Average Drawdown Research Articles

Groundwater well rehabilitation using hydropuls method: a case study in wonosobo groundwater well

Abstract Hydropuls is one of the groundwater well rehabilitation methods that involves pulsing highly compressed nitrogen gas through screen pipes at an adjustable interval. Nitrogen gas was chosen because of its colorless, odorless, and inert properties. The aquifer lithology of this groundwater well is sand, gravel and breccias (member of Sundoro Volcanics; Qsu) with silty clay as the impermeable layer that makes the aquifer type is confined aquifer. The following methods were used in this well rehabilitation: step tests before, borehole camera before, hydropuls, airlifting, borehole camera after and step test after well rehabilitation. Thin section analysis shows that sediment mostly consists of lithic fragments and plagioclase. The results of the polished section analysis reveal that most of the metallic minerals are magnetite and hematite. The XRF results show that the sediment mostly consists of SiO2, Al2O3 and Fe2O3. According to the XRD results, the sediment is mostly albite. The interpretation of sediment analysis shows that the clogging is caused by iron precipitation. The result is an average increase in specific capacity of 1.43 l/s/m (a 168% increase over the initial conditions) and an average drawdown improvement of 2.56 m (a 114% improvement compared to pre-hydropuls conditions). Borehole camera imaging confirmed that the precipitation on the screen was removed and the screen is in good condition.

Portfolio Optimization Based on Artificial Neural Network and GARCH-EVT-Copula Models

Forecasting volatility is an essential task in the financial market, especially in portfolio optimization. To improve the prediction accuracy of the volatilities of assets we use a hybrid ANN-EGARCH model then combining with extreme value theory and Copula models to perform out-of-sample forecasting returns for six indices in Asia stock markets then we simulate one-day-ahead returns of these indices. We use EGARCH model to capture the leverage of return shocks due to COVID-19. Based on ANN-EGARCH-EVT-Copula models, we solve our portfolio optimization consisting of these six indices with different copula models. Using different performance measures to evaluate the efficiency of the models we show that under the Sharpe ratio and Sortino ratio the Gumbel copula gives better performance whereas with Average Drawdown and Max Drawdown measures, the Gaussian copula model is a best model for optimizing the portfolio.

Calibration and validation of models to estimate the hydraulic parameters of a confined aquifer in a tropical region

This article deals with the calibration and validation of models for water yield from a confined aquifer in a tropical region. From 2015 to 2019, 20 variable flow pumping tests were carried out. The average pumping flows varied between 0.07 and 17.4 L/s; the average drawdown of the water levels, between 5.99 and 50.94 m; the values of transmissivity and storage coefficient were lower than 77 m 2 /day and 6 x 10 -5, for probability of non-exceedance of 85%. In the calibration stage, the mean values of the coefficients of the proposed models a and b were in the order of 10 1 and 10 3. The determination coefficients obtained in the statistical adjustment of the proposed models are satisfactory, they varied between 76 and 85%. The validation stage revealed that the models need to be tested with a larger number of data.

Impact of Cropping Pattern and Climatic Parameters in Lower Chenab Canal System—Case Study from Punjab Pakistan

In Pakistan, groundwater resources are depleting at an alarming rate due to intensive pumping, shifting of cropping patterns, and climate change vulnerability. The present study is aimed at investigating groundwater stress in the command area of Lower Chenab Canal (LCC) and associated branch canals. Groundwater stress is determined by considering the cropping patterns, surface water availability, groundwater levels, climatic variation, and crop water requirement (CWR) in the LCC command area. The climatic data is obtained from the Pakistan Meteorological Department (PMD) from 1990 to 2020. The records of temporal variation in cropping patterns are obtained from the Crop Reporting Service (CRS), Directorate of Agriculture, Lahore for the 1995–2020 period and classified according to Rabi season (November to April) and Kharif season (May to October). The LCC surface water flows data and groundwater levels are collected from the Punjab Irrigation Department (PID) Lahore from 2003 to 2018 and from 1995 to 2016, respectively. The CWR is estimated using the Cropwat 8.0 model and groundwater levels are estimated using the Inverse Distance Weighted (IDW) tool of ArcGIS software. It has been determined that Faisalabad, Sheikhupura, and Toba Tek Singh are highly groundwater stress cities having an average drawdown rate of 0.58 m/year. The surface water availability is also decreased from 7.75 to 4.81 billion cubic meters (Bm3) for the Kharif season whilst 4.17 to 2.63 Bm3 for the Rabi season. This study concluded that due to severe conditions in highly stressed areas, policy planners, decision-makers, and stakeholders should sincerely take some steps for maintaining groundwater levels either by capacity building workshops for the farmers or limiting the number of tubewells.

