Modeling and Estimating Volatility of Day-Ahead Electricity Prices
نویسندگان
چکیده
منابع مشابه
Modeling day–ahead electricity prices
Introducing a production–based approach, we take into account different attitudes and liabilities of market participants to discuss the equilibrium day–ahead prices on electricity. Conditions ensuring the existence of the equilibrium are given and price distribution is considered. We include a discussion of reasons for high price volatility.
متن کاملModeling and Detecting Bidding Anomalies in Day-ahead Electricity Markets
Virtual bids were introduced in U.S. wholesale electricity markets to exploit arbitrage opportunities arising from expected price differences between day-ahead and real-time energy markets. These financial instruments have interactions with other elements of the electricity market design. For instance, virtual bids could affect day-ahead market-clearing prices so as to enhance the value of Fina...
متن کاملAgent-Based Modeling of Day-Ahead Real Time Pricing in a Pool-Based Electricity Market
In this paper, an agent-based structure of the electricity retail market is presented based on which day-ahead (DA) energy procurement for customers is modeled. Here, we focus on operation of only one Retail Energy Provider (REP) agent who purchases energy from DA pool-based wholesale market and offers DA real time tariffs to a group of its customers. As a model of customer response to the offe...
متن کاملImpacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets
In this paper, the impacts of premium bounds of put option contracts on the operation of put option and day-ahead electricity markets are studied. To this end, first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented. Interaction between put option and day-ahead markets, uncertainty in fuel price, impact of premium bounds, and elasticity of con...
متن کاملEstimating the Volatility of Spot Prices in Restructured Electricity Markets and the Implications for Option Values
The contingent claims valuation of physical assets and financial derivatives depends critically on the specification and estimation of the stochastic process that describes the price path. Accurate valuation of claims based on competitive electricity prices has proved problematic, as electricity price data are not well represented by traditional commodity price models of Brownian motion. Observ...
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: Mathematics
سال: 2021
ISSN: 2227-7390
DOI: 10.3390/math9070750