Advanced Search
MyIDEAS: Login to save this paper or follow this series

The dynamics of hourly electricity prices

Contents:

Author Info

  • Wolfgang Karl Härdle
  • Stefan Trück

Abstract

The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in order to verify that the schedule is feasible and lies within transmission constraints. Instead agents have to submit their bids and offers for delivery of electricity for all hours of the next day before a specified market closing time. We suggest the use of dynamic semiparametric factor models (DSFM) for the behavior of hourly electricity prices. We find that a model with three factors is able to explain already a high proportion of the variation in hourly electricity prices. Our analysis also provides insights into the characteristics of the market, in particular with respect to the driving factors of hourly prices and their dynamic behavior through time.

Download Info

If 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.
File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-013.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2010-013.

as in new window
Length: 24 pages
Date of creation: Feb 2010
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2010-013

Contact details of provider:
Postal: Spandauer Str. 1,10178 Berlin
Phone: +49-30-2093-5708
Fax: +49-30-2093-5617
Email:
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC

Related research

Keywords: Power Markets; Dynamic Semiparametric Factor Models; Day-ahead Electricity Prices;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
  2. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Wolfgang Karl Härdle,Piotr Majer & Melanie Schienle, 2012. "Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2012-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Liebl, Dominik, 2010. "Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices," MPRA Paper 26800, University Library of Munich, Germany.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2010-013. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team).

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.