Marginal Cost of Energy Volatility in the Brazilian Interconnected Power System

From 2018 to 2022, on average, 70% of the Brazilian effective electric generation was produced by hydropower, 10% by wind power, and 20% by thermal power plants. Over the last five years, Brazil suffered from a series of severe droughts. As a result, hydropower generation was reduced, but demand growth was also declined as results of the COVID-19 pandemic and economic recession. From 2012 to 2022, the Brazilian reservoir system operated with, on average, only 40% of the active storage, but storage recovered to normal levels in the first three months of 2022. Despite large capacity of storage reservoirs, high volatility of the marginal cost of energy was observed in recent years. In this paper, we used two optimization models, NEWAVE and HIDROTERM for our study. These two models were previously developed for mid-range planning of the operation of the Brazilian interconnected power system. We used these two models to optimize the operation and compared the results with observed operational records for the period of 2018-2022. NEWAVE is a stochastic dual dynamic programming model which aggregates the system into four subsystems and 12 equivalent reservoirs. HIDROTERM is a nonlinear programming model that considers each of the 167 individual hydropower plants of the system. The main purposes of the comparison are to assess cooperation opportunities with the use of both models and better understand the impacts of increasing uncertainties, seasonality of inflows and winds, demand forecasts, decisions about storage in reservoirs, and thermal production on energy prices. © World Environmental and Water Resources Congress 2023.All rights reserved

An Optimization of Home Delivery Services in a Stochastic Modeling with Self and Compulsory Vacation Interruption

This study presents and discusses the home delivery services in stochastic queuing-inventory modeling (SQIM). This system consists of two servers: one server manages the inventory sales processes, and the other server provides home delivery services at the doorstep of customers. Based on the Bernoulli schedule, a customer served by the first server may opt for a home delivery service. If any customer chooses the home delivery option, he hands over the purchased item for home delivery and leaves the system immediately. Otherwise, he carries the purchased item and leaves the system. When the delivery server returns to the system after the last home delivery service and finds that there are no items available for delivery, he goes on vacation. Such a vacation of a delivery server is to be interrupted compulsorily or voluntarily, according to the prefixed threshold level. The replenishment process is executed due to the (s,Q) reordering policy. The unique solution of the stationary probability vector to the finite generator matrix is found using recursive substitution and the normalizing condition. The necessary and sufficient system performance measures and the expected total cost of the system are computed. The optimal expected total cost is obtained numerically for all the parameters and shown graphically. The influence of parameters on the expected number of items that need to be delivered, the probability that the delivery server is busy, and the expected rate at which the delivery server's self and compulsory vacation interruptions are also discussed.

LSTM-based Forecasting using Policy Stringency and Time-varying Parameters of the SIR Model for COVID-19

Accurate forecasting of the number of infections is an important task that can allow health care decision makers to allocate medical resources efficiently during a pandemic. Two approaches have been combined, a stochastic model by Vega et al. for modelling infectious disease and Long Short-Term Memory using COVID-19 data and government's policies. In the proposed model, LSTM functions as a nonlinear adaptive filter to modify the outputs of the SIR model for more accurate forecasts one to four weeks in the future. Our model outperforms most models among the CDC models using the United States data. We also applied the model on the Canadian data from two provinces, Saskatchewan and Ontario where it performs with a low mean absolute percentage error. © 2023 IEEE.

The Italian quick survey on the effects of the COVID-19 health emergency on businesses: Sampling strategy and data editing

During the first phase of the COVID-19 pandemic, Istat performed the quick survey "Situation and perspectives of Italian enterprises during the COVID-19 health emergency,” with the aim of assessing the economic situation and the specific actions adopted by businesses to reduce the economic impacts of the emergency. To ensure the continuity in the information flow and to analyze the temporal evolution of the observed phenomena, the survey has been repeated in three different waves. The outcomes of each wave was released just after 2 months from the launch of the survey. The present work analyses the characteristics of the sampling strategy and describes the complexity of the data editing process, in the case of a survey planned to produce estimates able to ensure an acceptable level of accuracy in the maximum timeliness. © 2023 The Authors. Applied Stochastic Models in Business and Industry published by John Wiley & Sons Ltd.

