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Introducing stylized facts on electricity futures through a market impact model 通过市场影响模型介绍电力期货的风格化事实
The Journal of Energy Markets Pub Date : 2020-03-24 DOI: 10.21314/JEM.2020.201
Jakob Krause
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引用次数: 0
Efficient representation of supply and demand curves on day-ahead electricity markets 日前电力市场供需曲线的有效表示
The Journal of Energy Markets Pub Date : 2020-02-02 DOI: 10.21314/JEM.2020.218
M. Soloviova, Tiziano Vargiolu
{"title":"Efficient representation of supply and demand curves on day-ahead electricity markets","authors":"M. Soloviova, Tiziano Vargiolu","doi":"10.21314/JEM.2020.218","DOIUrl":"https://doi.org/10.21314/JEM.2020.218","url":null,"abstract":"Our paper aims to model supply and demand curves of electricity day-ahead auction in a parsimonious way. Our main task is to build an appropriate algorithm to present the information about electricity prices and demands with far less parameters than the original one. We represent each curve using mesh-free interpolation techniques based on radial basis function approximation. We describe results of this method for the day-ahead IPEX spot price of Italy.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133972783","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: 6
A fractional Brownian–Hawkes model for the Italian electricity spot market: estimation and forecasting 意大利电力现货市场的分数阶布朗-霍克模型:估计与预测
The Journal of Energy Markets Pub Date : 2019-11-26 DOI: 10.21314/jem.2021.001
L. Giordano, D. Morale
{"title":"A fractional Brownian–Hawkes model for the Italian electricity spot market: estimation and forecasting","authors":"L. Giordano, D. Morale","doi":"10.21314/jem.2021.001","DOIUrl":"https://doi.org/10.21314/jem.2021.001","url":null,"abstract":"We propose a model for the description and the forecast of the gross prices of electricity in the liberalized Italian energy market via an additive two-factor model driven by both a Hawkes and a fractional Brownian processes. We discuss the seasonality, the identification of spikes and the estimates of the Hurst coefficient. After the calibration and the validation of the model, we discuss its forecasting performance via a class of adequate evaluation metrics.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"284 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114258739","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
Pricing fast-responding electric storage assets in the presence of negative prices and price spikes: a simulation-and-regression approach 在负价格和价格飙升的情况下为快速响应的电力存储资产定价:一种模拟和回归方法
The Journal of Energy Markets Pub Date : 2019-02-18 DOI: 10.21314/jem.2018.186
S. Kang, Mark T. Klein, Jialin Zhao
{"title":"Pricing fast-responding electric storage assets in the presence of negative prices and price spikes: a simulation-and-regression approach","authors":"S. Kang, Mark T. Klein, Jialin Zhao","doi":"10.21314/jem.2018.186","DOIUrl":"https://doi.org/10.21314/jem.2018.186","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122313198","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
Managing adverse temperature conditions through hybrid financial instruments 通过混合金融工具管理不利的温度条件
The Journal of Energy Markets Pub Date : 2018-08-22 DOI: 10.21314/JEM.2018.182
S. Stefani, Enrico Moretto, M. Parravicini
{"title":"Managing adverse temperature conditions through hybrid financial instruments","authors":"S. Stefani, Enrico Moretto, M. Parravicini","doi":"10.21314/JEM.2018.182","DOIUrl":"https://doi.org/10.21314/JEM.2018.182","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123660462","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: 2
On the spatial hedging effectiveness of German wind power futures for wind power generators 德国风力发电机组风电期货空间对冲有效性研究
The Journal of Energy Markets Pub Date : 2018-08-08 DOI: 10.21314/JEM.2018.181
T. Christensen, Anca Pircalabu
{"title":"On the spatial hedging effectiveness of German wind power futures for wind power generators","authors":"T. Christensen, Anca Pircalabu","doi":"10.21314/JEM.2018.181","DOIUrl":"https://doi.org/10.21314/JEM.2018.181","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115904916","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: 4
Takeover likelihood in the oil and gas industry: firm-, macro- or industry-specific causes? 石油和天然气行业的收购可能性:公司、宏观还是行业特定原因?
