An agent-based approach with collaboration among agents: Estimation of wholesale electricity price on PJM and artificial data generated by a mean reverting model
AbstractThis study examines the performance of MAIS (Multi-Agent Intelligent Simulator) equipped with various learning capabilities. In addition to the learning capabilities, the proposed MAIS incorporates collaboration among agents. The proposed MAIS is applied to estimate a dynamic change of wholesale electricity price in PJM (Pennsylvania-New Jersey-Mainland) and an artificial data set generated by a mean reverting model. Using such different types of data sets, the methodological validity of MAIS is confirmed by comparing it with other well-known alternatives in computer science. This study finds that the MAIS needs to incorporate both the mean reverting model and the collaboration behavior among agents in order to enhance its estimation capability. The MAIS discussed in this study will provide research on energy economics with a new numerical capability that can investigate a dynamic change of not only wholesale electricity price but also speculation and learning process of traders.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 32 (2010)
Issue (Month): 5 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/eneco
Power trading Agent-based approach Mean reverting model;
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.:
- Bask, Mikael & Widerberg, Anna, 2008.
"Market Structure and the Stability and Volatility of Electricity Prices,"
Working Papers in Economics
327, University of Gothenburg, Department of Economics.
- Bask, Mikael & Widerberg, Anna, 2009. "Market structure and the stability and volatility of electricity prices," Energy Economics, Elsevier, vol. 31(2), pages 278-288, March.
- Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005.
"Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality,"
0501011, EconWPA, revised 10 Sep 2005.
- Alvaro Cartea & Marcelo Figueroa, 2005. "Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 313-335.
- Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
- Goto, Mika & Tsutsui, Miki, 2008. "Technical efficiency and impacts of deregulation: An analysis of three functions in U.S. electric power utilities during the period from 1992 through 2000," Energy Economics, Elsevier, vol. 30(1), pages 15-38, January.
- Sueyoshi, Toshiyuki, 2010. "An agent-based approach equipped with game theory: Strategic collaboration among learning agents during a dynamic market change in the California electricity crisis," Energy Economics, Elsevier, vol. 32(5), pages 1009-1024, September.
- Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
- Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
- Demers, Jean-Guy, 2009. "Multiple zone power forwards: A value at risk framework," Energy Economics, Elsevier, vol. 31(5), pages 714-726, September.
- Crespo Cuaresma, Jesús & Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael, 2004. "Forecasting electricity spot-prices using linear univariate time-series models," Applied Energy, Elsevier, vol. 77(1), pages 87-106, January.
- Sueyoshi, Toshiyuki & Goto, Mika, 2012. "Environmental assessment by DEA radial measurement: U.S. coal-fired power plants in ISO (Independent System Operator) and RTO (Regional Transmission Organization)," Energy Economics, Elsevier, vol. 34(3), pages 663-676.
- Goto, Hisanori & Goto, Mika & Sueyoshi, Toshiyuki, 2011. "Consumer choice on ecologically efficient water heaters: Marketing strategy and policy implications in Japan," Energy Economics, Elsevier, vol. 33(2), pages 195-208, March.
- Sun, Chuanwang & Lin, Boqiang, 2013. "Reforming residential electricity tariff in China: Block tariffs pricing approach," Energy Policy, Elsevier, vol. 60(C), pages 741-752.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.