced bone turnover is affected within this population is prudent. We assessed bone turnover responses to acute exercise in individuals with long-duration type 1 diabetes and matched controls. RESEARCH DESIGN AND METHODS: Participants with type 1 diabetes (n=15; age: 38.7±13.3; glycosylated hemoglobin: 60.5±6.7 mmol/mol; diabetes duration: 19.3±11.4 years) and age-matched, fitness-matched, and body mass index-matched controls (n=15) completed 45 min of incline walking (60% peak oxygen uptake). Blood samples were collected at baseline and immediately, 30 min, and 60 min postexercise. Markers of bone resorption (β-C-terminal cross-linked telopeptide of type 1 collagen, β-CTx) and formation (procollagen type-1 amino-terminal propeptide, P1NP), parathyroid hormone (PTH), phosphate, and calcium (albumin-adjusted and ionized) were measured. Data (mean±SD) were analyzed by a mixed-model analysis of variance. RESULTS: Baseline concentrations of P1NP and β-CTx were comparable between participants with type 1 diabetes and controls. P1NP did not change with exercise (p=0.20) but β-CTx decreased (p0.39). Participants with type 1 diabetes had reduced albumin and ionized calcium at all sample points (p<0.01). CONCLUSIONS: Following exercise, participants with type 1 diabetes displayed similar time-course changes in markers of bone formation and associated metabolites, but an attenuated suppression in bone resorption. The reduced albumin and ionized calcium may have implications for future bone health. Further investigation of the interactions between type 1 diabetes, differing modalities and intensities of exercise, and bone health is warranted