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Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic 能源市场与加密货币之间的动态联系:来自Covid-19大流行的证据
The Journal of Energy Markets Pub Date : 2023-01-01 DOI: 10.21314/jem.2023.025
Murad Harasheh, Ahmed Bouteska, May H. Hammad
{"title":"Dynamic connectedness between energy markets and cryptocurrencies: evidence from the Covid-19 pandemic","authors":"Murad Harasheh, Ahmed Bouteska, May H. Hammad","doi":"10.21314/jem.2023.025","DOIUrl":"https://doi.org/10.21314/jem.2023.025","url":null,"abstract":"The Covid-19 pandemic affected financial markets in several ways, influencing the dynamics of the relationships between asset classes. We investigate the connectedness between cryptocurrencies and international energy markets from 2018 to 2021 using the time-varying parameter vector autoregression approach. Net total directional connectedness suggests that the cryptocurrency and energy indexes had heterogeneous roles. Bitcoin and Ripple coin were the net receivers of shocks, while Ethereum switched from receiver to transmitter. The US energy market was a persistent net transmitter of shocks, while Asian energy markets were consistent net shock receivers. Pairwise connectedness reveals that cryptocurrencies can explain the volatility of the energy markets during the difficult period of the pandemic at the beginning of 2020. We provide insights for portfolio optimization and policy implications.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136203449","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
On the potential of arbitrage trading on the German intraday power market 论德国电力市场的潜在套利交易
The Journal of Energy Markets Pub Date : 2023-01-01 DOI: 10.21314/jem.2023.027
Elisabeth Finhold, Till Heller, Neele Leithäuser
{"title":"On the potential of arbitrage trading on the German intraday power market","authors":"Elisabeth Finhold, Till Heller, Neele Leithäuser","doi":"10.21314/jem.2023.027","DOIUrl":"https://doi.org/10.21314/jem.2023.027","url":null,"abstract":"Pair trading on the German intraday power market is a commonly used risk-averse, heuristic trading strategy. However, due to myopic decision-making and a lack of foresight, the profit obtained is far from optimal. By comparing this strategy with the ex post optimal solution (ie, a strategy with perfect foresight), we show on a set of 15 selected days from 2020 to 2022 that the predictive information lets us generate on average more than five times as much profit by excessively buying and selling the same contracts for a trading interval of five minutes. Another problem with pair trading in practice is the possibility of unbalanced auction wins. We show that an unbiased loss of up to 10% has a negligible impact on the obtained profit. In contrast, we also show the value of frequent optimization updates by simulating strategies with only sporadic participation in the market. While this is hardly beneficial for the pairtrading strategy, the ex post optimal profit increases on average by 30% when the time between two trades is halved.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"2016 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135506356","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
Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States 美国中部大陆独立系统运营商电力市场的增量风能开发
The Journal of Energy Markets Pub Date : 2023-01-01 DOI: 10.21314/jem.2023.024
Han Qi, Kang Hua Cao, Chi Keung Woo, Raymond Li
{"title":"Incremental wind energy development in the Midcontinent Independent System Operator electricity markets of the United States","authors":"Han Qi, Kang Hua Cao, Chi Keung Woo, Raymond Li","doi":"10.21314/jem.2023.024","DOIUrl":"https://doi.org/10.21314/jem.2023.024","url":null,"abstract":"In this paper we project how much incremental wind energy development may occur without causing inadequate investment incentives (also known as missing money) for wind generation and natural-gas-fired generation in the day-ahead market and real-time market of the Midcontinent Independent System Operator (MISO) in the United States. Using a large sample of hourly data for the 82-month period of January 1, 2014 to October 31, 2020, we document that the day-ahead market’s hourly investment incentives move with the day-ahead forecast of daily natural gas prices; MISO’s day-ahead hourly requirements of ancillary services; MISO’s zonal day-ahead hourly schedules of nuclear generation, wind generation and must-run generation; and MISO’s zonal day-ahead forecasts of hourly loads. Findings based on the real-time market’s hourly data tell a similar story. Further, the negative effect of incremental wind energy development on investment incentives over the forward-looking period of 2023–42 is offset by the positive effect of a rising natural gas price, nuclear plant retirement, declining must-run generation and growing demand. In the extreme case of nuclear plant retirement and zero must-run generation, incremental wind energy development of up to around 441% of the existing level of wind generation may occur as a market-based outcome without missing money in MISO’s day-ahead market.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136209629","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
Impact of changes in the global environment on price differentials between the US crude oil spot markets for the periods before and after 2008–9 2008 - 2009年前后，全球环境变化对美国原油现货市场价差的影响
The Journal of Energy Markets Pub Date : 2021-09-10 DOI: 10.21314/jem.2021.003
Kannika Duangnate, J. Mjelde
{"title":"Impact of changes in the global environment on price differentials between the US crude oil spot markets for the periods before and after 2008–9","authors":"Kannika Duangnate, J. Mjelde","doi":"10.21314/jem.2021.003","DOIUrl":"https://doi.org/10.21314/jem.2021.003","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122590478","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
