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Modeling electricity prices by potential Lévy diffusions 通过潜在的lsamvy扩散对电价进行建模
The Journal of Energy Markets Pub Date : 2009-09-01 DOI: 10.21314/JEM.2009.022
S. Borovkova, F. J. Permana, I. Pavlukevich
{"title":"Modeling electricity prices by potential Lévy diffusions","authors":"S. Borovkova, F. J. Permana, I. Pavlukevich","doi":"10.21314/JEM.2009.022","DOIUrl":"https://doi.org/10.21314/JEM.2009.022","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121875065","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: 5
Electricity futures prices: some evidence on forecast power at NordPool 电力期货价格:NordPool预测电力的一些证据
The Journal of Energy Markets Pub Date : 2009-09-01 DOI: 10.21314/JEM.2009.024
Hipòlit Torró
{"title":"Electricity futures prices: some evidence on forecast power at NordPool","authors":"Hipòlit Torró","doi":"10.21314/JEM.2009.024","DOIUrl":"https://doi.org/10.21314/JEM.2009.024","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116825070","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
Intra-Day Risk Premia in European Electricity Forward Markets 欧洲电力期货市场的日内风险溢价
The Journal of Energy Markets Pub Date : 2009-07-11 DOI: 10.21314/JEM.2009.027
Ehud I. Ronn, Jens Wimschulte
{"title":"Intra-Day Risk Premia in European Electricity Forward Markets","authors":"Ehud I. Ronn, Jens Wimschulte","doi":"10.21314/JEM.2009.027","DOIUrl":"https://doi.org/10.21314/JEM.2009.027","url":null,"abstract":"Using a detailed data set of electricity forward prices in Central Europe, we compute the intra-day risk premium and market price of risk for the two electricity exchanges European Energy Exchange (EEX) and Energy Exchange Austria (EXAA). Given the significant volatility and jump risk of electricity prices, these closely linked markets offer an opportunity to study whether market participants are willing to pay a premium to secure day-ahead delivery prices earlier in a trading day. Generally, we find such a positive risk premium, leading to a statistically significant negative market price of risk and the implication that forward prices are upward-biased predictors of expected electricity spot prices.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132121539","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: 17
Derivation of Locational Marginal Prices for Restructured Wholesale Power Markets 重构电力批发市场区位边际价格的推导
The Journal of Energy Markets Pub Date : 2009-06-03 DOI: 10.21314/JEM.2009.029
Haifeng Liu, L. Tesfatsion, A. Chowdhury
{"title":"Derivation of Locational Marginal Prices for Restructured Wholesale Power Markets","authors":"Haifeng Liu, L. Tesfatsion, A. Chowdhury","doi":"10.21314/JEM.2009.029","DOIUrl":"https://doi.org/10.21314/JEM.2009.029","url":null,"abstract":"Although Locational Marginal Pricing (LMP) plays an important role in many restructured wholesale power markets, the detailed derivation of LMPs as actually used in industry practice is not readily available. This lack of transparency greatly hinders the efforts of researchers to evaluate the performance of these markets. In this paper, different AC and DC optimal power flow (OPF) models are presented to help understand the derivation of LMPs. As a byproduct of this analysis, we are able to provide a rigorous explanation of the basic LMP and LMP-decomposition formulas (neglecting real power losses) presented without derivation in the business practice manuals of the U.S. Midwest Independent System Operator (MISO).","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129826194","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: 48
Impacts of regulatory announcements on CO 2 prices 监管公告对二氧化碳价格的影响
The Journal of Energy Markets Pub Date : 2009-06-01 DOI: 10.21314/JEM.2009.019
M. Mansanet-Bataller, Á. Pardo
{"title":"Impacts of regulatory announcements on CO 2 prices","authors":"M. Mansanet-Bataller, Á. Pardo","doi":"10.21314/JEM.2009.019","DOIUrl":"https://doi.org/10.21314/JEM.2009.019","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123575175","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: 46
Pricing of hourly exercisable electricity swing options using different price processes 使用不同价格过程的每小时可执行电力摆动期权定价
The Journal of Energy Markets Pub Date : 2009-06-01 DOI: 10.21314/JEM.2009.018
G. Hirsch
