Modeling Long-Term Electricity Forward 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 Electricity Prices with Regime Switching Models
We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market prices. 1 Electricity Spot Prices: Markets and Models The deregulation of the power industry has give...
متن کاملELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis
We conduct an empirical analysis of electricity forward prices using a high-frequency data set of hourly spot and day-ahead forward prices. We find that there are significant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors such as the volatility of unexpected changes in prices and demand as well as ...
متن کاملElectricity pool prices: long-term uncertainty characterization for futures-market trading and risk management
Organized trading for electricity includes both the pool and the futures market. Pool prices are volatile while the prices of the futures-market products are comparatively more stable. Thus, futures-market products constitute hedging instruments to reduce the risk suffered by any market agent. Electricity market agents engage in both pool and futures market transactions seeking to maximize thei...
متن کاملMarket Design, Bidding Rules, and Long Memory in Electricity Prices
In uniform price, sealed-bid, day-ahead electricity auctions, the market price is set at the intersection between aggregate demand and supply functions constructed by a market operator. Each day, just one agent the marginal generator owns the market-clearing plant. Moreover, day-ahead auctions are embedded in multi-segment systems, wherein diverse protocols coexist and change over time. This co...
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: IEEE Transactions on Power Systems
سال: 2009
ISSN: 0885-8950,1558-0679
DOI: 10.1109/tpwrs.2009.2030285