Deconstruction of the Green Bubble during COVID-19 International Evidence

Bubbles are usually chaotic but can be predictable, provided their formation matches the log periodic power law (LPPL) with unique stylized facts. We investigated Green Bubble behaviour in the stock prices of a selection of stocks during the COVID-19 pandemic, namely, those with the highest market capitalization from a basket of North American and European green energy or clean tech companies and the S&P Global Clean Energy Index. Moreover, the biggest Exchange Traded Fund (TAN) by market capitalization was also considered. The examined period is from 31 December 2019 to 11 October 2021, during which we detected 35 Green Bubbles. All of these followed the LPPL signature while calibrated through the 2013 reformulated LPPL model. In addition, the average drawdown emerged as four times that of the regular S&P-500 stock index (108% vs. 27%) under stressed conditions, such as the COVID-19 pandemic (stylized fact). Finally, the aftermaths of Green Bubbles, unlike regular bubbles, are not destructive, as these bubbles increase economic activity and infrastructure spending and are hence beneficial for holistic growth (described as Social Bubble Hypothesis). We document that there are benefits in adapting greener and more sustainable business models in energy production. Green and sustainable finance offers benefits and opportunities for stock exchanges, especially for energy stocks. As a result, many businesses are focusing on sustainability and adopting an eco-friendly business model, which helps the environment, helps sustainability and attracts investors.

Modeling radial groundwater flow in fractured media using fracture continuum approach

Two modeling approaches are commonly utilized for simulating flow in fractured formations: the discrete fracture network (DFN) approach and the stochastic continuum (SC) approach. Although the DFN approach is the most accurate, it has computational and memory constraints. The SC approach ensures fast processing but results in system over-homogenization. The fracture continuum (FC) approach arises as an integrated technique that incorporates the merits of both approaches. The main objective of this research is to develop a computationally efficient technique based on the FC approach to simulate the radial groundwater flow towards wells through two-dimensional fractured media under both steady and transient conditions. A stochastic generation of the DFN is performed in a Monte Carlo framework taking into account wells positioning. The DFN flow system is solved by applying the mass balance equation at fracture intersections. Fracture segments are mapped onto grids of 1 × 1 m and 5 × 5 m resolution as conductivity and specific storage cells. The grid flow problem is solved via MODFLOW. Flow and head discrepancies between the proposed technique and the DFN approach (reference solution) are assessed in steady and transient conditions. A grid-conductivity correction is needed to preserve the DFN flow in the presence of wells. A porosity estimation is proposed to identify the grid-pressure transient response. Promising flow and head results are observed for fine and coarse grid models. Some of the studied cases show large discrepancies in the maximum drawdown obtained on the coarse grid model. Accordingly, a new technique is proposed to handle such discrepancies and is found efficient in transient simulations (e.g., 11% and 26.12% discrepancies are minimized to − 0.93% and − 1.03% for two studied cases). The adopted mapping technique is found efficient when the interest is to estimate the average drawdown over an aquifer as correlation coefficients of 0.89 and 0.97 are found for the coarse and fine grid models, respectively when compared to the DFN model. However, the technique has limitations in estimating the drawdown at locations of wells.

