Stochastic Behaviour of the Electricity Bid Stack: from Fundamental Drivers to Power Prices
نویسندگان
چکیده
We develop a fundamental model for spot electricity prices, based on stochastic processes for underlying factors (fuel prices, power demand and generation capacity availability), as well as a parametric form for the bid stack function which maps these price drivers to the power price. Using observed bid data, we find high correlations between the movements of bids and the corresponding fuel prices. We fit the model to the PJM and New England markets in the US, and discuss its performance, in terms of capturing key properties of simulated price trajectories, as well as comparing implied forward prices with observed data.
منابع مشابه
Bid-based Stochastic Model for Electricity Prices: The Impact of Fundamental Drivers on Market Dynamics
متن کامل
Electricity price modeling and asset valuation: a multi-fuel structural approach
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity spot prices. The stack structure allows for a range of generator efficiencies per fuel type and for the possibility of future changes in the merit order of ...
متن کاملA method to calculate the acceptance probability and risk of rejection of bid prices on the electricity market
After restructuring, Iran’s electricity market has become one of the most competitive markets in which generation companies offer their proposed price on several price benches. So, the decisions in this market can use statistical concepts. In this paper, a conceptual model is presented according to simultaneous analysis of probabilistic distribution for historical data of market clearing price ...
متن کاملA Structural Model for Electricity Prices
In this paper we propose a new and highly tractable structural approach to spot price modeling and derivative pricing in electricity markets, thus extending the growing branch of literature which describes power price dynamics via its primary supply and demand factors. Using a bid stack approach, our model translates the demand for power and the prices of fuels, used in the power generation pro...
متن کاملNash equilibrium strategy in the deregulated power industry and comparing its lost welfare with Iran wholesale electricity market
With the increasing use of different types of auctions in market designing, modeling of participants’ behaviors to evaluate the market structure is one of the main discussions in the studies related to the deregulated power industries. In this article, we apply an approach of the optimal bidding behavior to the Iran wholesale electricity market as a restructured electric power industry and mode...
متن کامل