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Aug 3

Revisiting urban heat indices in Switzerland using low-cost measurement networks

Urban populations are increasingly exposed to extreme heat events such as heatwaves, which can be exacerbated in cities due to the urban heat island (UHI) effect. With the aim of developing adaptation strategies, recent years have seen a growing interest in deploying high-resolution measurement networks using low-cost devices (LCDs), which enable the evaluation of intra-urban temperature distribution and its impacts at an unprecedented spatial resolution. However, the reliability of LCD measurements has been called into question, especially regarding potential overheating due to inadequate radiation shielding. In this study, we develop a statistical method to correct temperature biases based on short-wave radiation using a generalized additive model (GAM) and then apply it to LCD measurements in the urban climate networks of the cities of Bern, Lausanne, Neuchatel and Zurich (Switzerland). To that end, we first calibrate the correction procedure to the LCD models used in each city using an intercomparison field study, in which the LCD models are collocated next to a professional automated weather station (AWS) operated by MeteoSwiss in the rural surroundings of Bern. Then, we evaluate how these corrections can influence two climate indices, namely the number of tropical nights and the number of heat warnings issued in each city according to MeteoSwiss heat warning system. The findings suggest that the current AWS underestimate the heat warnings, whereas some LCD models likely overestimate them due to radiative errors. Nevertheless, uncorrected LCD measurements still provide a more reliable estimate of urban temperatures than AWS located outside urban settings. The insights can guide selection of LCD models for new monitoring networks and support the application of model-specific radiative bias corrections to existing LCDs, enabling more accurate assessments of heat and its impacts.

  • 2 authors
·
Jun 8

Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices

This paper proposes a novel approach to hedging portfolios of risky assets when financial markets are affected by financial turmoils. We introduce a completely novel approach to diversification activity not on the level of single assets but on the level of ensemble algorithmic investment strategies (AIS) built based on the prices of these assets. We employ four types of diverse theoretical models (LSTM - Long Short-Term Memory, ARIMA-GARCH - Autoregressive Integrated Moving Average - Generalized Autoregressive Conditional Heteroskedasticity, momentum, and contrarian) to generate price forecasts, which are then used to produce investment signals in single and complex AIS. In such a way, we are able to verify the diversification potential of different types of investment strategies consisting of various assets (energy commodities, precious metals, cryptocurrencies, or soft commodities) in hedging ensemble AIS built for equity indices (S&P 500 index). Empirical data used in this study cover the period between 2004 and 2022. Our main conclusion is that LSTM-based strategies outperform the other models and that the best diversifier for the AIS built for the S&P 500 index is the AIS built for Bitcoin. Finally, we test the LSTM model for a higher frequency of data (1 hour). We conclude that it outperforms the results obtained using daily data.

  • 3 authors
·
Sep 27, 2023