A non-parametric structural hybrid modeling approach for electricity prices
نویسندگان
چکیده
We develop a stochastic model of zonal/regional electricity prices, designed to reflect information in fuel forward curves and aggregated capacity and load as well as zonal or regional price spreads. We use a nonparametric model of the supply stack that captures heat rates and fuel prices for all generators in the market operator territory, combined with an adjustment term to approximate congestion and other zone-specific behavior. The approach requires minimal calibration effort, is readily adaptable to changing market conditions and regulations, and retains sufficient tractability for the purpose of forward price calibration. The model is illustrated for the spot and forward electricity prices of the PS zone in the PJM market, and the set of time-dependent risk premiums are inferred and analyzed.
منابع مشابه
Optimal Scheduling of Battery Energy Storage System in Distribution Network Considering Uncertainties using hybrid Monte Carlo- Genetic Approach
This paper proposes a novel hybrid Monte Carlo simulation-genetic approach (MCS-GA) for optimal operation of a distribution network considering renewable energy generation systems (REGSs) and battery energy storage systems (BESSs). The aim of this paper is to design an optimal charging /discharging scheduling of BESSs so that the total daily profit of distribution company (Disco) can be maximiz...
متن کاملDay-ahead Price Forecasting of Electricity Markets by a New Hybrid Forecast Method
Energy price forecast is the key information for generating companies to prepare their bids in the electricity markets. However, this forecasting problem is complex due to nonlinear, non-stationary, and time variant behavior of electricity price time series. Accordingly, in this paper a new strategy is proposed for electricity price forecast. The forecast strategy includes Wavelet Transform (WT...
متن کاملA Survey of Commodity Markets and Structural Models for Electricity Prices
The goal of this survey is to review the major idiosyncrasies of the commodity markets and the methods which have been proposed to handle them in spot and forward price models. We devote special attention to the most idiosyncratic of all: electricity markets. Following a discussion of traded instruments, market features, historical perspectives, recent developments and various modeling approach...
متن کاملElectrical Energy Storage on the Hybrid Grid of Renewable Energy System Using Fuzzy Controller Optimization Algorithm
The main risks of arising from the using fossil fuels can be referred to environmental pollution, the effects of greenhouse gases, climate change and acid rain. For this reason, efficient use of energy in economic development has always been considered as an important goal of sustainable development. In this study, the effects of time-varying electricity prices in the energy storage components ...
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 کامل