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Forecasting transmission congestion 预测传输拥塞
The Journal of Energy Markets Pub Date : 2012-09-01 DOI: 10.21314/JEM.2012.078
A. Løland, Egil Ferkingstad, Mathilde Wilhelmsen
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引用次数: 14
Transmission congestion and market power: the case of the Norwegian electricity market 输电拥塞与市场力量:挪威电力市场的案例
The Journal of Energy Markets Pub Date : 2012-06-01 DOI: 10.21314/JEM.2012.074
F. Mirza, O. Bergland
{"title":"Transmission congestion and market power: the case of the Norwegian electricity market","authors":"F. Mirza, O. Bergland","doi":"10.21314/JEM.2012.074","DOIUrl":"https://doi.org/10.21314/JEM.2012.074","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133976810","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: 10
Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities 欧洲能源市场的时变依赖性:对北池、欧洲能源交易所和洲际交易所能源商品的分析
The Journal of Energy Markets Pub Date : 2012-06-01 DOI: 10.21314/JEM.2012.072
Steinar Veka, Gudbrand Lien, Sjur Westgaard, H. Higgs
{"title":"Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities","authors":"Steinar Veka, Gudbrand Lien, Sjur Westgaard, H. Higgs","doi":"10.21314/JEM.2012.072","DOIUrl":"https://doi.org/10.21314/JEM.2012.072","url":null,"abstract":"In this paper we investigate the extent to which the price of Nordic electricity derivatives correlates with European Energy Exchange (EEX) and Intercontinental Exchange (ICE) electricity contracts. We also include their price correlation with ICE gas, Brent crude oil, coal and carbon emission contracts. Using multivariate generalized autoregressive conditional heteroskedasticity models, we find significant time-varying relationships between all of the energy commodities included in the analysis, with the exception of oil. This suggests that pricing models based on constant correlation may be misleading. We also find that Nordic energy futures exhibit the strongest relationship with German electricity futures contracts traded in the EEX, and there appears to be a stronger relationship between longer maturity contracts in all markets.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121333639","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: 13
Are oil and natural gas going separate ways in the United Kingdom? Cointegration tests with structural shifts 在英国，石油和天然气正在分道扬镳吗?结构变化的协整检验
The Journal of Energy Markets Pub Date : 2012-06-01 DOI: 10.21314/JEM.2012.073
R. E. Dahl, Atle Oglend, Petter Osmundsen, M. Sikveland
{"title":"Are oil and natural gas going separate ways in the United Kingdom? Cointegration tests with structural shifts","authors":"R. E. Dahl, Atle Oglend, Petter Osmundsen, M. Sikveland","doi":"10.21314/JEM.2012.073","DOIUrl":"https://doi.org/10.21314/JEM.2012.073","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117124400","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: 9
Compressed-air energy storage power plant investments under uncertain electricity prices: an evaluation of compressed-air energy storage plants in liberalized energy markets 不确定电价下的压缩空气储能电站投资:开放能源市场下压缩空气储能电站的评价
The Journal of Energy Markets Pub Date : 2012-03-01 DOI: 10.21314/JEM.2012.070
D. Keles, R. Hartel, D. Möst, W. Fichtner
{"title":"Compressed-air energy storage power plant investments under uncertain electricity prices: an evaluation of compressed-air energy storage plants in liberalized energy markets","authors":"D. Keles, R. Hartel, D. Möst, W. Fichtner","doi":"10.21314/JEM.2012.070","DOIUrl":"https://doi.org/10.21314/JEM.2012.070","url":null,"abstract":"In this paper a combined approach is introduced, integrating electricity prices simulated with the help of a financial model into an optimization model that evaluates a compressed-air energy storage (CAES) plant investment. The financial model based on a regime-switching approach delivers suitable price paths. Based on these price paths, the optimization model maximizes the annual return of the CAES plant, taking bidding strategies on the spot and reserve power markets into account. A Monte Carlo simulation is carried out for the annual return, which, in turn, is used to determine the expected net present value (NPV). A negative NPV is obtained when applying an interest rate of 6%. Thus, the investment in current CAES plants is not attractive, as energy companies generally expect an annual yield over 8%.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125075628","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: 29
On the optimal exercise of swing options in electricity markets 电力市场摆动期权的最优行使
The Journal of Energy Markets Pub Date : 2011-12-01 DOI: 10.21314/JEM.2011.065
F. Benth, Jukka Lempa, T. Nilssen
