Electricity price forecasting is becoming more important in everyday business of power utilities. Good forecasting models can increase effectiveness of producers and buyers playing roles in electricity market. Price is also a very important element in investment planning process. This paper presents a forecasting technique to model day-ahead spot price using well known ARIMA model to analyze an...

This paper contributes to the price discovery literature by establishing, for first time, role of commodity spot market auction data. Using New Zealand whole milk powder as an example, we show that auction-level data explain dynamics above and beyond determinants previously identified being relevant futures formation. In particular, rises with volume dairy products traded at auction, signaling ...

This paper examines the forward pricing efficiency of the local crude palm oil (CPO) futures market. In an efficient market, the relevant signal to be used by -the producers, traders and processors is simply the futures price. The forward pricing efficiency is measured in terms of the forecasting ability of Malaysian crude palm oil futures price on physical price. The relative predictive power ...

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...

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 ...