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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Scottish consumers would not see the 1–2% retail price reductions forecast by
Ofgem. Indeed, the forecast price rise over the 2001/02 England and Wales base
case of £7.26, or a premium of 42%, suggests that the merger of the Scottish ...
MAE (*C) 3.5 3 - 2.5 - 2 - 1.5 - 1 - 0.5 - 0 I I T T I n I I I I 0 1 2 3 4 5 6 7 8 9 10
Forecast horizon —s—P1. AR-GARCH –G– P2. Random walk —a-P3. Mean of
past 5 days —a-P4. Mean of same day from past 5 years —e—P5. High-
15.7 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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