Hourly electricity prices in day-ahead markets
AbstractThis paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The dynamics of hourly electricity prices does not behave as a time series process. Instead, these prices should be treated as a panel in which the prices of 24 cross-sectional hours vary from day to day. This paper introduces a panel model for hourly electricity prices in day-ahead markets and examines their characteristics. The results show that hourly electricity prices exhibit hourly specific mean-reversion and that they oscillate around an hourly specific mean price level. Furthermore, a block structured cross-sectional correlation pattern between the hours is apparent.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 29 (2007)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/eneco
Other versions of this item:
- Huisman, R. & Huurman, C. & Mahieu, R.J., 2007. "Hourly electricity prices in day-ahead markets," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3131737, Tilburg University.
- Huisman, R. & Huurman, C. & Mahieu, R.J., 2007. "Hourly Electricity Prices in Day-Ahead Markets," ERIM Report Series Research in Management ERS-2007-002-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G3 - Financial Economics - - Corporate Finance and Governance
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- M - Business Administration and Business Economics; Marketing; Accounting
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Huisman, R. & Mahieu, R.J., 2003.
"Regime jumps in electricity prices,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-3131736, Tilburg University.
- Huisman, R. & Mahieu, R.J., 2001. "Regime Jumps in Electricity Prices," ERIM Report Series Research in Management ERS-2001-48-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
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Economics Working Papers
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