A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data

In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum–Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape parameter λ to the conditional median dynamics and an asymmetric response to shocks; this is denoted by GBS-AACD. We then carry out a Monte Carlo simulation study to evaluate the performance of the GBS-ACD models. Finally, an illustration of the proposed models is made by using New York stock exchange (NYSE) transaction data.

Nonstationary autoregressive conditional duration models

Recently, there has been a growing interest in studying the autoregressive conditional duration (ACD) models, originally introduced by (Engle, R. F., and J. R. Russell. 1998. “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data.

Tidal Current Turbine Wake and Park Layout in Transient Environments

Due to orbital velocities of the waves, the characteristics of tidal current turbines change over time. Therefore the induction factor and subsequent the wake is time dependent. Within the present research this time dependency is investigated by using Computational Fluid Dynamics (CFD) with Virtual Free Surface (VFS) and Actuator Disc (ACD) models. Based on this setup several different wave and current scenarios are simulated and analyzed with respect to the transient velocities in the turbine wake. Special respect is taken to the velocity undulations radiated by the changing apparent velocities in the rotor plane. These undulations move with the wake of the tidal current turbines and increase the wave loads on 2nd row turbines in a park. This paper presents an efficient method for simulation of wave and park interactions and investigates dynamic turbine wakes under a large variety of parameters. Based on these simulations a suggestion for a tidal park design with respect to a balance of fatigue loads and power output is concluded.