{"title":"On the optimal exercise of swing options in electricity markets","authors":"F. Benth, Jukka Lempa, T. Nilssen","doi":"10.21314/JEM.2011.065","DOIUrl":"https://doi.org/10.21314/JEM.2011.065","url":null,"abstract":"We study the optimal exercise of a swing option in electricity markets. To this end, we set up a model in terms of a stochastic control problem. In this model, the option can be exercised in continuous time and is subject to a total volume constraint. We analyze some fundamental properties of the model and carry out a numerical analysis. Finally, the results are illustrated numerically.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"187 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117277159","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: 27
Risk-adequate pricing of retail power contracts 零售电力合同的充分风险定价
The Journal of Energy Markets Pub Date : 2011-12-01 DOI: 10.21314/JEM.2011.066
Markus Burger, Jan Müller
{"title":"Risk-adequate pricing of retail power contracts","authors":"Markus Burger, Jan Müller","doi":"10.21314/JEM.2011.066","DOIUrl":"https://doi.org/10.21314/JEM.2011.066","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115438412","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: 10
Gas storage valuation using a multifactor price process 使用多因素价格过程的储气库估值
The Journal of Energy Markets Pub Date : 2011-12-01 DOI: 10.21314/JEM.2011.067
Alexander Boogert, Cyriel de Jong
{"title":"Gas storage valuation using a multifactor price process","authors":"Alexander Boogert, Cyriel de Jong","doi":"10.21314/JEM.2011.067","DOIUrl":"https://doi.org/10.21314/JEM.2011.067","url":null,"abstract":"In this paper we discuss an extension to a popular gas storage valuation method called the spot approach. Least-Squares Monte Carlo, which is the basis for the spot approach, allows for multi-factor price processes. Such price processes can capture more realistically the actual price behavior present in energy markets. In this paper we demonstrate the application of multi-factor Least-Squares Monte Carlo to gas storage valuation. We study the impact of using multi-factor price processes on different aspects of the valuation such as convergence, average storage value and distribution of storage values in a numerical example. We find a counter example to the idea that an increase in market volatility leads to an increase in storage value. As well, we find a counter example to the idea that the natural hedging strategy of the spot approach is no hedge: a simple static financial hedge can reduce the inherent risk of the spot approach. Finally, we study the impact of model error related to the price process.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125660799","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: 52
Power Spot Price Models with negative Prices 负价格的电力现货价格模型
The Journal of Energy Markets Pub Date : 2011-12-01 DOI: 10.21314/JEM.2011.079
S. Schneider
{"title":"Power Spot Price Models with negative Prices","authors":"S. Schneider","doi":"10.21314/JEM.2011.079","DOIUrl":"https://doi.org/10.21314/JEM.2011.079","url":null,"abstract":"Negative prices for electricity are a novelty in European power markets. At the German EEX spot market negative hourly prices have since occurred frequently, down to values as extreme as minus several hundred €/MWh. However, in some non-European markets as USA, Australia and Canada, negative prices are a characteristic for a longer period already. Negative prices are in fact natural for electricity spot trading: plant flexibility is limited and costly, thus, incurring a negative price for an hour can nevertheless be economically optimal overall. Negative prices pose a basic problem to stochastic price modelling: going from prices to log-prices is not possible. So far, this has been dealt with by “workarounds”. However, here a thorough approach is advocated, based on the area hyperbolic sine transformation. The transformation is applied to spot modelling of the German EEX, the ERCOT West Texas market and the exemplary valuation of an option. It is concluded that the area hyperbolic sine transform is well and naturally suited as a starting point for modelling negative power prices. It can be integrated in common stochastic price models without adding much complexity. Moreover, this transformation might be in general more appropriate for power prices than the log transformation, considering fundamentals of power price formation. Eventually, a thorough treatment of negative prices is indispensable since they significantly affect business.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"319 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133601667","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: 41
Future spot gas prices in the US and the UK: are movements more influenced by country factors or by global factors? 美国和英国未来的现货天然气价格:走势更多地受到国家因素还是全球因素的影响?
The Journal of Energy Markets Pub Date : 2011-09-01 DOI: 10.21314/JEM.2011.063
J. Simpson
{"title":"Future spot gas prices in the US and the UK: are movements more influenced by country factors or by global factors?","authors":"J. Simpson","doi":"10.21314/JEM.2011.063","DOIUrl":"https://doi.org/10.21314/JEM.2011.063","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115862080","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
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