Modelling day-ahead electricity prices
AbstractA 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 10 (2003)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/RAMF20
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- Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
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