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On the first price spike in summer

T. Mount, Hyungna Oh
<span title="">2004</span> <i title="IEEE"> 37th Annual Hawaii International Conference on System Sciences, 2004. Proceedings of the </i> &nbsp;
The objective of this paper is to determine why price spikes occur in deregulated wholesale markes for electricity, and how effectively they can be mitigated by different modifications to the market..  ...  The main results for creating price spikes are 1) uncertainty about the system load is an important determinant of observed behavior (i.e. offer curves shaped like a hockey stick) that is replicated in  ...  The main difference among the simulation results presented in this section is in the number of auction periods needed to get the first price spike.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/hicss.2004.1265173">doi:10.1109/hicss.2004.1265173</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/dj7xalqsjvhg7hoqgwst33ptuy">fatcat:dj7xalqsjvhg7hoqgwst33ptuy</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20040517174940/http://csdl.computer.org:80/comp/proceedings/hicss/2004/2056/02/205620050a.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/2c/96/2c96c9f17ac6c94496ca772b453068ab26a015d9.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/hicss.2004.1265173"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Financing Merchant Power

James F. Guidera, Daniel Gal, Vincent Damas
<span title="2001-10-31">2001</span> <i title="Institutional Investor Journals"> The Journal of Structured Finance </i> &nbsp;
The most remarkable feature of spot power markets in the United States over the past three years has been the unexpectedly high price spikes that have appeared when power has been scarce-mostly in the  ...  Based on a review of how the price of power has behaved in the markets surveyed below, several factors appear to be critical, but the most important is the supply/demand relationship in each market.  ...  The summer of 2000 was one of the mildest on record, which probably explains why price spikes were least frequent during that period.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3905/jsf.2001.320253">doi:10.3905/jsf.2001.320253</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/xyeb5f4zbnento6cjbkwl35bba">fatcat:xyeb5f4zbnento6cjbkwl35bba</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20020208155636/http://iijournals.com:80/common/getArticle.asp?ArticleID=17841" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/ae/aa/aeaadf3b350893fa4af94d85b7c7e27efda4be32.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3905/jsf.2001.320253"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> Publisher / doi.org </button> </a>

A spot-forward model for electricity prices with regime shifts

Florentina Paraschiv, Stein-Erik Fleten, Michael Schürle
<span title="">2015</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/s5rropiz7zcydd5ccq5wh5ze4q" style="color: black;">Energy Economics</a> </i> &nbsp;
the 10 identification of worst-case scenarios in very turbulent markets. 11 Dependent on the research question and planning task different models 12 for electricity prices are proposed in the literature  ...  This is important 49 since prices jump into another spike regime and can remain there for some 50 hours (see the discussion in [12] or [13]).  ...  In summer the probabilities 369 of upward spikes are smaller than for downward spikes, in particular on the 370 weekend and in the night hours.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.eneco.2014.11.003">doi:10.1016/j.eneco.2014.11.003</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/lgc3l35blfdizidpsiaqg4rduy">fatcat:lgc3l35blfdizidpsiaqg4rduy</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20180724193149/https://brage.bibsys.no/xmlui/bitstream/handle/11250/2389490/Paper-Revision_2014-07-23.pdf?sequence=3" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/d5/a6/d5a60c8f7e8dec2079aabf088e28e9aa3127932d.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.eneco.2014.11.003"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

On transition probabilities of regime switching in electricity prices

Takashi Kanamura, Kazuhiko Ōhashi
<span title="">2008</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/s5rropiz7zcydd5ccq5wh5ze4q" style="color: black;">Energy Economics</a> </i> &nbsp;
The results obtained here are consistent with the observed characteristics of price spikes in electricity markets where spikes tend to occur in summer and winter when the demand level is high.  ...  In this paper, we analyze transition probabilities of regime switching in electricity prices based on supply and demand using the structural model of Kanamura andŌhashi (2004).  ...  the probabilities of price at time t · 1 in one regime conditional on the price at time t in the other regime.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.eneco.2007.07.011">doi:10.1016/j.eneco.2007.07.011</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/s4zuvq6covdvlb66fjrooesmpy">fatcat:s4zuvq6covdvlb66fjrooesmpy</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20120601082353/http://globalriskguard.com/resources/enderiv/OHASHI.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/b4/df/b4dfedd0c19284b64a86fd796754b90774ed4e7f.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.eneco.2007.07.011"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

