Modelling Prices in Competitive Electricity Markets

Derek W Bunn, Derek W. Bunn

Wiley, Apr 2, 2004 - Business & Economics - 337 pages

Electricity markets are structurally different to othercommodities, and the real-time dynamic balancing of the electricitynetwork involves many external factors. Because of this, it is nota simple matter to transfer conventional models of financial timeseries analysis to wholesale electricity prices.

The rationale for this compilation of chapters frominternational authors is, therefore, to provide econometricanalysis of wholesale power markets around the world, to givegreater understanding of their particular characteristics, and toassess the applicability of various methods of price modelling.

Researchers and professionals in this sector will find the bookan invaluable guide to the most important state-of-the-artmodelling techniques which are converging to define the specialapproaches necessary for unravelling and forecasting the behaviourof electricity prices. It is a high-quality synthesis of the workof financial engineering, industrial economics and power systemsanalysis, as they relate to the behaviour of competitiveelectricity markets.

Contents

• Structural and Behavioural Foundations of Competitive Electricity Prices: 1
• Competitors Response Representation for Market Simulation in: 21
• Nomenclature: 66

About the author

DEREK W. BUNN is currently Professor and Chairman of the Decision Sciences subject area and Director of the Energy Markets Group at the London Business School, having held previous appointments at Oxford and Stanford universities. As a prominent international advisor on energy economics, he has consulted for many global energy companies and advised a number of government agencies. Author of over 150 research papers and 9 books in the areas of forecasting, decision analysis and energy economics, he has also been chief editor of the Journal of Forecasting since 1984. His research and practical involvement with the electricity sector extends back over 25 years experience.

Bibliographic information

• Title: Modelling Prices in Competitive Electricity Markets; Volume 255 of The Wiley Finance Series
• Editors: Derek W Bunn, Derek W. Bunn
• Edition: illustrated, reprint
• Publisher: Wiley, 2004
• Original from: the University of California
• Digitized: Oct 30, 2009
• ISBN: 047084860X, 9780470848609
• Length: 337 pages
• Subjects: Business & Economics / Econometrics; Business & Economics / Economics / Microeconomics; Business & Economics / Finance / General; Business & Economics / General; Nature / Natural Resources