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International Journal of Global Energy Issues (6 papers in press)
Crude oil futures tail risk measurement based on extreme value theory by Chunjiao Gao Abstract: In this paper, we use three common tail risk measurements of Value-at-Risk (VaR), Expected Shortfall (ES) and Spectral Risk Measure (SRM) to calculate the tail risk of crude oil futures based on extreme value theory. Specifically, we propose a method to determine the optimal threshold in the extreme value theory, and further to calculate the values of VaR, ES and SRM based on Peak Over Threshold (POT) model. Empirical results show that the extreme value POT model can be used to characterise the tail risk of the price return under extreme fluctuations in Brent crude oil futures market. Moreover, the risk of VaR, ES and SRM in the Brent crude oil futures market based on extreme value theory is higher than that under the normal distribution assumption, which indicates that the traditional normal distribution assumption underestimates the tail risk. Owing the flexibility and the accuracy, we suggest that investors use ERM to measure the extreme risk of crude oil futures. Keywords: spectral risk measurement; hyperbolic risk spectral function; extreme value theory; tail risk. DOI: 10.1504/IJGEI.2022.10049545
Do oil prices predict the dynamics of equity market? Fresh evidence from DCC, ADCC and Go-GARCH models by Fatma KHALIFA, Abderrazak DHAOUI, Mohamed Sahbi NAKHLI, Saad BOUROUIS, Saloua BENAMMOU Abstract: This paper investigates the dynamic condition correlations between oil price, industrial production, short-term interest rates and equity market in South Korea using three types of GARCH models. The results from the DCC and ADCC GARCH models show strong evidence of significant dynamic conditional correlations suggesting higher long-term persistence of volatility than short-term persistence. The findings suggest, particularly, that oil prices have positive dynamic conditional correlations to equity markets, while the dynamic conditional correlations between equity market and short-term interest rates are significantly negative. These results have considerable economic implications. Firstly, oil price as a risk factor increases the equity market volatility. It also represents an implicit risk factor that cannot be diversified and which requires therefore to be hedged or priced. Secondly, the oil acts as an inflationary factor leading central banks to adjust their short-term interest rates in order to smooth the inflationary effect on both real economy and financial activity. Keywords: oil price; equity market; industrial production; short-term interest rates; dynamic conditional correlations.
Intelligent control of Heavy Media Separation by Wenbao Lv, Chuanzhen Wang Abstract: The shortcomings of the density control system for heavy media suspension in the current coal preparation plant were introduced. The intelligent control system of heavy media separation suitable for different coal quality characteristics in LinHuan Coal Preparation Plant was proposed. The system was mainly composed of the following parts: relationship between ash and mineral content, automatic identification of raw coal production source information, automatic adjustment of online ash analyzer parameters, closed loop control system based on clean coal ash content. After intelligent control of heavy media separation was applied. The processed raw coal production source information and ratio could be automatically identified by the system, and the parameters of the online ash meter could be automatically adjusted. The clean coal ash content after heavy media separating was relatively stable, and the product qualification rate was improved. Keywords: raw coal; clean coal; separation; heavy media; ash content.
Optimisation of natural gas supply chain considering pipeline transportation cost reformation in China by Jun Zhou, Daixin Zhang, Guangchuan Liang, Guancheng Wu, Nengjia He Abstract: Natural gas plays an important role in the transition to renewable energy. The China national pipeline network company was established in 2019 and the Natural Gas Supply Chain (NGSC) is now in the transition stage. In addition, the reform of the Pipeline Transportation Cost Mode (PTCM) would have a greater impact on the natural gas market and benefit the marketers. This paper proposed an NGSC linear programming model to maximise the marketers profit under two PTCM during the supply period. The CPLEX solver is used to find out the optimal gas distribution. Then, a long-distance pipeline in China is selected to verify the accuracy of this model. The price of different gas types, the gas volume of different market users, as well as the marketer's gas distribution are studied. And finally comes the sensitivity analysis of peak shaving gas price and extra gas price and greenhouse gas emission costs. The results show that the reform of the PTCM has a great impact on the profit of the marketers and the lucrative boundary is achieved. By fully understanding the profit map, thereby guiding the management of the marketer. Keywords: natural gas supply chain; natural gas marketer; pipeline transportation cost; optimisation. DOI: 10.1504/IJGEI.2022.10049388
Hedging behaviour in China's crude oil futures market by Dongwei Shi Abstract: Hedging behaviour of hedgers in China's crude oil futures market has naturally become a hot topic in academia and industry. This paper examines the behaviour of hedgers in Chinas crude oil futures market from the perspective of risk premium. The topic selection of this paper is helpful to reflect the real behaviour pattern of Chinas crude oil futures hedging, and also provides a more reasonable trading strategy for real traders and a practical basis for exchanges to regulate the market. The results facilitate reasonable trading strategies for hedgers and practical basis for the regulator in China's crude oil futures market. Keywords: Chinas crude oil futures market; risk premium; selective hedging; classic hedging. DOI: 10.1504/IJGEI.2022.10050442
Special Issue on: Management and Technology for Energy Efficiency Development
Numerical study on the effect of collector height on the performance of solar water heater collector by Ammar Ali, Abinash Mahapatro, Binayak Pattanayak, Adel Abdalrahman, Fadi Ali Abstract: The current research aims to perform a numerical study on the effect of the collector height on the feasibility and effectiveness of a flat plate solar water heater (SWH) integrated with baffles. Numerical simulation is carried out using Ansys Workbench (CFD fluent), where the domain of study consists of water as fluid and metal collector (aluminium) as solid. Transverse baffles channel the water flow in the collector to ensure a proper flow distribution across the collector. Two height variations (H) viz. 3 cm and 5 cm are considered for the current investigation. The results show that reducing the height of the solar water heater leads to an increase in the speed of water flow in the collector. Nevertheless, the temperature of the water is increased by reducing the collector height due to the reduction of total volume and mass of water available in the collector. Moreover, the higher outlet temperature of the water corresponds to the lower collector height. Thus, the height of the solar water heater has a significant economic effect correlated to the performance and cost of the collector. The authors thereby emphasise that the height and the associated outlet temperature are reference parameters to evaluate the feasibility and effectiveness of the solar water collector. Keywords: CFD; solar water heater; flat plate collector; collector height; baffles. DOI: 10.1504/IJGEI.2022.10050567