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Modelling day-ahead electricity prices

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  • Juri Hinz
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    Abstract

    A production-based approach is introduced to take into account different attitudes and liabilities of market participants to discuss the equilibrium day-ahead prices on electricity. Conditions ensuring the existence of the equilibrium are given and price distribution is considered. A discussion of reasons for high price volatility is given.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/1350486032000130329
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

    Volume (Year): 10 (2003)
    Issue (Month): 2 ()
    Pages: 149-161

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    Handle: RePEc:taf:apmtfi:v:10:y:2003:i:2:p:149-161

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    Web page: http://www.tandfonline.com/RAMF20

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    Related research

    Keywords: day-ahead electricity prices; equilibrium pricing;

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    Cited by:
    1. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
    2. Juri Hinz, 2006. "Valuing virtual production capacities on flow commodities," Computational Statistics, Springer, vol. 64(2), pages 187-209, October.

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