Central bank swaps have flourished since the 2008 financial crisis and the intertwining swap lines have formed a typically complex network,in which bilateral swap relationships have been deeply embedded.This paper con...Central bank swaps have flourished since the 2008 financial crisis and the intertwining swap lines have formed a typically complex network,in which bilateral swap relationships have been deeply embedded.This paper constructs a global swap network of central banks and then utilises network indices to measure the network positions and resources of swap central banks.From the perspective of the global swap network,it employs the Spatial Durbin Model to empirically estimate both direct and indirect effects of swap positions on foreign reserves and then further explores the applicability of these effects.The findings confirm a negative impact of network positions on foreign reserves.Besides,swaps can significantly substitute for foreign reserves of relevant banks by backup rescue and demonstration mechanisms.The fact that spatial spillover effects are much larger than direct effects justifies the necessity to assess swap performance from a spatial perspective.Applicability tests show that the substitution effect is larger in less developed countries and those with lower foreign exchange stability and financial openness.Theconclusions,haveimportant policy implications for the construction of a global financial safety net and the coordination of counter-measures to cope with crises.展开更多
作物长势和田间水分预测对于农业精准管理至关重要。为准确模拟宁夏玉米产量,利用2019-2020年田间观测数据,整合SWAP(soil-water-atmosphere-plant)模型和迭代集成平滑算法(iterative ensemble smoother,IES)构建了适用于宁夏干旱地区...作物长势和田间水分预测对于农业精准管理至关重要。为准确模拟宁夏玉米产量,利用2019-2020年田间观测数据,整合SWAP(soil-water-atmosphere-plant)模型和迭代集成平滑算法(iterative ensemble smoother,IES)构建了适用于宁夏干旱地区玉米的SWAP-IES作物同化模型。比较了同化叶面积指数(leaf area index,LAI)、土壤含水率(soil water content,SW)及其组合对宁夏干旱地区玉米种植区土壤含水率模拟和产量估算的影响。研究结果表明,当同时同化LAI和SW数据时,土壤含水率模拟的决定系数(R2)显著提升,从初始时的-0.07增加到0.71。这表明,将LAI和SW数据同时纳入模型显著增强了模型预测土壤含水率的准确性。而同时同化LAI和SW相比仅同化LAI或SW能更好的模拟土壤含水率,这表明2个观测变量之间并不是孤立的,二者的耦合能更好地提升模型的模拟精度。同时同化LAI和SW时估产精度最高,RMSE降低到914.113 kg/hm^(2),显著低于其他情景。说明所构建的SWAP-IES玉米同化模型,在同时同化LAI和SW的情况下,可以准确模拟土壤含水率变化过程和玉米产量,为干旱地区农田灌溉优化和玉米估产提供参考。展开更多
With the integration of wind power,photovoltaic power,gas turbine,and energy storage,the novel battery charg-ing and swapping station(NBCSS)possesses significant opera-tional flexibility,which can aid in the service r...With the integration of wind power,photovoltaic power,gas turbine,and energy storage,the novel battery charg-ing and swapping station(NBCSS)possesses significant opera-tional flexibility,which can aid in the service restoration of dis-tribution system(DS)during power outages caused by extreme events.This paper presents an integrated optimization model for DS restoration that considers NBCSS,repair crews,and net-work reconfigurations simultaneously.The objective of this model is to maximize the restored load while minimizing gener-ation costs.To address the uncertainties associated with renew-able energies,a two-stage stochastic optimization framework is employed.Additionally,copula theory is also applied to capture the correlation between the output of adjacent renewable ener-gies.The conditional value-at-risk(CVaR)measure is further in-corporated into the objective function to account for risk aver-sion.Subsequently,the proposed optimization model is trans-formed into a mixed-integer linear programming(MILP)prob-lem.This transformation allows for tractable solutions using commercial solvers such as Gurobi.Finally,case studies are conducted on the modified IEEE 33-bus and 69-bus DSs.The results illustrate that the proposed method not only restores a greater load but also effectively mitigates uncertainty risks.展开更多
The effects of stochastic volatility,jump clustering,and regime switching are considered when pricing variance swaps.This study established a two-stage procedure that simplifies the derivation by first isolating the r...The effects of stochastic volatility,jump clustering,and regime switching are considered when pricing variance swaps.This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources.Based on this,a novel probabilistic approach was employed,leading to pricing formulas with time-dependent and regime-switching parameters.The formulated solutions were easy to implement and differed from most existing results of variance swap pricing,where Fourier inversion or fast Fourier transform must be performed to obtain the final results,since they are completely analytical without involving integrations.The numerical results indicate that jump clustering and regime switching have a significant influence on variance swap prices.展开更多
基金funded by the Humanities and Social Science Fund of the Ministry of Education of the People's Republic of China[Grant No.20YJA790042].