Forecasting of COVID-19 Dynamics by Agent-Based Model

The novel coronavirus pandemic has continued to spread worldwide for more than two years. The development of automated solutions to support decision-making in pandemic control is still an ongoing challenge. This study aims to develop an agent-based model of the COVID-19 epidemic process to predict its dynamics in a specific area. The model shows sufficient accuracy for decision-making by public health authorities. At the same time, the advantage of the model is that it allows taking into account the stochastic nature of the epidemic process and the heterogeneity of the studied population. At the same time, the adequacy of the model can be improved with a more detailed description of the population and external factors that can affect the dynamics of the epidemic process. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.

Dynamics and application of a generalized SIQR epidemic model with vaccination and treatment

In this paper, we propose and investigate the SIQR epidemic model with a generalized incidence rate function, a general treatment function and vaccination term. We firstly consider the existence and uniqueness of the global nonnegative solution to the deterministic model. Further, we show the locally asymptotic stability of the disease-free equilibrium and endemic equilibrium of the deterministic model, and obtain the basic reproduction number R0. Then we study the existence and uniqueness of the global positive solution to the stochastic model with any positive initial value. Meanwhile, we obtain sufficient conditions for the extinction of the disease in the stochastic epidemic model, and find that the large noise can make the disease die out exponentially. Finally, we make an empirical analysis by the COVID-19 data of Russia and Serbia. By the performance comparison of different models, it shows that the model with vaccination and treatment we proposed is better for the real situation, which is also verified by different estimation methods. Especially, that shows the recovery rate of the infected increases by 0.042 and the death rate of the recovered is 1.525 times that of normal human in Russia. Through statistical analysis, the short-term trend of epidemic transmission is predicted: under the condition of unchanged prevention and control policies, it may reach a stable endemic equilibrium state in Russia and the epidemic will eventually extinct in Serbia. © 2023 Elsevier Inc.

Regime specific spillover between Dow Jones Islamic Market World Index, Islamic gold-backed crypto currencies and the blockchain halal index

PurposeThe purpose of this paper is to explore the relationship between Dow Jones Islamic Market World Index, Islamic gold-backed cryptocurrencies and halal chain in the presence of state (regime) dynamics.Design/methodology/approachThe authors have used the Markov-switching model to identify bull and bear market regimes. Moreover, the dynamic conditional correlation, the Baba, Engle, Kraft and Kroner- generalized autoregressive conditional heteroskedasticity and the wavelet coherence models are applied to detect the presence of spillover and contagion effects.FindingsThe findings indicate various patterns of spillover between halal chain, Dow Jones Islamic Market World Index and Islamic gold-backed cryptocurrencies in high and low volatility regimes, especially during the COVID-19 pandemic. Indeed, the contagion dynamics depend on the bull or bear periods of markets.Practical implicationsThese present empirical findings are important for current and potential traders in gold-backed cryptocurrencies in that they facilitate a better understanding of this new type of assets. Indeed, halal chain is a safe haven asset that should be combined with Islamic gold-backed cryptocurrencies for better performance in portfolio optimization and hedging, mainly during the COVID-19 period.Originality/valueTo the best of the authors' knowledge, this paper is the first research on the impact of the halal chain on the Dow Jones Islamic Market World Index return, Islamic gold-backed cryptocurrencies returns in the bear and bull markets around the global crisis caused by the COVID-19 pandemic.

Covid‐19 outbreak and stocks return on the West African Economic and Monetary Union's stock market: An empirical analysis of the relationship through the event study approach

This study uses the Wilcoxon's signed ranks test to identify the effect of the Covid‐19 outbreak on the stocks returns of companies listed on the West African Economic and Monetary Union's (WAEMU) stock market by considering two event dates (January 23, 2020 and March 2, 2020). To account for the temporal volatility in the event approach, the study resort to a GARCH model. Empirical findings suggest that January 23, 2020 event (first case of death due to Covid‐19 in China) have had a minor impact on the WAEMU stock market while the event on March 2, 2020 (first case of Covid‐19 in the WAEMU) strongly affected the financial market. This negative impact is much more pronounced for the distribution sectors (−34.16%). Robustness analysis reveals that the main information leading to disruption on the market is the weekly death cases and not the confirmed cases. In addition, government anti‐Covid‐19 measures such as social distancing and governance positively affect the stock return whereas lockdown, public health measures and movement restrictions contribute to a decline in the stock's price.