{"title":"Pricing of hourly exercisable electricity swing options using different price processes","authors":"G. Hirsch","doi":"10.21314/JEM.2009.018","DOIUrl":"https://doi.org/10.21314/JEM.2009.018","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124782957","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: 20
Market power in the German wholesale electricity market 德国电力批发市场的市场力量
The Journal of Energy Markets Pub Date : 2009-06-01 DOI: 10.21314/JEM.2009.031
D. Möst, M. Genoese
{"title":"Market power in the German wholesale electricity market","authors":"D. Möst, M. Genoese","doi":"10.21314/JEM.2009.031","DOIUrl":"https://doi.org/10.21314/JEM.2009.031","url":null,"abstract":"Since 2001, wholesale electricity prices have increased dramatically in Europe and especially in Germany. It has been argued that utilities have been exercising market power by withholding available power plant capacity. In this paper we investigate the exercise of market power in the German wholesale electricity market with an agent-based simulation model that uses detailed German wholesale power market data. The analysis was carried out for the years 2001, 2004, 2005 and 2006. We start with 2001 as it is seen as a year with well-functioning competition that validates this model. The year 2004 was chosen because it was the last year without emissions trading. In 2005 the EU emissions trading scheme started; this was accompanied by rising prices and “windfall profits” for electricity generating companies; 2006 was chosen because it supposedly suffered from “bad competition”. We test our results with the Lerner Index, but find that they do not necessarily confirm the exertion of market power.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123514593","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: 40
Development of Open Source Software for Power Market Research: The AMES Test Bed 电力市场研究开源软件的开发:AMES试验台
The Journal of Energy Markets Pub Date : 2009-06-01 DOI: 10.21314/JEM.2009.020
Hongyan Li, L. Tesfatsion
{"title":"Development of Open Source Software for Power Market Research: The AMES Test Bed","authors":"Hongyan Li, L. Tesfatsion","doi":"10.21314/JEM.2009.020","DOIUrl":"https://doi.org/10.21314/JEM.2009.020","url":null,"abstract":"Open Source Software (OSS) expresses the idea that developers should be able to license the publication of their software in a manner permitting anyone to freely use, modify, and distribute the software. Today OSS is widely used in the software industry, such as for language development tools (e.g., NetBeans for Java), office document processors (e.g., OpenOffice), and operating systems (e.g., Linux, OpenSolaris).Yet OSS has been slow to penetrate the power industry; heavy reliance is still placed on closed-source commercial software packages. The OSS in use tends to be for specialized purposes (e.g., circuit design) rather than for the general-purpose analysis of power systems. This study discusses potential benefits and drawbacks of developing OSS for power market research, using the AMES Wholesale Power Market Test Bed for concrete illustration. AMES downloads, tutorials, and research publications can be accesssed at http://www2.econ.iastate.edu/tesfatsi/AMESMarketHome.htm","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126957982","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: 94
MCMC estimation of a multi-factor jump diffusion model for power prices 电价多因素跳跃扩散模型的MCMC估计
The Journal of Energy Markets Pub Date : 2008-12-01 DOI: 10.21314/JEM.2008.016
Rikard Green, Marcus Nossman
{"title":"MCMC estimation of a multi-factor jump diffusion model for power prices","authors":"Rikard Green, Marcus Nossman","doi":"10.21314/JEM.2008.016","DOIUrl":"https://doi.org/10.21314/JEM.2008.016","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121118619","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
Electricity price forecasting with a new feature selection algorithm 基于特征选择的电价预测算法
The Journal of Energy Markets Pub Date : 2008-12-01 DOI: 10.21314/JEM.2008.015
F. Keynia, N. Amjady
{"title":"Electricity price forecasting with a new feature selection algorithm","authors":"F. Keynia, N. Amjady","doi":"10.21314/JEM.2008.015","DOIUrl":"https://doi.org/10.21314/JEM.2008.015","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115176765","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: 5
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