Structure and stylized facts of a deregulated power market
AbstractDramatic changes to the structure of the power sector have taken place over the past few decades. The major structural change being the introduction of competitive markets and power exchanges. In this paper, we conduct a detailed empirical study of the statistical properties of the Nordic power (Nord Pool) spot market. The aim of this study is to identify so-called stylized facts of the market. We address the structure of the market, and in particular, describe in detail the spot price forming process (equilibrium point trading). A collection of stylized facts is identified and discussed for the hourly system spot price, based on the entire 12 year history of available Nord Pool data. In particular we analyze: seasonallity, weather effects, the human factor, return distributions, volatility, spikes, and mean-reversion (anticorrelation). The empirical study presented in this paper shed new light on the mechanisms, features and structures of these new commodity markets. The market features that distinguish them from more classic financial and commodity markets are pointed out.
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 University Library of Munich, Germany in its series MPRA Paper with number 1443.
Date of creation: 2004
Date of revision:
Electricity markets; Spot price; Stylized facts; Deregulation; Econophysics;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
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.:
- Marina Resta & Davide Sciutti, 2003. "Spot price dynamics in deregulated power markets," Econometrics 0312002, EconWPA.
- Ladislav Kristoufek & Petra Lunackova, 2013. "Long-term memory in electricity prices: Czech market evidence," Papers 1309.0582, arXiv.org.
- Wang, Peng & Zareipour, Hamidreza & Rosehart, William D., 2011. "Characteristics of the prices of operating reserves and regulation services in competitive electricity markets," Energy Policy, Elsevier, vol. 39(6), pages 3210-3221, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.