Electricity Price Forecasting for Nord Pool Data

Rita Beigaite, Tomas Krilavicius, Ka Lok Man
<span title="">2018</span> <i title="IEEE"> 2018 International Conference on Platform Technology and Service (PlatCon) </i> &nbsp;
The market spot price of electricity has features such as high volatility, seasonality and spikes.  ...  In this paper we describe our experiments with electricity spot price data of Lithuania's price zone in Nord Pool power market.  ...  During summer months, there are much more spikes (which can be seen as outliers in the boxplot) than in other seasons of the year.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/platcon.2018.8472762">doi:10.1109/platcon.2018.8472762</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/kcjd4kf34ndzniiysfy5lrlbcq">fatcat:kcjd4kf34ndzniiysfy5lrlbcq</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200322075650/https://www.vdu.lt/cris/bitstream/20.500.12259/36091/1/ISSN1613-0073_2017_V_1856.PG_37-42.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/18/ef/18ef053c208ec3220ec1a8b42cd31b35879fefd9.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/platcon.2018.8472762"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Analysis of locational marginal prices in look-ahead economic dispatch

Anupam A. Thatte, Dae-Hyun Choi, Le Xie
<span title="">2014</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tdi7xjd3hzbibgwqlwgje432bm" style="color: black;">2014 Power Systems Computation Conference</a> </i> &nbsp;
This paper studies the impact of introducing lookahead dispatch on locational marginal prices in real-time electricity markets.  ...  In addition to the cost saving benefit, system operators in RTOs claim that look-ahead dispatch results in lower price volatility than static dispatch.  ...  the number of price spikes as compared to the static dispatch. • Look-ahead reduces the price spikes in summer when the system is heavily loaded.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/pscc.2014.7038489">doi:10.1109/pscc.2014.7038489</a> <a target="_blank" rel="external noopener" href="https://dblp.org/rec/conf/pscc/ThatteCX14.html">dblp:conf/pscc/ThatteCX14</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/oeqr7rchnrf7dlmriegl4efgmu">fatcat:oeqr7rchnrf7dlmriegl4efgmu</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170813013640/https://www.pscc-central.org/uploads/tx_ethpublications/pscc2014_420.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/63/15/631579f25808cb74736f39147478fb390a3c8540.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/pscc.2014.7038489"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Modeling nodal prices in deregulated electricity markets in the usa: current practices and future needs

Timothy D. Mount
<span title="">2011</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/rc5jnc4ldvhs3dswicq5wk3vsq" style="color: black;">2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)</a> </i> &nbsp;
The first model represents the period immediately after deregulation when price spikes were observed during the summer months using stochastic regime switching.  ...  However, in a market like New York State, congestion on the transmission lines transferring power to New York City still led to spatial price differences.  ...  Spot prices became more volatile with price spikes occurring frequently during the summer.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/icassp.2011.5947715">doi:10.1109/icassp.2011.5947715</a> <a target="_blank" rel="external noopener" href="https://dblp.org/rec/conf/icassp/Mount11.html">dblp:conf/icassp/Mount11</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/22vkwsqhfbeqbnry3th2rdtxvu">fatcat:22vkwsqhfbeqbnry3th2rdtxvu</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170813102833/http://www.mirlab.org/conference_papers/International_Conference/ICASSP%202011/pdfs/0005944.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/92/9d/929d82c5138bf60d92c88c0b094b422b75b97051.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/icassp.2011.5947715"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Gas Storage Valuation and Hedging: A Quantification of Model Risk

Patrick Hénaff, Ismail Laachir, Francesco Russo
<span title="2018-03-05">2018</span> <i title="MDPI AG"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/7z2nzfey7fbwbokd2ouvza7yva" style="color: black;">International Journal of Financial Studies</a> </i> &nbsp;
price spikes in the spot market.  ...  used in the industry leaves the storage operator with significant residual price risk.  ...  Acknowledgments: The authors wish to thank the Referees and the Editors for the useful comments which have permitted to improve the first version of the manuscript.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/ijfs6010027">doi:10.3390/ijfs6010027</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/cx37llygfnb35mdk4hakffadze">fatcat:cx37llygfnb35mdk4hakffadze</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200305085401/https://www.econstor.eu/bitstream/10419/195693/1/1024302997.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/5a/c6/5ac6001b6fd95ab0bc6d967e79518f3ad7906276.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/ijfs6010027"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> mdpi.com </button> </a>

Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market

Helen Higgs, Andrew Worthington
<span title="">2008</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/s5rropiz7zcydd5ccq5wh5ze4q" style="color: black;">Energy Economics</a> </i> &nbsp;
The probability of a spike on any given day ranges between 5.16 percent in NSW to 9.44 percent in Victoria. JEL classification: C32, D40, Q40  ...  Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in the normal period, and price volatility is more than fourteen times higher in spike periods than in normal  ...  First, the probability of a price spike on any particular day ranges between five percent in NSW to nearly ten percent in VIC. However, while these spikes are frequent, they are shortlived.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.eneco.2008.04.006">doi:10.1016/j.eneco.2008.04.006</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/wr5p2rqdfvgcvgp7mfcxpksvgi">fatcat:wr5p2rqdfvgcvgp7mfcxpksvgi</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20150910022602/http://ro.uow.edu.au/cgi/viewcontent.cgi?article=1017&amp;context=accfinwp" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/50/2c/502c38dcdb3dfc97cfbea9300d250bc1368000fe.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.eneco.2008.04.006"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

Price Spikes in Energy Markets: "Business by Usual Methods" or Strategic Withholding?

John Kwoka, Vladlena Sabodash
<span title="">2011</span> <i title="Springer Nature"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/atidge44b5dtlf56c63lzbiele" style="color: black;">Review of Industrial Organization</a> </i> &nbsp;
There is considerable controversy whether price spikes in energy markets represent demand shifts in the presence of inelastic supply or strategic withholding by suppliers.  ...  This approach is applied to a period of unusually high prices in the New York wholesale electricity market in 2001. There is evidence of strategic withholding for one brief period.  ...  All opinions and remaining errors in this paper are the sole responsibility of the authors.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s11151-011-9294-8">doi:10.1007/s11151-011-9294-8</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ibzi3px6gfdy7psmurqzes6mvq">fatcat:ibzi3px6gfdy7psmurqzes6mvq</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20190307144846/http://pdfs.semanticscholar.org/e1cf/2cb5aaf24127fa7ab540ff30edbb549f90f5.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/e1/cf/e1cf2cb5aaf24127fa7ab540ff30edbb549f90f5.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s11151-011-9294-8"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> springer.com </button> </a>

ARTIFICIAL INTELLIGENCE SOLUTION TO ELECTRICITY PRICE FORECASTING PROBLEM

Pavlos S. Georgilakis
<span title="2007-09-07">2007</span> <i title="Informa UK Limited"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/pcyo5wihbzcwxb7m76lyrd4tvu" style="color: black;">Applied Artificial Intelligence</a> </i> &nbsp;
In case of price spikes, the ANN MAPE is on average 12%, which is also 30% better than the testing MAPE of the persistence method.  ...  spikes, forecasting MCP of weekends, and week-ahead price forecasting during the different seasons (winter, spring, summer, and fall) of the year.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/08839510701526533">doi:10.1080/08839510701526533</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/f4sxp3rrf5e2tcari4fejozl6e">fatcat:f4sxp3rrf5e2tcari4fejozl6e</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20150417081001/http://users.ntua.gr:80/pgeorgil/Files/J22.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/b0/bd/b0bd934927084b58bdee8974fb20e655ccdd8268.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/08839510701526533"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> tandfonline.com </button> </a>