Combined ensemble multi-class SVM and fuzzy NSGA-II for trend forecasting and trading in Forex markets

Foreign exchange (Forex) market is the biggest currency exchange market in the world. Existing trading systems in Forex markets based on technical analysis use crisp technical indicators to provide Buy/Sell signals to the trader, only when the indicator value crosses a given threshold level. This strict and noise-sensitive condition can be replaced through uncertainty handling of indicators using fuzzy numbers to generate Buy/Sell signals with fuzzy memberships functions. To achieve this purpose, this paper presents a combined technique based on ensemble multi-class support vector machine (EmcSVM) and fuzzy NSGA-II for efficient trend classification and trading in Forex markets. At first, EmcSVM is used to forecast and classify the future market trend into uptrend, sideway, and downtrend. Then, NSGA-II is applied to optimize the hyperparameters of the proposed fuzzy trading system comprising multiple AND-OR Buy/Sell technical rules for uptrend/downtrend markets. The hyperparameters include indicator selection within each rule, importance weights of the different rules, and final decision thresholds for Buy/Sell models, while the objective is to maximize average return on investment (ROI) and minimize average draw-down of all transactions. The proposed method has been successfully developed and tested on real data from the Forex market for EUR/USD currency pair in a 6-year timeframe from 2014 to 2019. Obtained results show that the proposed method outperforms the existing crisp trading systems, with 80.8% precision, 72.4% recall, 94.1% annual ROI, and 0.58% draw down.

Sediment transport, turbidity, and dissolved oxygen responses to annual streambed drawdowns for downstream fish passage in a flood control reservoir

Sediment transport, turbidity, and dissolved oxygen were evaluated during six consecutive water years (2013–2018) of drawdowns of a flood control reservoir in the upper Willamette Valley, Oregon, USA. The drawdowns were conducted to allow volitional passage of endangered juvenile chinook salmon through the dam's regulating outlets by lowering the reservoir elevation to a point where the historical streambed was exposed and transported water and sediment through the reservoir dam. Sediment loads during the drawdown were highest in the first year of monitoring, with a computed value of 40,200 metric tons over a 5-day drawdown, followed by 5 years of lower sediment loads and lower sediment transport rates, suggesting that much of the stored sediment within the reservoir thalweg was transported out of the reservoir in the early years of the consecutive drawdowns. Suspended sediment concentrations (SSC) computed using turbidity and streamflow data resulted in maximum SSC at the onset of the drawdowns, with the highest computed values occurring during the water year 2017 drawdown at 17,500 mg/L (turbidity = 2,990 FNU), and average drawdown SSC values ranging from 654 to 3,950 mg/L for the six years of monitoring. Computed SSC were on the lower range of concentrations that could be harmful to out-migrating juvenile salmon published in other studies. High amounts of particulate organic matter and sand-sized material in drawdown SSC samples affected relations between turbidity and SSC, requiring the use of multiple surrogate regression models over short time frames. Dissolved oxygen minimum values were recorded in two of the monitoring years, with a minimum value of 0.71 and 3.4 mg/L recorded at the onset of the drawdowns in water years 2016 and 2018, respectively. Dissolved oxygen values below 4 mg/L lasted for 1 h, suggesting a rapidly expressed chemical oxygen demand. The response of suspended sediment loads and SSC highlight the site-specific nature of reservoir drawdowns, and the need for evaluation of expected sediment responses for drawdowns being considered at other locations.

Evaluation of Groundwater Potential and Safe Yield of Heterogeneous Unconsolidated Aquifers in Chiang Mai Basin, Northern Thailand

Chiang Mai basin has an escalating population growth resulting in high demand for water consumption. Lack of surface water supply in most parts of the basin gives rise to the increasing use of groundwater which leads to a continuous decline in groundwater level in the past decades. This study is the first long-term groundwater monitoring and modeling study that aims at developing a transient, regional groundwater flow model of heterogeneous unconsolidated aquifers based on the MODFLOW program. Long-term groundwater monitoring data from 49 piezometers were used in model calibration and validation. The pilot points technique was used to account for the spatial variability of hydrogeologic parameters of heterogeneous aquifers. The simulation results and statistics showed that most sensitive and significant model parameters were spatially variable hydraulic conductivities and recharge rates. The Chiang Mai basin’s unconsolidated aquifers do not have high potential. The water table and/or potentiometric surface in the southeast and southwest areas of Chiang Mai city were continuously decreasing with no sign of recovery indicating critical groundwater condition and careful management must be considered. Safe yield calculation, based on a 2-m average drawdown threshold, suggested that unconsolidated aquifers of the Chiang Mai basin can sustain overall abstraction rates up to 51.2 Mm3/y or approximately 214% of the current extraction rates.

