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.
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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 &bull Diffusion Processes
- 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
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- Marina Resta & Davide Sciutti, 2003. "Spot price dynamics in deregulated power markets," Econometrics, EconWPA 0312002, EconWPA.
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[A new model for price movement in electric power]," KÃ¶zgazdasÃ¡gi Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), KÃ¶zgazdasÃ¡gi Szemle AlapÃtvÃ¡ny (Economic Review Foundation), vol. 0(3), pages 253-274.
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