The Journal of Energy Markets Pub Date : 2018-02-22 DOI: 10.21314/JEM.2018.170
Bård Misund, M. Sikveland
{"title":"Takeover likelihood in the oil and gas industry: firm-, macro- or industry-specific causes?","authors":"Bård Misund, M. Sikveland","doi":"10.21314/JEM.2018.170","DOIUrl":"https://doi.org/10.21314/JEM.2018.170","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115331179","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
An analysis of energy futures 能源期货分析
The Journal of Energy Markets Pub Date : 2016-08-12 DOI: 10.21314/JEM.2016.149
C. Pantalone, Joseph E. McCarthy, Hsi-cheng Li
{"title":"An analysis of energy futures","authors":"C. Pantalone, Joseph E. McCarthy, Hsi-cheng Li","doi":"10.21314/JEM.2016.149","DOIUrl":"https://doi.org/10.21314/JEM.2016.149","url":null,"abstract":"This study investigates the distributions of returns on crude oil, heating oil and natural gas futures. Given substantial evidence of kurtosis and skewness in the returns, wavelet analysis is used to investigate the local correlation in time-frequency space between these three types of energy futures. In all three series, volatility is much more prevalent at shorter frequencies. This suggests that the departure from normality, and thus the trading risk, is greater at shorter timescales. In addition, the wavelet coherences between the returns on energy futures indicate high correlations over lower frequencies between 2005 and 2010, with the returns on crude oil futures often serving as the volatility leader. The results demonstrate the capability of wavelet analysis in processing nonstationary data and its ability to reveal causality. In addition, this study suggests that risk management based on the assumption of a normal distribution has limited applicability.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"122 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114167250","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
Probabilistic forecasting of medium-term electricity demand: a comparison of time series models 中期电力需求的概率预测:时间序列模型的比较
The Journal of Energy Markets Pub Date : 2016-04-26 DOI: 10.21314/JEM.2016.142
Kevin Berk, A. Müller
{"title":"Probabilistic forecasting of medium-term electricity demand: a comparison of time series models","authors":"Kevin Berk, A. Müller","doi":"10.21314/JEM.2016.142","DOIUrl":"https://doi.org/10.21314/JEM.2016.142","url":null,"abstract":"The uncertainty of customer demand and its relation to the fluctuation of electricity price is an important risk factor in electricity markets. Therefore, there is a need for the probabilistic forecasting of medium-term electricity demand from end customers. There already exists a comprehensive literature on various load forecasting techniques, but it typically considers the grid load or private households. Load forecasting models for companies seem to be rare so far. As the consumption patterns of companies vary significantly between different business sectors, model building and calibration that depends on the specific sector seems reasonable. In this paper, we introduce a whole class of time series models for modeling customer demand. The models vary in their number of parameters for seasonal patterns, whether or not a dependence on grid load is included and what kind of distribution is used for the residuals. We use the continuous ranked probability score (CRPS) to compare different time series models. We evaluate model performance using the historical load data of companies from different business sectors. The results reveal that for yearly seasonality the use of sine and cosine functions is typically better than using dummies for each month. Moreover, hyperbolic distributions often provide a very good fit to the model innovations of the log demand in the case of industry customers, whereas normal distributions may be better in the case of customers from the retail and service sectors.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121640847","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: 6
Calculation of a term structure power price equilibrium with ramping constraints 斜坡约束下期限结构电价均衡的计算
The Journal of Energy Markets Pub Date : 2015-11-26 DOI: 10.21314/jem.2015.134
Miha Troha, Raphael Andreas Hauser
{"title":"Calculation of a term structure power price equilibrium with ramping constraints","authors":"Miha Troha, Raphael Andreas Hauser","doi":"10.21314/jem.2015.134","DOIUrl":"https://doi.org/10.21314/jem.2015.134","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125629541","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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