How market intervention can prevent bubbles and crashes

Using an agent-based model (ABM) with fundamentalists and chartists, prone to develop bubbles and crashes, we demonstrate the usefulness of direct market intervention by a policy maker, documenting strong performance in preventing bubbles and drawdowns and augmenting significantly the welfare of all investors. In our ABM, the policy maker diagnoses burgeoning bubbles by forming an expectation of the future return of the risky asset in the form of an exponential moving average of the excess return over the long-term return. The policy maker invests in the risky asset when he detects a small deviation of the return from the long-term growth rate in order to construct an inventory that he draws upon later to fight future market exuberance. Then, when this deviation between the current growth rate and the long-term growth rate exceeds the policy maker's tolerance level, he starts to sell the risky asset that he has accumulated earlier, in a countercyclical fight against future price increase. We find that the policy maker succeeds in preventing bubbles and crashes in our ABM. In simulations without bubbles, the policy maker behaves similarly to the fundamentalists and his impact is negligible, following the principle of Primum non nocere. In simulations where bubbles form spontaneously as a result of the noise traders's strategies, the policy maker's intervention reduces the average drawdown by a factor of two when his market impact becomes significant. We find that the policy maker intervention improves all analysed metrics of market returns, including volatility, skewness, kurtosis and VaR, making the market less turbulent and more stable. The combination of fewer bubbles and crashes, lower market risks and the stability of the long-term growth rate make the policy maker intervention to improve the welfare of all investors as measured by their risk-adjusted return, increasing the Sharpe ratios from approximately 0.3 to 0.5 for noise traders, from 0.6 to 0.8 for fundamentalists as the market impact of the policy maker increases to the level of the fundamentalists. We also test the sensitivity of these results to variations of the key parameters of the strategy of the policy maker and find very robust outcomes. In particular, the conclusions are unchanged even under very large miscalibrated long-term expected returns of the risky asset.

The double-edged role of social learning: Flash crash and lower total volatility

• We study how agents’ social learning behavior influences market volatility and how the flash crash emerges. • In the usual case, social learning plays a role in reducing total price volatilities and stabilizing the market. • In some excitable regimes, social learning instead acts as the critical factor contributing to a flash crash. • The lower volatility associated with social learning in the stable regime is crucial to give birth to a flash crash. • Many robust simulation experiments have been done to confirm our results. In this paper, we study how agents’ social learning behavior influences market volatility and how the flash crash emerges. We build a model of order-driven market, in which agents use a combination of four components to form their return anticipations: a social learning component, a chartist component, a fundamentalist component and a noise induced component. By numerical simulations, we find that social learning plays a double-edged role in market volatilities. On the one hand, social learning plays a role in reducing total price volatilities and stabilizing the market. On the other hand, in some excitable regimes, social learning instead acts as the critical factor contributing to a flash crash. More interestingly, the lower volatility associated with social learning in the stable regime is crucial to give birth to a flash crash. In addition, we do some robust analyses on the roles of social learning by running the model under many different parameter settings. With the increase of the social learning innate parameter, both the average draw-down and draw-up, the average spread and the average gap show a downward trend. Meanwhile, the tail exponents for the draw-downs and draw-ups also show a downward trend, confirming that social learning plays a double-edged role. The chartist belief can stabilize the market when the social influence is not so trusted, while the chartist belief transfers to contribute to the market instability when the social influence is sufficiently trusted. The fundamentalist belief shows quite opposite impacts in respect to the chartist belief. Finally, we summarize typical return and volatility patterns before a flash crash, which will give some inspirations to regulators and investors.

