ERN: Energy (Topic)最新文献

Optimal Trading Strategies for Multi-Energy Microgrid Cluster Considering Demand Response Under Different Trading Modes: A Comparison Study 不同交易模式下考虑需求响应的多能微电网集群最优交易策略比较研究

ERN: Energy (Topic) Pub Date : 2022-06-01 DOI: 10.2139/ssrn.3892173

Qiong Wu, Zhun Xie, H. Ren, Qifen Li, Yongwen Yang

{"title":"Optimal Trading Strategies for Multi-Energy Microgrid Cluster Considering Demand Response Under Different Trading Modes: A Comparison Study","authors":"Qiong Wu, Zhun Xie, H. Ren, Qifen Li, Yongwen Yang","doi":"10.2139/ssrn.3892173","DOIUrl":"https://doi.org/10.2139/ssrn.3892173","url":null,"abstract":"The linkage of neighborhood multi-energy microgrids (MEMGs) may overcome the disadvantage of one single microgrid (MG) since surplus/deficient energy can meet balance internally and realize self-satisfaction. In order to realize successful cooperation of such a complicated energy system, optimal trading strategy and reasonable trading price among all entities are important. In this study, a bi-level optimization model combined of two trading modes is proposed under different scenarios: intermediary agent (IA)-based trading mode where IA acts as an intermediate operator, as well as direct trading mode without IA. Stackelberg game theory (SGT) method and supply/demand (S/D) ratio method are used for price determination, respectively. Again, integrated demand response (IDR) is also considered in this study. As an illustrative example, a comparative study is implemented in a neighboring energy cluster combing three park-level MEMGs. The results show that, compared with the situation that each MEMG acts alone, a cluster obviously increase total benefit which may contribute to the development of tailored policy instruments. In addition, although direct trading among MEMGs enjoys higher benefit, self-sufficient ability is lower than the situation considering IA, which may help policy makers to more accurately predict merits and demerits associated with different energy trading modes among MEMGs.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115535569","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 21

The Liquefied Natural Gas Spot Market and Valuation of the Rerouting Option 液化天然气现货市场与改道期权的估值

ERN: Energy (Topic) Pub Date : 2020-10-21 DOI: 10.21314/jem.2020.208

H. Geman, Sofia Philippou

{"title":"The Liquefied Natural Gas Spot Market and Valuation of the Rerouting Option","authors":"H. Geman, Sofia Philippou","doi":"10.21314/jem.2020.208","DOIUrl":"https://doi.org/10.21314/jem.2020.208","url":null,"abstract":"The liquefied natural gas (LNG) market has experienced remarkable changes in the last few years, with long-term contracts being replaced by short-term ones and optionalities being granted by suppliers in the context of a large increase in natural gas production. Flexible LNG contracts give buyers the option to redirect their cargo if they identify a higher spot price at a point different from the original destination. The goal of this paper is twofold: (1) to describe the new outlook of LNG markets, which has become more and more spot-centric, with Asian LNG futures bringing transparency to spot and forward prices; and (2) to address the valuation of the rerouting option, a number that must be accounted for by the buyer when assessing the profitability of a given cargo. As an example, we apply the rerouting option valuation methodology to a scenario in which the supplier is the United States, the original destination is Germany and the alternative destination is Japan. We assume the rerouting of the vessel takes place when the cargo reaches the waters of Germany. This approach can be used for any group of three countries by adjusting the transportation costs. Our paper also depicts the value of the option as a function of the volatility of the natural gas spot prices in the alternative destination.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128244493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Pricing Relationships between Oil and Renewable Firms under Extreme Conditions: The Effects of Negative WTI Prices (Online Appendix 2/3) 极端条件下石油与可再生能源企业的定价关系:负WTI价格的影响(在线附录2/3)

ERN: Energy (Topic) Pub Date : 2020-10-16 DOI: 10.2139/ssrn.3712958

S. Corbet, John W. Goodell, Samet Gunay

{"title":"The Pricing Relationships between Oil and Renewable Firms under Extreme Conditions: The Effects of Negative WTI Prices (Online Appendix 2/3)","authors":"S. Corbet, John W. Goodell, Samet Gunay","doi":"10.2139/ssrn.3712958","DOIUrl":"https://doi.org/10.2139/ssrn.3712958","url":null,"abstract":"We test for the existence of volatility spillovers and co-movements among energy-focused corporations during the outbreak of the COVID-19 pandemic, inclusive of the April 2020 events where West Texas Intermediate (WTI) oil future prices became negative. Employing the spillover index approach of Diebold and Yilmaz [2012];as well as developing a DCC-FIGARCH conditional correlation framework and using estimated spillover indices built on a generalised vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, we examine the sectoral transmission mechanisms of volatility shocks and contagion throughout the energy sector. Among several results, we find positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets. However, this result is only found for the narrow portion of our sample surrounding the negative WTI event. We interpret our results being directly attributed to a sharp drop in global oil, gas and coal demand, rather than because of a sudden increase in oil supply. While investors observed the US fracking industry losing market share to coal, they also viewed renewables as more reliable mechanism to generate long-term, stable and low-cost supply.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121914019","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