Investigating volatility patterns for a cluster of developed stock markets including Austria, France, Germany and Spain by using GARCH models

The main aim of this research article is to investigate the volatility patterns for a cluster of stock markets including Austria, France, Germany and Spain by using GARCH models.All the selected stock markets are developed markets from member states of the European Union. The selected financial databases covered the sample period from January 2007 to November 2022 so as to include certain extreme events such as the global financial crisis of 2007-2008 and the COVID-19 pandemic. Our empirical findings revealed the impact of negative shocks on sample stock markets and differentiate returns from the sample period.

Analyzing airlines stock price volatility during COVID‐19 pandemic through internet search data

Recent Coronavirus pandemic has prompted many regulations which are affecting the stock market. Especially because of lockdown policies across the world, the airlines industry is suffering. We analyse the stock price movements of three major airlines companies using a new approach which leverages a measure of internet concern on different topics. In this approach, Twitter data and Google Trends are used to create a set of predictors which then leads to an appropriately modified GARCH model. In the analysis, first we show that the ongoing pandemic has an unprecedented severe effect. Then, the proposed model is used to analyse and forecast stock price volatility of the airlines companies. The findings establish that our approach can successfully use the effects of internet concern for different topics on the movement of stock price index and provide good forecasting accuracy. Model confidence set (MCS) procedure further shows that the short‐term volatility forecasts are more accurate for this method than other candidate models. Thus, it can be used to understand the stock market during a pandemic in a better way. Further, the proposed approach is attractive and flexible, and can be extended to other related problems as well.

A resilient inventory management of pharmaceutical supply chains under demand disruption

Inspired by the global supply chain disruptions caused by the COVID-19 pandemic, we study optimal procurement and inventory decisions for a pharmaceutical supply chain over a finite planning horizon. To model disruption, we assume that the demand for medical drugs is uncertain and shows spatiotemporal variability. To address demand uncertainty, we propose a two-stage optimization framework, where in the first stage, the total cost of pre-positioning drugs at distribution centers and its associated risk is minimized, while the second stage minimizes the cost of recourse decisions (e.g., reallocation, inventory management). To allow for different risk preferences, we propose to capture the risk of demand uncertainty through the expectation and worst-case measures, leading to two different models, namely (risk-neutral) stochastic programming and (risk-averse) robust optimization. We consider a finite number of scenarios to represent the demand uncertainty, and to solve the resulting models efficiently, we propose L-shaped decomposition-based algorithms. Through extensive numerical experiments, we illustrate the impact of various parameters, such as travel time, product's shelf life, and waste due to transportation and storage, on the supply chain resiliency and cost, under optimal risk-neutral and risk-averse policies. These insights can assist decision makers in making informed choices. © 2023 Elsevier Ltd

Risk Measure between Exchange Rate and Oil Price during Crises: Evidence from Oil-Importing and Oil-Exporting Countries

This study investigates the risk spillover effect between the exchange rate of importing and exporting oil countries and the oil price. The analysis is supported by the utilization of a set of double-long memories. Thereafter, a multivariate GARCH type model is adopted to analyze the dynamic conditional correlations. Moreover, the Gumbel copula is employed to define the nonlinear structure of dependence and to evaluate the optimal portfolio. The conditional Value-at-Risk (CoVaR) is adopted as a risk measure. Findings indicate a long-run dependence and asymmetry of bidirectional risk spillover among oil price and exchange rate and confirm that the risk spillover intensity is different between the former and the latter. They show that the oil price has a stronger spillover effect in the case of oil exporting countries and the lowest spillover effect in the case of oil importing countries.

Emergency medical service planning considering dynamic and stochastic demands of infected and non-infected patients during epidemics

During a large-scale epidemic, a local healthcare system can be overwhelmed by a large number of infected and non-infected patients. To serve the infected and non-infected patients well with limited medical resources, effective emergency medical service planning should be conducted before the epidemic. In this study, we propose a two-stage stochastic programming model, which integrally deploys various types of emergency healthcare facilities before an epidemic and serves infected and non-infected patients dynamically at the deployed healthcare facilities during the epidemic. With the service equity of infected patients and various practical requirements of emergency medical services being explicitly considered, our model minimizes a weighted sum of the expected operation cost and the equity cost. We develop two comparison models and conduct a case study on Chengdu, a Chinese city influenced by the COVID-19 epidemic, to show the effectiveness and benefits of our proposed model. Sensitivity analyses are conducted to generate managerial insights and suggestions. Our study not only extends the existing emergency supply planning models but also can facilitate better practices of emergency medical service planning for large-scale epidemics. © Operational Research Society 2023.

