Electricity futures prices: time-varying sensitivity to fundamentals
نویسندگان
چکیده
منابع مشابه
Integrated Scheduling and Control of an Air Separation Unit Subject to Time-Varying Electricity Prices
A novel framework for making plant scheduling decisions while considering the plant process dynamics is presented in this thesis. A model of an air separation unit built to supply nitrogen gas and subject to time-varying electricity prices was used to illustrate this framework. The model includes a cryogenic distillation column with an integrated reboiler/condenser, a multi-stream heat exchange...
متن کاملTime-varying Long-run Mean of Commodity Prices and the Modeling of Futures Term Structures
The exploitation of the mean-reversion of commodity prices is important for inventory management, ination forecasting and contingent claim pricing. Bessembinder, Coughenour, Seguin and Smoller (1995) document the mean-reversion of commodity spot prices using futures term structure data; however, mean-reversion to a constant level is rejected in nearly all studies using historical spot price ti...
متن کاملFundamentals of Time-Varying Communication Channels
Wireless communication systems, i.e., systems transmitting information via electromagnetic (radio) or acoustic (sound) waves, have become ubiquitous. In many of these systems, the transmitter or the receiver is mobile. Even if both link ends are static, scatterers — i.e., objects that reflect, scatter, or diffract the propagating waves — may move with significant velocities. These situations gi...
متن کاملModelling Electricity Prices: A Time Change Approach
To capture mean reversion and sharp seasonal spikes observed in electricity prices, this paper develops a new stochastic model for electricity spot prices by time changing the Jump CoxIngersoll-Ross (JCIR) process with a random clock that is a composite of a Gamma subordinator and a deterministic clock with seasonal activity rate. The time-changed JCIR process is a timeinhomogeneous Markov semi...
متن کاملCSEM WP 143R The Short-Run Effects of Time-Varying Prices in Competitive Electricity Markets
We analyze the efficiency, distributional, and environmental effects of real-time pricing (RTP) adoption in the short run. Consistent with theory, our simulations of the PJM electricity market show that RTP adoption improves efficiency and compresses the distributions of loads and prices. Adoption increases average load but decreases operating profits with the largest decrease for oil-fired gen...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Energy Markets
سال: 2015
ISSN: 1756-3607
DOI: 10.21314/jem.2015.136