Dynamics of electricity market correlations

Electricity market participants rely on demand and price forecasts to decide their bidding strategies, allocate assets, negotiate bilateral contracts, hedge risks, and plan facility investments. However, forecasting is hampered by the non-linear and stochastic nature of price time series. Diverse modeling strategies, from neural networks to traditional transfer functions, have been explored. These approaches are based on the assumption that price series contain correlations that can be exploited for model-based prediction purposes. While many works have been devoted to the demand and price modeling, a limited number of reports on the nature and dynamics of electricity market correlations are available. This paper uses detrended fluctuation analysis to study correlations in the demand and price time series and takes the Australian market as a case study. The results show the existence of correlations in both demand and prices over three orders of magnitude in time ranging from hours to months. However, the Hurst exponent is not constant over time, and its time evolution was computed over a subsample moving window of 250 observations. The computations, also made for two Canadian markets, show that the correlations present important fluctuations over a seasonal one-year cycle. Interestingly, non-linearities (measured in terms of a multifractality index) and reduced price predictability are found for the June-July periods, while the converse behavior is displayed during the December-January period. In terms of forecasting models, our results suggest that non-linear recursive models should be considered for accurate day-ahead price estimation. On the other hand, linear models seem to suffice for demand forecasting purposes.     

Comparative atomistic and coarse-grained study of water: What do we lose by coarse-graining?

We employ the inverse Boltzmann method to coarse-grain three commonly used three-site water models (TIP3P, SPC and SPC/E) where one molecule is replaced with one coarse-grained particle with isotropic two-body interactions only. The shape of the coarse-grained potentials is dominated by the ratio of two lengths, which can be rationalized by the geometric constraints of the water clusters. It is shown that for simple two-body potentials either the radial distribution function or the geometrical packing can be optimized. In a similar way, as needed for multiscale methods, either the pressure or the compressibility can be fitted to the all atom liquid. In total, a speed-up by a factor of about 50 in computational time can be reached by this coarse-graining procedure.     

Wall shear stress and near-wall convective transport: Comparisons with vascular remodelling in a peripheral graft anastomosis

Fluid dynamic properties of blood flow are implicated in cardiovascular diseases. The interaction between the blood flow and the wall occurs through the direct transmission of forces, and through the dominating influence of the flow on convective transport processes. Controlled, in vitro testing in simple geometric configurations has provided much data on the cellular-level responses of the vascular walls to flow, but a complete, mechanistic explanation of the pathogenic process is lacking. In the interim, mapping the association between local haemodynamics and the vascular response is important to improve understanding of the disease process and may be of use for prognosis. Moreover, establishing the haemodynamic environment in the regions of disease provides data on flow conditions to guide investigations of cellular-level responses.     

Probing the discrete motion of vortices with rf excitations

In this work we present experimental results on the rectification of vortices in a superconductor/ferromagnet system under a high frequency drive. The two-dimensional pinning landscape, induced by the stray fields of the ferromagnetic template, has no intrinsic asymmetry. Nevertheless, an asymmetric potential is artificially induced by an applied dc bias. The experimental results unambiguously show a biased, discrete motion of the vortices in the periodic potential at frequencies above 10 MHz. This synchronized motion is very sensitive to the external applied field. Increasing temperature leads to a reduction of the pinning potential, which in turn results in a lower ac power needed to drive the vortex lattice.     

Structural phase transitions in ionic molecular solids

An overview is presented of our studies on the nature of structural instabilities in relatively complex ionic solids. These are based on parameter-free interionic potentials based on the Gordon-Kim modified electron gas formalism extended to molecular ions.

We describe the manner in which there emerge from these studies quite general concepts of “size” and “shape” as structural determinants. In particular, we discuss how these, and the approximate symmetries that they can produce, can provide a relatively simple structure-based explanation of the origins of incommensurate phases in these systems. However, we also emphasize that the existence of such symmetries does not guarantee an incommensurate phase. This can only be realized if long-range correlations are sufficiently strong to overcome random local disordering. Thus, either the molecular units are partially linked and/or there exist long-range Coulomb interactions between individual units.     

Predicting XAFS scattering path cumulants and XAFS spectra for metals (Cu,Ni, Fe,Ti, Au) using molecular dynamics simulations

The ability of molecular dynamics (MD) simulations to support the analysis of X‐ray absorption fine‐structure (XAFS) data for metals is evaluated. The low‐order cumulants (ΔR, σ², C₃) for XAFS scattering paths are calculated for the metals Cu, Ni, Fe, Ti and Au at 300 K using 28 interatomic potentials of the embedded‐atom method type. The MD cumulant predictions were evaluated within a cumulant expansion XAFS fitting model, using global (path‐independent) scaling factors. Direct simulations of the corresponding XAFS spectra, χ(R), are also performed using MD configurational data in combination with the FEFFab initio code. The cumulant scaling parameters compensate for differences between the real and effective scattering path distributions, and for any errors that might exist in the MD predictions and in the experimental data. The fitted value of ΔR is susceptible to experimental errors and inadvertent lattice thermal expansion in the simulation crystallites. The unadjusted predictions of σ² vary in accuracy, but do not show a consistent bias for any metal except Au, for which all potentials overestimate σ². The unadjusted C₃ predictions produced by different potentials display only order‐of‐magnitude consistency. The accuracy of direct simulations of χ(R) for a given metal varies among the different potentials. For each of the metals Cu, Ni, Fe and Ti, one or more of the tested potentials was found to provide a reasonable simulation of χ(R). However, none of the potentials tested for Au was sufficiently accurate for this purpose.     

Dynamics of the current-driven Josephson junction

The irreversible macroscopic dynamics of the Josephson junction coupled to external wires acting as a current source is derived rigorously from the underlying microscopic Hamiltonian quantum mechanics. The external systems are treated in the singular coupling limit. The use of this limit is explicitly justified via an interpretation of the singular coupling limit in terms of the relative magnitudes of system, reservoir, and coupling energies. The qualitative behavior of the macroscopic dynamical equations is shown to depend sensitively and crucially on the interaction between the wires and the superconductors and on the size of the wires: the dc Josephson effect only happens when one lets Cooper pairs be driven into the junction by collective (i.e., small) reservoirs.     

Equipartition and rate of energy exchanges in a model of a radiant cavity

Results of calculations on a model of a radiant cavity, performed in order to explore the relation between stochasticity and geometrical structure of phase space, are presented. The rate of energy exchanges, as indicator of stochasticity, is found to be quite effective. Furthermore, a trend to equipartition for such a quantity is observed at increasing energy, and this implies an increasing rigidity of high harmonic modes also in the stochastic regime of motion. Such a feature may be correlated to the shape of the spectrum which characterizes the radiant cavity with respect to nonlinear chains.     

Phase space density representations in fluid dynamics

Phase space density representations of inviscid fluid dynamics were recently discussed by Abarbanel and Rouhi. Here it is shown that such representations may be simply derived and interpreted by means of the Liouville equation corresponding to the dynamical system of ordinary differential equations that describes fluid particle trajectories. The Hamiltonian and Poisson bracket for the phase space density then emerge as immediate consequences of the corresponding structure of the dynamics. For barotropic fluids, this approach leads by direct construction to the formulation presented by Abarbanel and Rouhi. Extensions of this formulation to inhomogeneous incompressible fluids and to fluids in which the state equation involves an additional transported scalar variable are constructed by augmenting the single-particle dynamics and phase space to include the relevant additional variable.