HEALTH RESOURCE ALLOCATION METHOD AT CORDON SANITAIRE FOR PANDEMIC CONTROL AND PREVENTION

The outbreak of COVID-19 and its variants has profoundly disrupted our normal life. Many local authorities enforced cordon sanitaires for the protection of sensitive areas. Travelers can only cross the cordon after being tested. This paper aims to propose a method to determine the optimal deployment of cordon sanitaires in terms of minimum queueing delay time with available health testing resources. A sequential two-stage model is formulated where the first-stage model describes transportation system equilibrium to predict traffic ows. The second-stage model, a nonlinear integer programming, optimizes health resource allocation along the cordon sanitaire. This optimization aims to minimize the system's total delay time among all entry gates. Note that a stochastic queueing model is used to represent the queueing phenomenon at each entry link. A heuristic algorithm is designed to solve the proposed two-stage model where the Method of Successive Averages (MSA) is adopted for the first-stage model, and a genetic algorithm (GA) with elite strategy is adopted for the second-stage model. An experimental study is conducted to demonstrate the effectiveness of the proposed method and algorithm. The results show that these methods can find a good heuristic solution, and it is not cost-effective for authorities to keep adding health resources after reaching a certain limit. These methods are useful for policymakers to determine the optimal deployment of health resources at cordon sanitaires for pandemic control and prevention. © 2023.

Probability Analysis of a Stochastic Non-Autonomous SIQRC Model with Inference

When an individual with confirmed or suspected COVID-19 is quarantined or isolated, the virus can linger for up to an hour in the air. We developed a mathematical model for COVID-19 by adding the point where a person becomes infectious and begins to show symptoms of COVID-19 after being exposed to an infected environment or the surrounding air. It was proven that the proposed stochastic COVID-19 model is biologically well-justifiable by showing the existence, uniqueness, and positivity of the solution. We also explored the model for a unique global solution and derived the necessary conditions for the persistence and extinction of the COVID-19 epidemic. For the persistence of the disease, we observed that Rs0>1, and it was noticed that, for Rs<1, the COVID-19 infection will tend to eliminate itself from the population. Supplementary graphs representing the solutions of the model were produced to justify the obtained results based on the analysis. This study has the potential to establish a strong theoretical basis for the understanding of infectious diseases that re-emerge frequently. Our work was also intended to provide general techniques for developing the Lyapunov functions that will help the readers explore the stationary distribution of stochastic models having perturbations of the nonlinear type in particular.

Scalar Measures of Volatility and Dependence for the Multivariate Models with Applications to Asian Financial Markets

The variance–covariance matrix is a multi-dimensional array of numbers, containing information about the individual variabilities and the pairwise linear dependence of a set of variables. However, the matrix itself is difficult to represent in a concise way, particularly in the context of multivariate autoregressive conditional heteroskedastic models. The common practice is to report the plots of k(k−1)/2 time-varying pairwise conditional covariances, where k is the number of markets (or assets) considered;thus, when k=10, there will be 45 graphs. We suggest a scalar measure of overall variabilities (and dependences) by summarizing all the elements in a variance–covariance matrix into a single quantity. The determinant of the covariance matrix Σ, called the generalized variance, can be used as a measure of overall spread of the multivariate distribution. Similarly, the positive square root of the determinant ;R;of the correlation matrix, called the scatter coefficient, will be a measure of linear independence among the random variables, while collective correlation+(1−;R;)1/2 will be an overall measure of linear dependence. In an empirical application to the six Asian market returns, these statistics perform the intended roles successfully. In addition, these are shown to be able to reveal and explain the empirical facts that cannot be uncovered by the traditional methods. In particular, we show that both the contagion and interdependence (among the national equity markets) are present and could be quantitatively measured in contrast to previous studies, which revealed only market interdependence.