Modelling Electricity Price Expectations in a Day-Ahead Market: A Case of Latvia

Viktorija Bobinaite, Jānis Zuters
<span title="2016-08-01">2016</span> <i title="Walter de Gruyter GmbH"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/kw47tgza4bbjpmp3gzup2kioza" style="color: black;">Economics and Business</a> </i> &nbsp;
A neural network approach is employed to model electricity price expectations. The research results demonstrate that electricity price expectations depend on the historical electricity prices.  ...  The paper aims at modelling the electricity generator's expectations about price development in the Latvian day-ahead electricity market.  ...  ACKNOWLEDGEMENT The research has been supported by the Latvian State Education Development Agency; Scholarship grant No 15-16/20.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1515/eb-2016-0017">doi:10.1515/eb-2016-0017</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ju6o4zc2s5cm7lj5dlshf4whni">fatcat:ju6o4zc2s5cm7lj5dlshf4whni</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20180719143716/https://content.sciendo.com/downloadpdf/journals/eb/29/1/article-p12.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/8d/eb/8deb939bfb90935d282d2f9a1fe2b8438bff2c54.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1515/eb-2016-0017"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> degruyter.com </button> </a>

Practical stochastic modeling of electricity prices

Michel Culot, Valérie Goffin, Steve Lawford, Sébastien de Menten, Yves Smeers
<span title="">2013</span> <i title="Infopro Digital"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/fdt6jsxrvra25kmninjmkdm4tq" style="color: black;">Journal of Energy Markets</a> </i> &nbsp;
The model captures various stylized features of power prices, including mean reversion and seasonal patterns, and short-lived spikes.  ...  We use several results on affine jump diffusions to combine the spike and diffusive components, and to provide convenient closed-form solutions for important power derivatives.  ...  When major load and generation problems arise simultaneously, as during the European summer heatwave in 2003, these spikes can be extreme, e.g., between 10 and 11 August 2003, spot prices on the Dutch  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.21314/jem.2013.085">doi:10.21314/jem.2013.085</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ray3sttsizb7pmokzcmhrnynsm">fatcat:ray3sttsizb7pmokzcmhrnynsm</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200320085339/https://hal-enac.archives-ouvertes.fr/hal-01021603/document" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/5c/0d/5c0d1bd7923059a28305bf8664fcce8fb8511e26.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.21314/jem.2013.085"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> Publisher / doi.org </button> </a>

When Supply Meets Demand: The Case of Hourly Spot Electricity Prices

A. Boogert, D. Dupont
<span title="">2008</span> <i title="Institute of Electrical and Electronics Engineers (IEEE)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/gnhkf3aieraxhlw7vpy6whnksy" style="color: black;">IEEE Transactions on Power Systems</a> </i> &nbsp;
With the model we can forecast the level and the probability of a spike in the spot price defined as the spot price being above a certain threshold.  ...  We use a supply-demand framework to model the hourly day-ahead spot price of electricity based on publicly available information.  ...  We see that the average price has increased, and that the transformation from the first period understates the average price and probability of spike in the second period.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/tpwrs.2008.920731">doi:10.1109/tpwrs.2008.920731</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/6kztp6kyiffx5d4ko32yscvjjm">fatcat:6kztp6kyiffx5d4ko32yscvjjm</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170808175445/http://www.bbk.ac.uk/cfc/pdfs/conference%20papers/Thurs/BoogertDupont.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/88/e2/88e2430a066dd89f375d441a170c685f04a1d856.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/tpwrs.2008.920731"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

A threshold autoregressive model for wholesale electricity prices

B. Ricky Rambharat, Anthony E. Brockwell, Duane J. Seppi
<span title="">2005</span> <i title="Wiley"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/4yzznuvawzbmtdxlcfhxzi6u2u" style="color: black;">Journal of the Royal Statistical Society, Series C: Applied Statistics</a> </i> &nbsp;
The model allows for different rates of mean-reversion: One for weather events, one around price jumps, and another for the remainder of the process.  ...  We introduce a discrete-time model for electricity prices, which accounts for both transitory spikes and temperature effects.  ...  Once in the spiking level, there is a roughly one-in-two chance in each time-step of returning to a normal level. As expected, temperature has a significant effect on electricity prices.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1111/j.1467-9876.2005.00484.x">doi:10.1111/j.1467-9876.2005.00484.x</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/4skwt7wsvnf4baor2pb5alpzai">fatcat:4skwt7wsvnf4baor2pb5alpzai</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20100623022613/http://www.stat.cmu.edu/tr/tr780/tr780.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/ea/ee/eaee29b6e8f8879badb90d828f9e5a26b5149be7.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1111/j.1467-9876.2005.00484.x"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> Publisher / doi.org </button> </a>
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