Modelling Prices In Competitive Electricity Markets
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Author |
: Derek W. Bunn |
Publisher |
: John Wiley & Sons |
Total Pages |
: 368 |
Release |
: 2004-04-02 |
ISBN-10 |
: UCSC:32106015982231 |
ISBN-13 |
: |
Rating |
: 4/5 (31 Downloads) |
Synopsis Modelling Prices in Competitive Electricity Markets by : Derek W. Bunn
Electricity markets are structurally different to other commodities, and the real-time dynamic balancing of the electricity network involves many external factors. Because of this, it is not a simple matter to transfer conventional models of financial time series analysis to wholesale electricity prices. The rationale for this compilation of chapters from international authors is, therefore, to provide econometric analysis of wholesale power markets around the world, to give greater understanding of their particular characteristics, and to assess the applicability of various methods of price modelling. Researchers and professionals in this sector will find the book an invaluable guide to the most important state-of-the-art modelling techniques which are converging to define the special approaches necessary for unravelling and forecasting the behaviour of electricity prices. It is a high-quality synthesis of the work of financial engineering, industrial economics and power systems analysis, as they relate to the behaviour of competitive electricity markets.
Author |
: Athanasios Dagoumas |
Publisher |
: Academic Press |
Total Pages |
: 444 |
Release |
: 2021-01-30 |
ISBN-10 |
: 9780128218396 |
ISBN-13 |
: 0128218398 |
Rating |
: 4/5 (96 Downloads) |
Synopsis Mathematical Modelling of Contemporary Electricity Markets by : Athanasios Dagoumas
Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. - Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets - Familiarizes energy experts with the quantitative skills needed in competitive electricity markets - Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets
Author |
: Chris Harris |
Publisher |
: John Wiley & Sons |
Total Pages |
: 550 |
Release |
: 2006-05-18 |
ISBN-10 |
: 9780470011584 |
ISBN-13 |
: 0470011580 |
Rating |
: 4/5 (84 Downloads) |
Synopsis Electricity Markets by : Chris Harris
Understand the electricity market, its policies and how they drive prices, emissions, and security, with this comprehensive cross-disciplinary book. Author Chris Harris includes technical and quantitative arguments so you can confidently construct pricing models based on the various fluctuations that occur. Whether you?re a trader or an analyst, this book will enable you to make informed decisions about this volatile industry.
Author |
: Ahmad Faruqui |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 463 |
Release |
: 2012-12-06 |
ISBN-10 |
: 9781461545293 |
ISBN-13 |
: 1461545293 |
Rating |
: 4/5 (93 Downloads) |
Synopsis Pricing in Competitive Electricity Markets by : Ahmad Faruqui
Electricity markets are being deregulated or face new regulatory frameworks. In such changing markets, new pricing strategies will need to consider such factors as cost, value of service and pricing by objective. Pricing in Competitive Electricity Markets introduces a new family of pricing concepts, methodologies, models, tools and databases focused on market-based pricing. This book reviews important theoretical pricing issues as well as practical pricing applications for changing electricity markets.
Author |
: Petter L. Skantze |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 220 |
Release |
: 2012-12-06 |
ISBN-10 |
: 9781461517016 |
ISBN-13 |
: 146151701X |
Rating |
: 4/5 (16 Downloads) |
Synopsis Valuation, Hedging and Speculation in Competitive Electricity Markets by : Petter L. Skantze
The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.
