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.
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In Sections 15.4, 15.5 and 15.6, we compare point and quantile forecasts from
the different methods. Sections 15.7 and 15.8 briefly review studies that have
evaluated the benefit of using ensemble predictions for weather derivative pricing
MAE (°C) 3.5 9 10 Forecast horizon -•-P1.AR-GARCH —a— P2. Random walk —
a— P3. Mean of past 5 days —a— P4. Mean of same day from past 5 years -*—
P5. High-resolution atmospheric model forecast — o— P6. Ensemble mean ...
FORECASTING. THE. PAYOFF. DENSITY. FOR. A. WEATHER. DERIVATIVE.
15.7.1 A temperature put option The weather derivatives market is dominated by
energy utilities. Due to the importance of temperature in modelling electricity and
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Structural and Behavioural Foundations of Competitive Electricity Prices
Competitors Response Representation for Market Simulation in
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