Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market
AbstractThis work presents the results of an empirical research with the target of modeling the stylized facts of the daily expost System Marginal Price (SMP) of the Greek wholesale electricity market, using data from January 2004 to December of 2011. SMP is considered here as the footprint of an underline stochastic and nonlinear process that bears all the information reflecting not only the effects of changes in endogenous or fundamental factors of the market but also the impacts of a series of regulatory reforms that have continuously changed the market's microstructure. To capture the dynamics of the conditional mean and volatility of SMP that generate the stylized facts(mean reversion, price spikes, fat tails price distribution etc), a number of ARMAX GARCH models have been estimated using as regressors an extensive set of fundamental factors in the Greek electricity market as well as dummy variables that mimic the history of Regulator's interventions. The findings show that changes in the microstructure of the market caused by the reforms have strongly affected the dynamic evolution of SMP and that the best found model captures adequately the stylized facts of the series that other electricity and financial markets share. The dynamics of the conditional volatility generated by the model can be extremely useful in the efforts that are under way towards market restructuring so the Greek market to be more compatible with the requirements of the European Target Model.
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.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1401.5452.
Date of creation: Jan 2014
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
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.:
- Boffa, Federico & Pingali, Viswanath & Vannoni, Davide, 2010.
"Increasing market interconnection: An analysis of the Italian electricity spot market,"
International Journal of Industrial Organization,
Elsevier, vol. 28(3), pages 311-322, May.
- Federico Boffa & Viswanath Pingali, 2008. "MIncreasing Market Interconnection: an analysis of the Italian Electricity Spot Market," Working Papers 17-2008, Macerata University, Department of Studies on Economic Development (DiSSE), revised Nov 2008.
- Federico Boffa & Viswanath Pingali & Davide Vannoni, 2009. "Increasing Market Interconnection: An analysis of the Italian Electricity Spot Market," Working papers 4, Former Department of Economics and Public Finance "G. Prato", University of Torino.
- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007.
"The stability of electricity prices: Estimation and inference of the Lyapunov exponents,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 376(C), pages 565-572.
- Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006.
- Bask , Mikael & Liu , Tung & Widerberg , Anna, 2006. "The stability of electricity prices: estimation and inference of the Lyapunov exponents," Research Discussion Papers 9/2006, Bank of Finland.
- Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer, vol. 13(4), pages 415-432, November.
- Bystrom, Hans N. E., 2005.
"Extreme value theory and extremely large electricity price changes,"
International Review of Economics & Finance,
Elsevier, vol. 14(1), pages 41-55.
- Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
- Angelica Gianfreda, 2010. "Volatility and Volume Effects in European Electricity Spot Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(s1), pages 47-63, 02.
- Kalantzis, Fotis & Sakellaris, Kostis, 2012. "Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices," MPRA Paper 37794, University Library of Munich, Germany.
- Josep Perello & Miquel Montero & Luigi Palatella & Ingve Simonsen & Jaume Masoliver, 2006. "Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion," Papers physics/0609066, arXiv.org.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
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.