In this paper, we introduce a model for the pricing of German intraday cap/floor futures, introduced by the EEX in 2015. We give a thorough overview of the German intraday market and in particular ...introduce the ID3 price index, which is the underlying for intraday cap/floor futures. To price these derivatives, we propose a Hull-White model from interest rate theory with seasonality from futures prices. We apply our theoretical results to market data and conduct an empirical analysis involving the initial fit and empirical distribution of intraday cap futures prices.
•Theoretical and empirical analysis of intraday cap/floor futures•Based on the spread between day-ahead and ID3 prices•Including week futures information and a Gaussian Ornstein-Uhlenbeck process•Out-of-sample goodness-of-fit assessment
The class of arithmetic factor models is flexible enough to model all stylized facts occurring in electricity markets, including negative prices, while still yielding tractable derivative prices. In ...this paper we conduct a thorough review of the requirements and possibilities of factor models. We compare different seasonality functions and study their power to deseasonalise day-ahead spot prices from the EPEX Germany/Austria market. Furthermore, we introduce an alternative method to estimate mean reversion speed based on ARMA time series and a method to evaluate the distributional fit of the model to realised market prices, which we apply to two non-Gaussian estimated models.
•Stylized facts of power prices for markets with volatile renewable infeed•Empirical study of the EPEX Germany/Austria day-ahead spot prices•Comparison of seasonality functions and quantification of deseasonalisation power•Model calibration using the relation between ARMA time series and factor models•Out-of-sample goodness-of-fit assessment for a one- and a two-factor model
We present an improved analysis of the final data set from the QUaD experiment. Using an improved technique to remove ground contamination, we double the effective sky area and hence increase the ...precision of our cosmic microwave background (CMB) power spectrum measurements by ~30% versus that previously reported. In addition, we have improved our modeling of the instrument beams and have reduced our absolute calibration uncertainty from 5% to 3.5% in temperature. The robustness of our results is confirmed through extensive jackknife tests, and by way of the agreement that we find between our two fully independent analysis pipelines. For the standard six-parameter Delta *LCDM model, the addition of QUaD data marginally improves the constraints on a number of cosmological parameters over those obtained from the WMAP experiment alone. The impact of QUaD data is significantly greater for a model extended to include either a running in the scalar spectral index, or a possible tensor component, or both. Adding both the QUaD data and the results from the Arcminute Cosmology Bolometer Array Receiver experiment, the uncertainty in the spectral index running is reduced by ~25% compared to WMAP alone, while the upper limit on the tensor-to-scalar ratio is reduced from r < 0.48 to r < 0.33 (95% c.l.). This is the strongest limit on tensors to date from the CMB alone. We also use our polarization measurements to place constraints on parity-violating interactions to the surface of last scattering, constraining the energy scale of Lorentz violating interactions to <1.5 X 10-43 GeV (68% c.l.). Finally, we place a robust upper limit on the strength of the lensing B-mode signal. Assuming a single flat band power between = 200 and = 2000, we constrain the amplitude of B-modes to be <0.57 Delta *mK2 (95% c.l.).
We constrain parity-violating interactions to the surface of last scattering using spectra from the QUaD experiment's second and third seasons of observations by searching for a possible systematic ...rotation of the polarization directions of cosmic microwave background photons. We measure the rotation angle due to such a possible "cosmological birefringence" to be 0.55 degrees +/-0.82 degrees (random) +/-0.5 degrees (systematic) using QUaD's 100 and 150 GHz temperature-curl and gradient-curl spectra over the spectra over the multipole range 200<l<2000, consistent with null, and constrain Lorentz-violating interactions to <2 x 10;{-43} GeV (68% confidence limit). This is the best constraint to date on electrodynamic parity violation on cosmological scales.
We describe the QUaD experiment, a millimeter-wavelength polarimeter designed to observe the cosmic microwave background (CMB) from a site at the South Pole. The experiment comprises a 2.64 m ...Cassegrain telescope equipped with a cryogenically cooled receiver containing an array of 62 polarization-sensitive bolometers. The focal plane contains pixels at two different frequency bands, 100 GHz and 150 GHz, with angular resolutions of 5' and 35, respectively. The high angular resolution allows observation of CMB temperature and polarization anisotropies over a wide range of scales. The instrument commenced operation in early 2005 and collected science data during three successive Austral winter seasons of observation.
We report results from the second and third seasons of observation with the QUaD experiment. Angular power spectra of the cosmic microwave background are derived for both temperature and polarization ...at both 100 GHz and 150 GHz, and as cross-frequency spectra. All spectra are subjected to an extensive set of jackknife tests to probe for possible systematic contamination. For the implemented data cuts and processing technique such contamination is undetectable. We analyze the difference map formed between the 100 and 150 GHz bands and find no evidence of foreground contamination in polarization. The spectra are then combined to form a single set of results which are shown to be consistent with the prevailing LCDM model. The sensitivity of the polarization results is considerably better than that of any previous experiment-for the first time multiple acoustic peaks are detected in the E-mode power spectrum at high significance.
QUaD is a bolometric CMB polarimeter sited at the South Pole, operating at frequencies of 100 and 150 GHz. In this paper we report preliminary results from the first season of operation (austral ...winter 2005). All six CMB power spectra are presented derived as cross spectra between the 100 and 150 GHz maps using 67 days of observation in a low foreground region of approximately 60 deg super(2). These data are a small fraction of the data acquired to date. The measured spectra are consistent with the ACDM cosmological model. We perform jackknife tests that indicate that the observed signal has negligible contamination from instrumental systematics. In addition, by using a frequency jackknife we find no evidence for foreground contamination.
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