文摘Central bank swaps have flourished since the 2008 financial crisis and the intertwining swap lines have formed a typically complex network,in which bilateral swap relationships have been deeply embedded.This paper constructs a global swap network of central banks and then utilises network indices to measure the network positions and resources of swap central banks.From the perspective of the global swap network,it employs the Spatial Durbin Model to empirically estimate both direct and indirect effects of swap positions on foreign reserves and then further explores the applicability of these effects.The findings confirm a negative impact of network positions on foreign reserves.Besides,swaps can significantly substitute for foreign reserves of relevant banks by backup rescue and demonstration mechanisms.The fact that spatial spillover effects are much larger than direct effects justifies the necessity to assess swap performance from a spatial perspective.Applicability tests show that the substitution effect is larger in less developed countries and those with lower foreign exchange stability and financial openness.Theconclusions,haveimportant policy implications for the construction of a global financial safety net and the coordination of counter-measures to cope with crises.
文摘作物长势和田间水分预测对于农业精准管理至关重要。为准确模拟宁夏玉米产量,利用2019-2020年田间观测数据,整合SWAP(soil-water-atmosphere-plant)模型和迭代集成平滑算法(iterative ensemble smoother,IES)构建了适用于宁夏干旱地区玉米的SWAP-IES作物同化模型。比较了同化叶面积指数(leaf area index,LAI)、土壤含水率(soil water content,SW)及其组合对宁夏干旱地区玉米种植区土壤含水率模拟和产量估算的影响。研究结果表明,当同时同化LAI和SW数据时,土壤含水率模拟的决定系数(R2)显著提升,从初始时的-0.07增加到0.71。这表明,将LAI和SW数据同时纳入模型显著增强了模型预测土壤含水率的准确性。而同时同化LAI和SW相比仅同化LAI或SW能更好的模拟土壤含水率,这表明2个观测变量之间并不是孤立的,二者的耦合能更好地提升模型的模拟精度。同时同化LAI和SW时估产精度最高,RMSE降低到914.113 kg/hm^(2),显著低于其他情景。说明所构建的SWAP-IES玉米同化模型,在同时同化LAI和SW的情况下,可以准确模拟土壤含水率变化过程和玉米产量,为干旱地区农田灌溉优化和玉米估产提供参考。
基金This work was funded by the National Natural Science Foundation of China(No.51936003).
文摘With the integration of wind power,photovoltaic power,gas turbine,and energy storage,the novel battery charg-ing and swapping station(NBCSS)possesses significant opera-tional flexibility,which can aid in the service restoration of dis-tribution system(DS)during power outages caused by extreme events.This paper presents an integrated optimization model for DS restoration that considers NBCSS,repair crews,and net-work reconfigurations simultaneously.The objective of this model is to maximize the restored load while minimizing gener-ation costs.To address the uncertainties associated with renew-able energies,a two-stage stochastic optimization framework is employed.Additionally,copula theory is also applied to capture the correlation between the output of adjacent renewable ener-gies.The conditional value-at-risk(CVaR)measure is further in-corporated into the objective function to account for risk aver-sion.Subsequently,the proposed optimization model is trans-formed into a mixed-integer linear programming(MILP)prob-lem.This transformation allows for tractable solutions using commercial solvers such as Gurobi.Finally,case studies are conducted on the modified IEEE 33-bus and 69-bus DSs.The results illustrate that the proposed method not only restores a greater load but also effectively mitigates uncertainty risks.
基金supported by the National Natural Science Foundation of China(Nos.12101554,12301614),the Fundamental Research Funds for Zhejiang Provincial Universities(No.GB202103001)Zhejiang Provincial Natural Science Foundation of China(No.LQ22A010010)Ministry of Educational Social Science Foundation of China(No.21YJC880050).
文摘The effects of stochastic volatility,jump clustering,and regime switching are considered when pricing variance swaps.This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other stochastic sources.Based on this,a novel probabilistic approach was employed,leading to pricing formulas with time-dependent and regime-switching parameters.The formulated solutions were easy to implement and differed from most existing results of variance swap pricing,where Fourier inversion or fast Fourier transform must be performed to obtain the final results,since they are completely analytical without involving integrations.The numerical results indicate that jump clustering and regime switching have a significant influence on variance swap prices.
基金This work was supported by the National Science Foundation of China under Grant(No.10574001)the Program of the Education Department of Anhui Province(2004kj029)+1 种基金the Talent Foundation of Anhui Universitythe Youth Program of Fu Yang Normal College under Grant(No.2005LQ03)and(No.2005LQ04)
