不同时期电力现货价格市场因素模型的比较研究

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE
Christian Laudagé , Florian Aichinger , Sascha Desmettre
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引用次数: 0

摘要

由于欧洲能源供应的重大变化,从 2021 年第二季度开始,奥地利电力现货价格数据出现了结构性变化。在这项工作中,我们研究了两个不同因素模型在三个不同时期对电力现货价格的影响。为此,我们考虑了奥地利基本负荷电力现货价格的三个 EEX 数据样本,一个是危机前从 2018 年到 2021 年的样本,第二个是危机期间从 2021 年到 2023 年的样本,以及 2018 年到 2023 年的全部数据。对于这些样本中的每一个,我们都研究了带有高斯基本信号和一正一负跳跃信号的经典 3 因子模型的拟合度,并将其与 4 因子模型进行比较,以评估在模型中添加第二个高斯基本信号的效果。为了评估模型的充分性,我们提供了现货价格的模拟结果,并对 3 因子模型和 4 因子模型进行了后验预测。我们发现,在非危机时期,4 因子模型优于 3 因子模型。在危机时期,第二个高斯基本信号并不能使模型拟合得更好。据我们所知,这是在新市场环境下对随机电力现货价格模型的首次研究。因此,它为今后的研究奠定了坚实的基础。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A comparative study of factor models for different periods of the electricity spot price market

Due to major shifts in the European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work, we study the performance of two different factor models for the electricity spot price in three different time periods. To this end, we consider three samples of EEX data for the Austrian base load electricity spot price, one from the pre-crisis from 2018 to 2021, the second from the time of the crisis from 2021 to 2023, and the whole data from 2018 to 2023. For each of these samples, we investigate the fit of a classical 3-factor model with a Gaussian base signal and one positive and one negative jump signal and compare it with a 4-factor model to assess the effect of adding a second Gaussian base signal to the model.

For the calibration of the models, we develop a tailor-made Markov Chain Monte Carlo method based on Gibbs sampling. To evaluate the model adequacy, we provide simulations of the spot price as well as a posterior predictive check for the 3- and the 4-factor model. We find that the 4-factor model outperforms the 3-factor model in times of non-crises. In times of crisis, the second Gaussian base signal does not lead to a better fit of the model. To the best of our knowledge, this is the first study regarding stochastic electricity spot price models in this new market environment. Hence, it serves as a solid base for future research.

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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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