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Modelling day-ahead electricity prices

Author

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  • Juri Hinz

Abstract

A 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.

Suggested Citation

  • Juri Hinz, 2003. "Modelling day-ahead electricity prices," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 149-161.
  • Handle: RePEc:taf:apmtfi:v:10:y:2003:i:2:p:149-161
    DOI: 10.1080/1350486032000130329
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    Citations

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    Cited by:

    1. Fanelli, Viviana & Maddalena, Lucia & Musti, Silvana, 2016. "Modelling electricity futures prices using seasonal path-dependent volatility," Applied Energy, Elsevier, vol. 173(C), pages 92-102.
    2. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
    3. repec:spr:compst:v:64:y:2006:i:2:p:187-209 is not listed on IDEAS
    4. Rafal Weron & Adam Misiorek, 2006. "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports HSC/06/01, Hugo Steinhaus Center, Wroclaw University of Technology.
    5. Tsitakis, D. & Xanthopoulos, S. & Yannacopoulos, A.N., 2006. "A closed-form solution for the price of cross-commodity electricity derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 543-551.
    6. Juri Hinz, 2006. "Valuing virtual production capacities on flow commodities," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 64(2), pages 187-209, October.
    7. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601, June.

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