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Author: Pascal Molina
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The thesis describes the electricity market for Austria, Germany and Switzerland in the context of liberalization of the energy markets in Europe. The thesis analyses further the price indexes of the EEX Phelix and EEX Swissix day-ahead spot prices and conducts several statistical analysis of the data series. Underlying properties of the time series are also analysed.
Author: Pascal Molina
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The thesis describes the electricity market for Austria, Germany and Switzerland in the context of liberalization of the energy markets in Europe. The thesis analyses further the price indexes of the EEX Phelix and EEX Swissix day-ahead spot prices and conducts several statistical analysis of the data series. Underlying properties of the time series are also analysed.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this thesis, we investigate the day-ahead electricity prices at the EEX. First, we qualitatively investigate the influence of various variables, particularly wind and photovoltaic, on electricity spot prices. After an initial OLS regression, we fit the residuals to a GARCH(1,1) model. Subsequently, we consider the conditional variance as given and apply a quantile regression model to the data. We show that renewable energies, in particular wind power contribute significantly to the lower and higher quantiles. We also show that gas prices have a large impact in higher quantiles. However, while our model performs well in-sample, out-of-sample forecasting does not yield conclusive results. We investigate the reasons for this change and conclude that the price dynamics change at a fast rate with the rapid growth of both solar and wind energy.
Author: Fred Espen Benth
Publisher: Springer Science & Business Media
ISBN: 1461472482
Category : Business & Economics
Languages : en
Pages : 318
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Book Description
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 113
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Book Description
The market for long-term bulk power is becoming increasingly competitive and mature. Given that many privately developed power projects have been or are being developed in the US, it is possible to begin to evaluate the performance of the market by analyzing its revealed prices. Using a consistent method, this paper presents levelized contract prices for a sample of privately developed US generation properties. The sample includes 26 projects with a total capacity of 6,354 MW. Contracts are described in terms of their choice of technology, choice of fuel, treatment of fuel price risk, geographic location, dispatchability, expected dispatch niche, and size. The contract price analysis shows that gas technologies clearly stand out as the most attractive. At an 80% capacity factor, coal projects have an average 20-year levelized price of $0.092/kWh, whereas natural gas combined cycle and/or cogeneration projects have an average price of $0.069/kWh. Within each technology type subsample, however, there is considerable variation. Prices for natural gas combustion turbines and one wind project are also presented. A preliminary statistical analysis is conducted to understand the relationship between price and four categories of explanatory factors including product heterogeneity, geographic heterogeneity, economic and technological change, and other buyer attributes (including avoided costs). Because of residual price variation, we are unable to accept the hypothesis that electricity is a homogeneous product. Instead, the analysis indicates that buyer value still plays an important role in the determination of price for competitively-acquired electricity.
Author: Fred Espen Benth
Publisher: Springer
ISBN: 3319234250
Category : Science
Languages : en
Pages : 362
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Book Description
These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.
Author: Rafal Weron
Publisher: John Wiley & Sons
ISBN: 0470059990
Category : Business & Economics
Languages : en
Pages : 192
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Book Description
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: Theodore Chadjipadelis
Publisher: Springer Nature
ISBN: 3030601048
Category : Mathematics
Languages : en
Pages : 349
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Book Description
This volume presents the latest advances in statistics and data science, including theoretical, methodological and computational developments and practical applications related to classification and clustering, data gathering, exploratory and multivariate data analysis, statistical modeling, and knowledge discovery and seeking. It includes contributions on analyzing and interpreting large, complex and aggregated datasets, and highlights numerous applications in economics, finance, computer science, political science and education. It gathers a selection of peer-reviewed contributions presented at the 16th Conference of the International Federation of Classification Societies (IFCS 2019), which was organized by the Greek Society of Data Analysis and held in Thessaloniki, Greece, on August 26-29, 2019.
Author: Martin Staffhorst
Publisher: kassel university press GmbH
ISBN: 3899582411
Category : Photovoltaic power systems
Languages : en
Pages : 153
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Book Description
Author: Kornelis Blok
Publisher: Routledge
ISBN: 1000214435
Category : Business & Economics
Languages : en
Pages : 282
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Book Description
This textbook provides an introduction to energy analysis for those students who want to specialise in this challenging field. In comparison to other textbooks, this book provides a balanced treatment of complete energy systems, covering the demand side, the supply side, and the energy markets that connect these. The emphasis is very much on presenting a range of tools and methodologies that will help students find their way in analysing real world problems in energy systems. This new edition has been updated throughout and contains additional content on energy transitions and improvements in the treatment of several energy systems analysis approaches. Featuring learning objectives, further readings and practical exercises in each chapter, Introduction to Energy Analysis will be essential reading for upper-level undergraduate and postgraduate students with a background in the natural sciences and engineering. This book may also be useful for professionals dealing with energy issues, as a first introduction into the field.
Author: Sebastian Rothe
Publisher: Springer
ISBN: 3658243791
Category : Business & Economics
Languages : en
Pages : 292
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Book Description
The liberalization process, tightening environmental standards and the need for replacing aged power plants force European utilities to optimize their future generation mix. Power plants are real assets and as a consequence the power plant park of a utility firm equals a portfolio of different generation assets. This thesis adds to the understanding how to identify an efficient generation portfolio through time by assuming a non-constant feasible set. According to our results a combination of conventional thermal and renewable energies turn out to be efficient in terms of expected value and risks. Therefore, implementing a strategy based on renewable energies which cause less CO2 per MWh generated electricity clearly pays off. Potential readership includes scholars from energy economics and energy finance as well as interested practitioners involved in these areas.
