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Record W3088514589 · doi:10.11575/prism/38226

Applications of Mean-reverting Processes in Alberta Energy Markets

2020· dissertation· en· W3088514589 on OpenAlexaboutno aff
Weiliang Lu

Bibliographic record

VenueOpen MIND · 2020
Typedissertation
Languageen
FieldEconomics, Econometrics and Finance
TopicCapital Investment and Risk Analysis
Canadian institutionsnot available
Fundersnot available
KeywordsMean reversionEconomicsEconometrics

Abstract

fetched live from OpenAlex

This thesis introduce fuel-switching price, which designed for encouraging power plant companies to switch from coal to natural gas when they produce electricity and successfully applied on European market, to Albertan Market. Moreover, we consider a energy-switching price which consider power switch from natural gas to wind. We modeled these two prices using five mean reverting processes including Regime-switching processes, Lévy-driven Ornstein-Uhlenbeck process and Inhomogeneous Geometric Brownian Motion, and estimate them based on multiple procedures such as Maximum likelihood estimation and Expectation-Maximization algorithm. At last, this thesis prove previous result applied on Albertan Market that the jump modeling techniques is needed when modeling fuel-switching data. In addition, it not only give promising conclusion on the necessity of introducing Regime-switching models to the fuel-switching data, but also show that Regime-switching model is better fitted to the data.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesInsufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Not applicable · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.942
Threshold uncertainty score0.999

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.001
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0020.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.028
GPT teacher head0.260
Teacher spread0.232 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

Study designNot applicable
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations1
Published2020
Admission routes1
Has abstractyes

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