A Refined Measure of Conditional Maximum Drawdown

Risks associated to maximum drawdown have been recently formalized as the tail mean of the maximum drawdown distribution, called Conditional Expected Drawdown (CED). In fact, the special case of average maximum drawdown is widely used in the fund management industry also in association to performance management. It lacks relevant information on worst case scenarios over a fixed horizon. Formulating a refined version of CED, we are able to add this piece of information to the risk measurement of drawdown, and then get a risk measure for processes that preserves all the good properties of CED but following more prudential regulatory and management assessments, also in term of marginal risk contribution attributed to factors. As a special application, we consider the conditioning information given by the all time minimum of cumulative returns.

Portfolio Construction Techniques Applied to Traditional Multi Asset Portfolios

In this paper we describe the history of different portfolio construction approaches from a simple Risk Parity approach and its extension Equal Risk Contribution over Markovitz mean-variance to conditional Value-at-Risk and others like minimum Value-at-Risk or Average Drawdown. We implement the portfolio construction methodologies in Python and estimate a set of risk and performance metrics. We apply the approaches on a traditional multi asset portfolio and empirically show that a particular approach dominates the others in most metrics.

Relative Value Hedge Funds: A Behavioral Modeling of Hedge Fund Risk and Return Factors

ABSTRACTThis study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative Value hedge fund strategies. Second, the authors introduce 3 families of behavioral factors, the D family, the L family, and the R family. In contrast to previous hedge fund studies, these new factors assume investors use historical and behavioral data such as average drawdown, run up, and liquidity from each hedge fund category to assess the risk. Third, additional macroeconomic variables, such as the CRB, Copper, and Oil are found to be statistically significant in some strategies. This economic and historical information, when included with asset pricing models, is more powerful in explaining hedge fund returns than previous models. Fourth, unlike the previous literature, these generated models are corrected for time-series assumptions violations and heteroskedasticity. To more fully understand the timing of risks and returns associated with investing in relative value hedge funds, pension funds and other investors should incorporate more economic factors and behavioral factors.

Study of the technical performance of localized irrigation and its environmental and agroeconomic impact in the first areas of collective reconversion at the irrigated perimeter of the Tadla - Beni Moussa perimeter of the west – Morocco

The evaluation of the performance of the localized irrigation system involved a selected sample of farmers to reflect the diversity of the study area. The hydraulic diagnosis revealed the absence of apparent malfunctioning anomalies of the installations studied (Coefficient of Distribution Uniformity ≥ 90% with average application efficiencies and overall of 90.54 and 86.83% respectively). In terms of the combined use of surface and underground irrigation water this new technique has saved about 30% compared to conventional irrigation. The agro-economic evaluation revealed that the crops practiced have high value-added and optimize the value of irrigation water. The environmental impact has resulted in an average drawdown of the static level of groundwater of 2.59 m due mainly to the new irrigation method introduced, which limited the percolation of water to the aquifer. The drip-to-drip transition resulted in an increase in salinity relative compared to the reference situation (+ 0.59 %, or 0.01 mS / cm) but to different degrees depending on the prospecting soil horizon. The practice of fertilization remains the major and probable cause of soil salinization of aquifers. The effect of soluble salts on the soil was investigated through the risks associated with sodium, which showed that the soil permeability problem does not arise at this time (SAR ≤ 15). The residual sodium carbonate remains less than 1.25 meq / l thus not causing soil dispersion.