COVID-19 Outbreak and US Economic Policy Uncertainty: An ARDL Approach COVID-19爆发与美国经济政策不确定性:一种ARDL方法

ERN: Energy (Topic) Pub Date : 2020-09-02 DOI: 10.2139/ssrn.3685346

A. Matuka

引用次数: 12

Forecasting Electricity Prices With Machine Learning: Predictor Sensitivity 用机器学习预测电价:预测器灵敏度

ERN: Energy (Topic) Pub Date : 2020-05-13 DOI: 10.2139/ssrn.3599839

Christof Naumzik, S. Feuerriegel

{"title":"Forecasting Electricity Prices With Machine Learning: Predictor Sensitivity","authors":"Christof Naumzik, S. Feuerriegel","doi":"10.2139/ssrn.3599839","DOIUrl":"https://doi.org/10.2139/ssrn.3599839","url":null,"abstract":"\u0000Purpose\u0000Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity demand and the feed-in from renewable energy sources. Hence, the purpose of this paper is to provide accurate forecasts..\u0000\u0000\u0000Design/methodology/approach\u0000This paper aims at comparing different predictors stemming from supply-side (solar and wind power generation), demand-side, fuel-related and economic influences. For this reason, this paper implements a broad range of non-linear models from machine learning and draw upon the information-fusion-based sensitivity analysis.\u0000\u0000\u0000Findings\u0000This study disentangles the respective relevance of each predictor. This study shows that external predictors altogether decrease root mean squared errors by up to 21.96%. A Diebold-Mariano test statistically proves that the forecasting accuracy of the proposed machine learning models is superior.\u0000\u0000\u0000Research limitations/implications\u0000The performance gain from including more predictors might be larger than from a better model. Future research should place attention on expanding the data basis in electricity price forecasting.\u0000\u0000\u0000Practical implications\u0000When developing pricing models, practitioners can achieve reasonable performance with a simple model (e.g. seasonal-autoregressive moving-average) that is built upon a wide range of predictors.\u0000\u0000\u0000Originality/value\u0000The benefit of adding further predictors has only recently received traction; however, little is known about how the individual variables contribute to improving forecasts in machine learning.\u0000","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121532139","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 石油期货波动的经济决定因素:期限结构视角

ERN: Energy (Topic) Pub Date : 2020-03-01 DOI: 10.2139/ssrn.3417706

Boda Kang, Christina Sklibosios Nikitopoulos, Marcel Prokopczuk

引用次数: 4

Integrating Time Series and Cross-Sectional Signals for Optimal Commodity Portfolios 整合时间序列和横截面信号的最优商品投资组合

ERN: Energy (Topic) Pub Date : 2019-12-15 DOI: 10.2139/ssrn.3504394

Regina Hammerschmid, Harald Lohre

引用次数: 1

Physical Macroeconomics: Part IV - Value-Energy Interrelationships 物理宏观经济学:第四部分-价值-能量的相互关系

ERN: Energy (Topic) Pub Date : 2019-09-04 DOI: 10.2139/ssrn.3447842

V. Bartenev

引用次数: 0

A Nice Electricity Market Design 一个不错的电力市场设计

ERN: Energy (Topic) Pub Date : 2019-06-23 DOI: 10.2139/ssrn.3408694

C. Woo, J. Zarnikau

引用次数: 14

Uncertainty in Electricity Markets from a Seminonparametric Approach 半参数方法下电力市场的不确定性

ERN: Energy (Topic) Pub Date : 2019-06-04 DOI: 10.2139/ssrn.3402030

Alfredo Trespalacios, Lina M. Cortés, Javier Perote

{"title":"Uncertainty in Electricity Markets from a Seminonparametric Approach","authors":"Alfredo Trespalacios, Lina M. Cortés, Javier Perote","doi":"10.2139/ssrn.3402030","DOIUrl":"https://doi.org/10.2139/ssrn.3402030","url":null,"abstract":"The spot price of electricity is highly skewed and heavy-tailed, as a result of the interaction of different variables that affect that market. Such characteristics impact the design of power plants with different technologies, fuel prices, and energy demand. This paper introduces the semi-non-parametric (SNP) approach to describe the uncertainty of different variables in an electricity market, reducing the limitations that normality and parametric density functions impose. The selection of probability density functions is achieved in terms of a finite Gram-Charlier expansion fitted by the maximum likelihood criterion. The study case is the Colombian electricity market, where the SNP distribution outperforms the normal distribution for spot price, national energy demand, the climate index ONI, and the series of hydrologic inflows of the system and some rivers. The results show that risk analysis in electricity markets requires the measurement of skewness, kurtosis, and high-order moments. The flexible methodology in our study has directly applications for implementing policies on electricity markets that improve the sustainability indicators of different systems. The particular characteristics of the series under analysis should be considered as a starting point for risk analysis and portfolio choice.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114564783","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0