One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange 基于天气预报的未来一周电价预测及其在远期市场套利中的应用——基于日本电力交易所的实证研究
The Journal of Energy Markets Pub Date : 2021-09-10 DOI: 10.21314/jem.2021.004
Takuji Matsumoto, Misao Endo
{"title":"One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange","authors":"Takuji Matsumoto, Misao Endo","doi":"10.21314/jem.2021.004","DOIUrl":"https://doi.org/10.21314/jem.2021.004","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131353954","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: 3
The relationship between oil prices, global economic policy uncertainty and financial market stress 油价、全球经济政策不确定性和金融市场压力之间的关系
The Journal of Energy Markets Pub Date : 2021-08-19 DOI: 10.21314/jem.2021.002
S. Ziaei
{"title":"The relationship between oil prices, global economic policy uncertainty and financial market stress","authors":"S. Ziaei","doi":"10.21314/jem.2021.002","DOIUrl":"https://doi.org/10.21314/jem.2021.002","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"126 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128203452","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: 1
The selection of predictive variables in aggregate hydroelectric generation models 集合水力发电模型中预测变量的选择
The Journal of Energy Markets Pub Date : 2021-03-08 DOI: 10.21314/JEM.2020.215
C. Condemi, L. Mastroeni, P. Vellucci
{"title":"The selection of predictive variables in aggregate hydroelectric generation models","authors":"C. Condemi, L. Mastroeni, P. Vellucci","doi":"10.21314/JEM.2020.215","DOIUrl":"https://doi.org/10.21314/JEM.2020.215","url":null,"abstract":"The liberalization of the Italian electricity market has led to a situation where the logic of maximizing operators’ profits prevails. In this context, it is essential for electricity producers to be able to formulate supply strategies. Therefore, plants that can buy or store the energy resources they use to produce electricity are advantaged, because they can choose when to produce with more flexibility. This feature is often absent in environmentally sustainable electrical plants, although hydropower storage plants offer flexibility to the electricity system and allow their operators to formulate bidding strategies. This paper provides a method to identify the best predictive variables and the appropriate predictive indexes for an aggregate hydropower storage forecasting model. To this end, we use an entropy-based approach. The optimal subset can be considered complete, meaning it incorporates both market and physical variables, including those influencing the timing of snowpack melting. In particular, we show that the variables that incorporate the expectations of the operators always have a more dominant role than the realized variables in understanding the current hydropower generation. We find evidence of a cyclicality, over the year, of relevant drivers in the representative subset; in particular, we show the mechanism by which, during this cycle, some variables become more or less influential on others.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127805170","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
Estimating financial risks from the energy transition: potential impacts from decarbonization in the European power sector 能源转型的金融风险评估:欧洲电力部门脱碳的潜在影响
The Journal of Energy Markets Pub Date : 2021-01-21 DOI: 10.21314/JEM.2020.209
C. Cormack, Charles Donovan, A. Köberle
{"title":"Estimating financial risks from the energy transition: potential impacts from decarbonization in the European power sector","authors":"C. Cormack, Charles Donovan, A. Köberle","doi":"10.21314/JEM.2020.209","DOIUrl":"https://doi.org/10.21314/JEM.2020.209","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133989223","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: 3
Estimating the hedging potentials of Bitcoin and energy returns 估计比特币和能源回报的对冲潜力
The Journal of Energy Markets Pub Date : 2020-12-17 DOI: 10.21314/jem.2020.212
M. Wajdi, Regaieg Rym, Mgadmi Nidhal
{"title":"Estimating the hedging potentials of Bitcoin and energy returns","authors":"M. Wajdi, Regaieg Rym, Mgadmi Nidhal","doi":"10.21314/jem.2020.212","DOIUrl":"https://doi.org/10.21314/jem.2020.212","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"91 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132480122","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
Neural network middle-term probabilistic forecasting of daily power consumption 日用电量的神经网络中期概率预测
The Journal of Energy Markets Pub Date : 2020-06-05 DOI: 10.21314/JEM.2020.216
Michele Azzone, R. Baviera
{"title":"Neural network middle-term probabilistic forecasting of daily power consumption","authors":"Michele Azzone, R. Baviera","doi":"10.21314/JEM.2020.216","DOIUrl":"https://doi.org/10.21314/JEM.2020.216","url":null,"abstract":"Middle-term horizon (months to a year) power consumption prediction is a main challenge in the energy sector, in particular when probabilistic forecasting is considered. We propose a new modelling approach that incorporates trend, seasonality and weather conditions, as explicative variables in a shallow Neural Network with an autoregressive feature. We obtain excellent results for density forecast on the one-year test set applying it to the daily power consumption in New England U.S.A.. The quality of the achieved power consumption probabilistic forecasting has been verified, on the one hand, comparing the results to other standard models for density forecasting and, on the other hand, considering measures that are frequently used in the energy sector as pinball loss and CI backtesting.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129496905","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: 3
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