Re-evaluation of Shallow Floodplain Aquifers Groundwater Potentials and Storage of Sokoto Basin, Northwestern Nigeria

Floodplains of Sokoto Basin with covering about 280,000 hectares of land was assessed for its shallow groundwater potentials. Data on pumping test of tube wells, logs and drilled tube wells were utilized for this study. Storativity was determined from known lithology of tube wells. Results of this study gives the ranges and averages of Hydraulic parameters for the shallow alluvial aquifers of hydraulic conductivity, transmissivity, specific capacity and storativity to be 6.66 - 1316 m/day and 214,044 m/day, 40 – 3950 m2/day and 799.5 m2/day, 12.25 – 5763.6 m3/day and 1,031m3/day and 1×10-5 - 6×10-3 and 5×10-4 respectively, While the Yields range of 0.3- 7 l/s was obtained with 90% of tube wells evaluated having yields of 2.2 l/s and above. Lithologic Aquiferous units vary from medium sands, sands, coarse sands to gravel with thickness range of between 0.3 to 15 m. Computed hydraulic conductivity indicates the aquifer materials to be gravels and alluvial sands of high permeability. Specific capacity values indicated the wells to be of high productivity when compared with standard values, Transmissivity average revealed the area to be of high groundwater transmission potentials. Overall assessment of the yields of tube wells studied indicated that 90% of the wells have yields that are above the minimum required for irrigation; the low average drawdown of 0.41 m recorded is an indication that the aquifers have high efficiency and high performance as regards storage and transmission of water. Recharge of the alluvial aquifers is mainly through surface river flow and precipitation, climate change have recently threaten the recharge potential s owing to the drying up of some of these streams and rivers at the peak of dry season as well reduction in rainfall. Statistical analysis has shown a good linear relationship between Specific capacity with yield, Transmissivity and hydraulic conductivity while Transmissivity is linearly related with yield and Conductivity. Generally the study revealed that the Sokoto basin Fadama land to be of high groundwater potentials, with storage coefficient values of confined and high yielding aquifers with capabilities of sustaining withdrawals for long period without recharge from external sources. Standard procedures are highly recommended to reduce or avoid the case of drilling abortive or low yielding wells.

Age pensioner decumulation: Responses to incentives, uncertainty and family need

Effective design and regulation of retirement benefits require accurate understanding of how the elderly decumulate. We analyse the income, assets and decumulation patterns of a longitudinal panel of 10,000 Australian age pensioners. On average, age pensioners preserve financial and residential wealth and leave substantial bequests. There is, however, considerable heterogeneity in decumulation patterns. Younger households generally run down financial wealth, while older households maintain their assets or save. Means-testing accelerates decumulation, with average drawdown rates 3% higher for pensioners subject to the income test relative to full pensioners and 9% higher for those subject to the asset test relative to full pensioners. Loss of a partner is linked to large falls in assets. The theoretical, empirical, and practical implications of these findings are discussed.

Evaluation of the potential impact of Grand Ethiopian Renaissance Dam and pumping scenarios on groundwater level in the Nile Delta aquifer

The main objective of this study is to evaluate the potential impact of Grand Ethiopian Renaissance Dam (GERD) and pumping scenarios on groundwater level by a three-dimensional groundwater model of the Nile Delta using MODFLOW software. The Nile Delta has highly intensive irrigation canal networks that share yearly about 35.5 km3 of water. In this study, an integrated three-dimensional groundwater model is built considering the actual condition of the irrigation canals and their recharges of the Nile Delta aquifer. The model was calibrated for estimating the vertical and hydraulic conductivity. The model was run for three scenarios: (1) reduction of water depth in canals, (2) increasing pumping discharge from the aquifer and (3) combination between the first and second scenarios. Results reveal that the effect of increasing the pumping discharge on groundwater level in the Nile Delta is more significant than decreasing the water depth of the canals network due to the fact of the existence of the upper clay layer which reduces the amount of water penetrating and reaching the groundwater in the aquifer. The last scenario presents the worst case as the average drawdown reached 1.26 m, 1.7 m and 1.35 m in the western, central and eastern parts of the Nile Delta respectively. The study results should be taken in account for studying the saltwater intrusion and climate change impacts on the Nile Delta region.

RETRACTED ARTICLE: Traditional beta, average drawdown beta and market risk premium

RETRACTED ARTICLE: Traditional beta, average drawdown beta and market risk premium

Retraction Note to: Traditional beta, average drawdown beta and market risk premium

Retraction Note to: Traditional beta, average drawdown beta and market risk premium