Modelling Prices in Competitive Electricity Markets
Derek W. Bunn
Wiley, Apr 2, 2004 - Business & Economics - 358 pages
Electricity markets are structurally different to other commodities, and the real-time dynamic balancing of the electricity network involves many external factors. Because of this, it is not a simple matter to transfer conventional models of financial time series analysis to wholesale electricity prices.
The rationale for this compilation of chapters from international authors is, therefore, to provide econometric analysis of wholesale power markets around the world, to give greater understanding of their particular characteristics, and to assess the applicability of various methods of price modelling.
Researchers and professionals in this sector will find the book an invaluable guide to the most important state-of-the-art modelling techniques which are converging to define the special approaches necessary for unravelling and forecasting the behaviour of electricity prices. It is a high-quality synthesis of the work of financial engineering, industrial economics and power systems analysis, as they relate to the behaviour of competitive electricity markets.
25 pages matching autoregressive in this book
Results 1-3 of 25
What people are saying - Write a review
We haven't found any reviews in the usual places.
Structural and Behavioural Foundations of Competitive Electricity Prices
Competitors Response Representation for Market Simulation in
ComplementarityBased Equilibrium Modeling for Electric Power Markets
13 other sections not shown
analysis applied AR-GARCH autoregressive average behaviour bidding capacity CCGT clustering coal coefficients competitive conditional constraints correlation Cournot covariance daily day-ahead distribution dynamics Economics effect electricity markets electricity prices electricity trading arrangements Energy England and Wales equation equilibrium estimated fall-winter Figure firms forecast forward contracts forward curve forward price futures prices GARCH model hedge hourly indicator Innogy innovations input lags linear load Lyapunov exponent marginal cost market power market price matrix mean method NETA node Nord Pool null hypothesis off-peak Ofgem optimal option output p-value parameters peak period plant price modelling price spikes principal component problem quantile function residual demand function risk management scenarios seasonal Section sector significant simulation spark spread spot markets spot price spring-summer statistic stochastic structure suppliers supply function Table temperature trading transmission unit root variance volatility weather wholesale zero