منابع مشابه
Managing electricity market price risk
This paper introduces an application of financial risk management methods to the deregulated electricity markets. A framework for the Monte Carlo performance simulation of a power portfolio is presented. The optimal portfolio selection problem is addressed and a numerical method is implemented. Numerical results of simulation and optimization are presented in the Nordic electricity market. The ...
متن کاملUnderstanding Price Volatility in Electricity Markets
This paper illustrates notions of volatility associated with power systems spot prices for electricity. The paper demonstrates a frequency-domain method useful to separate out periodic price variations from random variations. It then uses actual observed price data to estimate parameters such as volatility and the coefficient of mean reversion associated with the random variation of prices. It ...
متن کاملMarket Power and Price Volatility in Restructured Markets for Electricity
The restructured market for electricity in the UK has experienced a systematic pattern of price spikes associated with the use of market power by the two dominant generators. Partly in response to this problem, the share of capacity owned by any individual generator after restructuring was limited in Victoria, Australia. As a result, a much more competitive market resulted with prices substanti...
متن کاملElectricity Market Price Volatility: The Importance of Ramping Costs
Although electricity market price behavior generally has been well studied in the last decade, the literature is sparse when discussing the importance of generator ramping costs to price volatility. This paper contributes to the literature by first formalizing the intuitive link between ramping costs and price volatility in a multi-period competitive equilibrium. The fundamental result of the m...
متن کاملElectricity market price volatility: The case of Ontario
Price volatility analysis has been reported in the literature for most competitive electricity markets around the world. However, no studies have been published yet that quantify price volatility in the Ontario electricity market, which is the focus of the present paper. In this paper, a comparative volatility analysis is conducted for the Ontario market and its neighboring electricity markets....
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ژورنال
عنوان ژورنال: Water e-Journal
سال: 2020
ISSN: 2206-1991
DOI: 10.21139/wej.2020.007