Author |
: Fereidoon Sioshansi |
Publisher |
: Elsevier |
Total Pages |
: 625 |
Release |
: 2011-10-10 |
ISBN-10 |
: 9780080557717 |
ISBN-13 |
: 0080557716 |
Rating |
: 4/5 (17 Downloads) |
Synopsis Competitive Electricity Markets by : Fereidoon Sioshansi
After 2 decades, policymakers and regulators agree that electricity market reform, liberalization and privatization remains partly art. Moreover, the international experience suggests that in nearly all cases, initial market reform leads to unintended consequences or introduces new risks, which must be addressed in subsequent “reform of the reforms. Competitive Electricity Markets describes the evolution of the market reform process including a number of challenging issues such as infrastructure investment, resource adequacy, capacity and demand participation, market power, distributed generation, renewable energy and global climate change. Sequel to Electricity Market Reform: An International Perspective in the same series published in 2006 Contributions from renowned scholars and practitioners on significant electricity market design and implementation issues Covers timely topics on the evolution of electricity market liberalization worldwide
Author |
: Fred Espen Benth |
Publisher |
: World Scientific |
Total Pages |
: 352 |
Release |
: 2008 |
ISBN-10 |
: 9789812812315 |
ISBN-13 |
: 9812812318 |
Rating |
: 4/5 (15 Downloads) |
Synopsis Stochastic Modelling of Electricity and Related Markets by : Fred Espen Benth
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. OrnsteinOCoUhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice. Sample Chapter(s). A Survey of Electricity and Related Markets (331 KB). Contents: A Survey of Electricity and Related Markets; Stochastic Analysis for Independent Increment Processes; Stochastic Models for the Energy Spot Price Dynamics; Pricing of Forwards and Swaps Based on the Spot Price; Applications to the Gas Markets; Modeling Forwards and Swaps Using the HeathOCoJarrowOCoMorton Approach; Constructing Smooth Forward Curves in Electricity Markets; Modeling of the Electricity Futures Market; Pricing and Hedging of Energy Options; Analysis of Temperature Derivatives. Readership: Researchers in energy and commodity markets, and mathematical finance.
Author |
: Rafal Weron |
Publisher |
: John Wiley & Sons |
Total Pages |
: 192 |
Release |
: 2007-01-30 |
ISBN-10 |
: 9780470059999 |
ISBN-13 |
: 0470059990 |
Rating |
: 4/5 (99 Downloads) |
Synopsis Modeling and Forecasting Electricity Loads and Prices by : Rafal Weron
This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes—electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.
Author |
: Zhendong Xia |
Publisher |
: |
Total Pages |
: |
Release |
: 2005 |
ISBN-10 |
: OCLC:63161538 |
ISBN-13 |
: |
Rating |
: 4/5 (38 Downloads) |
Synopsis Pricing and Risk Management in Competitive Electricity Markets by : Zhendong Xia
Electricity prices in competitive markets are extremely volatile with salient features such as mean-reversion and jumps and spikes. Modeling electricity spot prices is essential for asset and project valuation as well as risk management. I introduce the mean-reversion feature into a classical variance gamma model to model the electricity price dynamics as a mean-reverting variance gamma (MRVG) process. Derivative pricing formulae are derived through transform analysis and model parameters are estimated by the generalized method of moments and the Markov Chain Monte Carlo method. A real option approach is proposed to value a tolling contract incorporating operational characteristics of the generation asset and contractual constraints. Two simulation-based methods are proposed to solve the valuation problem. The effects of different electricity price assumptions on the valuation of tolling contracts are examined. Based on the valuation model, I also propose a heuristic scheme for hedging tolling contracts and demonstrate the validity of the hedging scheme through numerical examples. Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized ARCH (GARCH) models are widely used to model price volatility in financial markets. Considering a GARCH model with heavy-tailed innovations for electricity price, I characterize the limiting distribution of a Value-at-Risk (VaR) estimator of the conditional electricity price distribution, which corresponds to the extremal quantile of the conditional distribution of the GARCH price process. I propose two methods, the normal approximation method and the data tilting method, for constructing confidence intervals for the conditional VaR estimator and assess their accuracies by simulation studies. The proposed approach is applied to electricity spot price data taken from the Pennsylvania-New Jersey-Maryland market to obtain confidence intervals of the empirically estimated Value-at-Risk of electricity prices. Several directions that deserve further investigation are pointed out for future research.
Author |
: United States. Energy Information Administration |
Publisher |
: |
Total Pages |
: 140 |
Release |
: 1997 |
ISBN-10 |
: NYPL:33433076472228 |
ISBN-13 |
: |
Rating |
: 4/5 (28 Downloads) |
Synopsis Electricity Prices in a Competitive Environment by : United States. Energy Information Administration