Electricity Spot Price and Volatility Modelling in the Australian National Electricity Market PDF Download
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Author: Xuebing Lu
Publisher:
ISBN:
Category : Bayesian statistical decision theory
Languages : en
Pages : 450
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Book Description
Author: Xuebing Lu
Publisher:
ISBN:
Category : Bayesian statistical decision theory
Languages : en
Pages : 450
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Book Description
Author: Katja Ignatieva
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
We examine the dependence structure of electricity spot prices across regional markets in Australia. One of the major objectives in establishing a national electricity market was to provide a nationally integrated and efficient electricity market, limiting market power of generators in the separate regional markets. Our analysis is based on a GARCH approach to model the marginal price series in the considered regions in combination with copulae to capture the dependence structure between the marginals. We apply different copula models including Archimedean, elliptical and copula mixture models. We find a positive dependence structure between the prices for all considered markets, while the strongest dependence is exhibited between markets that are connected via interconnector transmission lines. Regarding the nature of dependence, the Student-t copula provides a good fit to the data, while the overall best results are obtained using copula mixture models due to their ability to also capture asymmetric dependence in the tails of the distribution. Interestingly, our results also suggest that for the four major markets, NSW, QLD, SA and VIC, the degree of dependence has decreased starting from the year 2008 towards the end of the sample period in 2010. Examining the Value-at-Risk of stylized portfolios constructed from electricity spot contracts in different markets, we find that the Student-t and mixture copula models outperform the Gaussian copula in a backtesting study. Our results are important for risk management and hedging decisions of market participants, in particular for those operating in several regional markets simultaneously.
Author: Michael S. Smith
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on inter-regional flows result in three distinct equilibria in prices. We use this to motivate an econometric model for the distribution of observed electricity spot prices that captures many of their unique empirical characteristics. The econometric model features supply and inter-regional trade cost functions, which are estimated using Bayesian monotonic regression smoothing methodology. A copula multivariate time series model is employed to capture additional dependence -- both cross-sectional and serial -- in regional prices. The marginal distributions are nonparametric, with means given by the regression means. The model has the advantage of preserving the heavy right-hand tail in the predictive densities of price. We fit the model to half-hourly spot price data in the five interconnected regions of the Australian national electricity market. The fitted model is then used to measure how both supply and price shocks in one region are transmitted to the distribution of prices in all regions in subsequent periods. Finally, to validate our econometric model, we show that prices forecast using the proposed model compare favorably with those from some benchmark alternatives.
Author: Derek W. Bunn
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 368
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Book Description
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: Javier Contreras
Publisher: MDPI
ISBN: 3038424153
Category : Technology & Engineering
Languages : en
Pages : 259
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Book Description
This book is a printed edition of the Special Issue "Forecasting Models of Electricity Prices" that was published in Energies
Author: Fred Espen Benth
Publisher: World Scientific
ISBN: 981281230X
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
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. Ornstein?Uhlenbeck 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.
Author: Andrew Worthington
Publisher:
ISBN:
Category : Electric utilities
Languages : en
Pages : 18
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Book Description
Author: Krisztina Katona
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The Australian National Electricity Market (NEM) is an energy-only zonal instance of the integrated pool model without a day-ahead market where a security-constrained economic-dispatch (SCED) engine controls dispatch and sets the price every 5 minutes. After a brief overview of pool markets across the world, this paper provides a detailed description of the NEM market design and price mechanism, drawn from a multitude of industry publications and the available auction data. Then to elucidate the NEM Dispatch Engine's process of wholesale price determination, a bid stack-type modelling framework is constructed from first principles with its suitability and limitations discussed against real-world examples from the NEM's SCED mechanism.
Author: Krisztina Katona
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Modelling the energy price in the Australian National Electricity Market (NEM) in a semi-structural manner calls for a multi-regional model wherein bidding is not required to be cost-based, renewable fuels and storage technology are structurally integrated, and network constraints are often binding in optimal dispatch. Available fuel capacity then does not necessarily sum to registered bid capacity, as-bid fuel costs do not dependably follow input fuel prices, and cross-regional interconnectedness requires modelling trade. Furthermore, modelling the NEM spot price path must admit price negativity and price spikes. The present paper extends the work of Carmona, Coulon and Schwarz (2013) and proposes a hyperbolic bid stack approach to price modelling under these conditions.
Author: Phillip Wild
Publisher:
ISBN:
Category :
Languages : en
Pages : 78
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Book Description
This working paper provides details of the Australian National Electricity Market (ANEM) model version 1.10 used in the research project titled: An investigation of the impacts of increased power supply to the national grid by wind generators on the Australian electricity industry. The paper provides a comprehensive reference of the ANEM model for the other project publications that use the ANEM model to analysis the sensitivity of four factors to increasing wind power penetration. The four factors include (1) transmission line congestion, (2) wholesale spot prices, (3) carbon dioxide emissions and (4) energy dispatch. The sensitivity of the four factors to wind power penetration is considered in conjunction with sensitivity to weather conditions, electricity demand growth and a major augmentation of the transmission grid of the Australian National Electricity Market (NEM) called NEMLink (AEMO 2010a, 2010b, 2011a, 2011b).The sensitivity analyses use 5 levels of wind power penetration from zero wind power penetration to enough wind power to meet the original 2020 41TWh Large-scale Renewable Energy Target. The sensitivity to weather is developed by using half hourly electricity demand profiles by node from three calendar years 2010, 2011 and 2012. The sensitivity to growth is developed by incrementing the nodal demand profiles over the projection years 2014 to 2025.
