A semi-Markov model with memory for price changes

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also on a memory index. The index is introduced to take into account periods of high and low volatility in the market. First of all we derive the equations governing the process and then theoretical results have been compared with empirical findings from real data. In particular we analyzed high frequency data from the Italian stock market from first of January 2007 until end of December 2010

Weighted-indexed semi-Markov models for modeling financial returns

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series as the first passage time distributions and the persistence of volatility. The model is applied to data from Italian and German stock market from first of January 2007 until end of December 2010.Comment: arXiv admin note: substantial text overlap with arXiv:1109.425

Managing wind power generation via indexed semi-markov model and copula

Because of the stochastic nature of wind turbines, the output power management of wind power generation (WPG) is a fundamental challenge for the integration of wind energy systems into either power systems or microgrids (i.e., isolated systems consisting of local wind energy systems only) in operation and planning studies. In general, a wind energy system can refer to both one wind farm consisting of a number of wind turbines and a given number of wind farms sited at the area in question. In power systems (microgrid) planning, a WPG should be quantified for the determination of the expected power flows and the analysis of the adequacy of power generation. Concerning this operation, the WPG should be incorporated into an optimal operation decision process, as well as unit commitment and economic dispatch studies. In both cases, the probabilistic investigation of WPG leads to a multivariate uncertainty analysis problem involving correlated random variables (the output power of either wind turbines that constitute wind farm or wind farms sited at the area in question) that follow different distributions. This paper advances a multivariate model of WPG for a wind farm that relies on indexed semi-Markov chains (ISMC) to represent the output power of each wind energy system in question and a copula function to reproduce the spatial dependencies of the energy systems’ output power. The ISMC model can reproduce long-term memory effects in the temporal dependence of turbine power and thus understand, as distinct cases, the plethora of Markovian models. Using copula theory, we incorporate non-linear spatial dependencies into the model that go beyond linear correlations. Some copula functions that are frequently used in applications are taken into consideration in the paper; i.e., Gumbel copula, Gaussian copula, and the t-Student copula with different degrees of freedom. As a case study, we analyze a real dataset of the output powers of six wind turbines that constitute a wind farm situated in Poland. This dataset is compared with the synthetic data generated by the model thorough the calculation of three adequacy indices commonly used at the first hierarchical level of power system reliability studies; i.e., loss of load probability (LOLP), loss of load hours (LOLH) and loss of load expectation (LOLE). The results will be compared with those obtained using other models that are well known in the econometric field; i.e., vector autoregressive models (VAR)

On the Effect of Channel Knowledge in Underwater Acoustic Communications: Estimation, Prediction and Protocol

Underwater acoustic communications are limited by the following channel impairments: time variability, narrow bandwidth, multipath, frequency selective fading and the Doppler effect. Orthogonal Frequency Division Modulation (OFDM) is recognized as an effective solution to such impairments, especially when optimally designed according to the propagation conditions. On the other hand, OFDM implementation requires accurate channel knowledge atboth transmitter and receiver sides. Long propagation delay may lead to outdated channel information. In this work, we present an adaptive OFDM scheme where channel state information is predicted through a Kalman-like filter so as to optimize communication parameters, including the cyclic prefix length. This mechanism aims to mitigate the variability of channel delay spread. This is cast in a protocol where channel estimation/prediction are jointly considered, so as to allow efficiency. The performance obtained through extensive simulations using real channels and interference show the effectiveness of the proposed scheme, both in terms of rate and reliability, at the expense of an increasing complexity. However, this solution is significantly preferable to the conventional mechanism, where channel estimation is performed only at the receiver, with channel coefficients sent back to the transmit node by means of frequent overhead signaling

A multivariate high-order markov model for the income estimation of a wind farm

The energy produced by a wind farm in a given location and its associated income depends both on the wind characteristics in that location—i.e., speed and direction—and the dynamics of the electricity spot price. Because of the evidence of cross-correlations between wind speed, direction and price series and their lagged series, we aim to assess the income of a hypothetical wind farm located in central Italy when all interactions are considered. To model these cross and auto-correlations efficiently, we apply a high-order multivariate Markov model which includes dependencies from each time series and from a certain level of past values. Besides this, we used the Raftery Mixture Transition Distribution model (MTD) to reduce the number of parameters to get a more parsimonious model. Using data from the MERRA-2 project and from the electricity market in Italy, we estimate the model parameters and validate them through a Monte Carlo simulation. The results show that the simulated income faithfully reproduces the empirical income and that the multivariate model also closely reproduces the cross-correlations between the variables. Therefore, the model can be used to predict the income generated by a wind farm

Blind fractionally spaced channel equalization for shallow water PPM digital communications links

Underwater acoustic digital communications suffer from inter-symbol interference deriving from signal distortions caused by the channel propagation. Facing such kind of impairment becomes particularly challenging when dealing with shallow water scenarios characterized by short channel coherence time and large delay spread caused by time-varying multipath effects. Channel equalization operated on the received signal represents a crucial issue in order to mitigate the effect of inter-symbol interference and improve the link reliability. In this direction, this contribution presents a preliminary performance analysis of acoustic digital links adopting pulse position modulation in severe multipath scenarios. First, we show how the spectral redundancy offered by pulse position modulated signals can be fruitfully exploited when using fractional sampling at the receiver side, which is an interesting approach rarely addressed by the current literature. In this context, a novel blind equalization scheme is devised. Specifically, the equalizer is blindly designed according to a suitably modified Bussgang scheme in which the zero-memory nonlinearity is replaced by a M-memory nonlinearity, M being the pulse position modulation order. Numerical results not only confirm the feasibility of the technique described here, but also assess the quality of its performance. An extension to a very interesting complex case is also provided

Effect of testosterone metabolites on ABC half-transporter relative gene expression in X-linked adrenoleukodystrophy

X-linked adrenoleukodystrophy (X-ALD) is an inherited neurodegenerative disorder associated with reduced very long-chain fatty acid beta-oxidation, mainly affecting the nervous system, the adrenal cortex and the testes. The clinical manifestations of hypogonadism, alopecia and the impairment of the enzyme 5alpha-reductase, which converts testosterone into dihydrotestosterone, clearly point to an involvement of androgens in this pathology. The disease is characterized by mutations in the ABCD1 gene, which codes for the peroxisomal ABC half-transporter ALDP, and by a broad range of clinical manifestations. The altered function of ALDP can be compensated by the overexpression of proteins belonging to the same family of ABC half-transporters. A promising therapeutic approach is represented by the activation of these proteins by specific agonists. In this study we evaluated the effect of the testosterone metabolite dihydrotestosterone (DHT) and 5alpha-androstan-3alpha,17beta-diol (3alpha-diol) on the expression of the ABC half-transporters encoded by the ABCD2 and ABCD3 genes, in fibroblasts drawn from controls and from two affected brothers. The two patients presented the same mutation in exon 9 but had different clinical manifestations, one patient being asymptomatic and the second one severely affected. When the cells were stimulated with testosterone metabolites, only the severely affected patient showed a significant increase in ABCD2 mRNA levels, while the ABCD3 expression remained unchanged in both patients