Measuring carbon emissions performance of Japan's metal industry: Energy inputs, agglomeration, and the potential for green recovery reduction

This study measures the total factor carbnon dioxide (CO2) emissions performance of the metal industry, iron and steel, nonferrous metal, and metal processing industries in 39 Japanese prefectures from 2008 to 2019. The true fixed-effects panel stochastic frontier model identifies regional carbon efficiency as well as the inefficiency determinants. The main results are as follows. First, a decrease in the coal ratio and an increase in the electricity ratio in total energy consumption improves efficiency. This result suggests that electrification in the metal industry, especially conversion from blast furnaces to electric furnaces in the iron and steel industry, contributes to reducing carbon emissions. Second, industrial agglomeration improves carbon emissions performance in the metal industry. This implies that agglomeration and decarbonization policies focusing on there are more effective, rather than a uniform national policy. Third, compared to the cumulative CO2 emissions over the sample period, 49,017 × 103 tons, the cumulative CO2 mitigation potential is 29,703 × 103 tons, indicating that CO2 emissions can be reduced by 60.6% without affecting the output. Forth, to examine the green economic recovery with efficiency in Japan's metal industry after COVID-19, we present a simple scenario analysis where a k% replacement coal ratio with an electricity ratio in total energy consumption, assuming that each prefecture will achieve the maximum CO2 emission amount during the sample period. By replacing 10% of the coal ratio with the electricity ratio, CO2 emissions can be reduced by 23.0%. In the case of a 20% replacement, CO2 emissions can be reduced by 33.0%. Our results show that Japan's targets in the post-COVID-19 green recovery process should be a decrease in coal consumption, an increase in electricity, and industrial agglomeration. © 2023 Elsevier Ltd

The effects of monetary policy response to the Covid-19 crisis on dynamic connectedness across financial markets in Central and Eastern Europe

This study investigates the effects of monetary policy interventions in Central and Eastern European (CEE) economies on shifts in financial market linkages during the Covid-19-induced crisis. We explore the market reaction to both standard and non-standard (e.g., quantitative easing) monetary policy announcements by central banks in Czechia, Hungary, Poland, and Romania, and analyse the way they affected sovereign bond and stock market linkages. The analysis is further extended to include international spill-over effects. Research Design & Methods: We first quantify a set of time-varying asset correlations using asymmetric generalised DCC-GARCH models and daily data on financial asset returns. Going beyond the domestic stock-bond interdependencies, we explore cross-border connectedness between CEE economies, Germany, and the US. Next, we investigate the effects of detailed central bank announcements, as they unfolded during the Covid-19 crisis.

Volatility dynamics of the Tunisian stock market before and during the COVID‐19 outbreak: Evidence from the GARCH family models

The aim of this article is to choose the appropriate GARCH model to analyse the volatility dynamics of the Tunisian sectorial stock market indices during the COVID‐19 outbreak period. We explore the optimal conditional heteroscedasticity model with regards to goodness‐of‐fit to these sectorial indices. In particular, it proposes four models (EGARCH, FIGARCH, FIEGARCH and TGARCH) to measure asymmetric and persistence volatility. Our findings point to three interesting results. First, following the COVID‐19 outbreak, volatility is more persistent in all series. Second, the results show that building constructs materials, construction and food and beverage sector return volatilities have an insignificant asymmetric effect while consumer service, financials and distribution, industrials, basic materials and banks sector return volatilities have relatively high positive and significant asymmetric effect compared with those during the pre‐COVID‐19 period. Finally, the findings show that financial services, automobile and parts, insurance and TUNINDEX20 sectors have insignificant leverage effect. Our results can thus be useful to investors when accounting for future volatility and implementing hedging strategies under COVID‐19 crisis.

Effect of Transmission and Vaccination on Time to Dominance of Emerging Viral Strains: A Simulation-Based Study.

We studied the effect of transmissibility and vaccination on the time required for an emerging strain of an existing virus to dominate in the infected population using a simulation-based experiment. The emergent strain is assumed to be completely resistant to the available vaccine. A stochastic version of a modified SIR model for emerging viral strains was developed to simulate surveillance data for infections. The proportion of emergent viral strain infections among the infected was modeled using a logistic curve and the time to dominance (TTD) was recorded for each simulation. A factorial experiment was implemented to compare the TTD values for different transmissibility coefficients, vaccination rates, and initial vaccination coverage. We discovered a non-linear relationship between TTD and the relative transmissibility of the emergent strain for populations with low vaccination coverage. Furthermore, higher vaccination coverage and high vaccination rates in the population yielded significantly lower TTD values. Vaccinating susceptible individuals against the current strain increases the susceptible pool of the emergent virus, which leads to the emergent strain spreading faster and requiring less time to dominate the infected population.