Modeling hourly Electricity Spot Market Prices as non stationary functional times series
The instantaneous nature of electricity distinguishes its spot prices from spot prices for equities and other commodities. Up to now electricity cannot be stored economically and therefore demand for electricity has an untempered effect on electricity prices. In particular, hourly electricity spot prices show a vast range of dynamics which can change rapidly. In this paper we introduce a robust version of functional principal component analysis for sparse data. The functional perspective interprets spot prices as functions of demand for electricity and allows to estimate a single price curve for each day. Variations in market fundamentals such as commodity prices are absorbed by the first principal components.
|Date of creation:||Sep 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
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.:
- Yao, Fang & Muller, Hans-Georg & Wang, Jane-Ling, 2005. "Functional Data Analysis for Sparse Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 577-590, June.
- Green, Richard J & Newbery, David M, 1992.
"Competition in the British Electricity Spot Market,"
Journal of Political Economy,
University of Chicago Press, vol. 100(5), pages 929-53, October.
- Green, Richard & Newbery, David M G, 1991. "Competition in the British Electricity Spot Market," CEPR Discussion Papers 557, C.E.P.R. Discussion Papers.
- Kosater, Peter & Mosler, Karl, 2006.
"Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices,"
Elsevier, vol. 83(9), pages 943-958, September.
- Kosater, Peter & Mosler, Karl, 2005. "Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices," Discussion Papers in Econometrics and Statistics 1/05, University of Cologne, Institute of Econometrics and Statistics.
- Peter Cramton, 2003.
"Competitive Bidding Behavior in Uniform-Price Auction Markets,"
Papers of Peter Cramton
03ferc1, University of Maryland, Department of Economics - Peter Cramton, revised 2003.
- Peter Cramton, 2004. "Competitive Bidding Behavior in Uniform-Price Auction Markets," Papers of Peter Cramton 04hicss, University of Maryland, Department of Economics - Peter Cramton, revised 2004.
- Huisman, Ronald & Huurman, Christian & Mahieu, Ronald, 2007.
"Hourly electricity prices in day-ahead markets,"
Elsevier, vol. 29(2), pages 240-248, March.
- Huisman, R. & Huurman, C. & Mahieu, R.J., 2007. "Hourly Electricity Prices in Day-Ahead Markets," ERIM Report Series Research in Management ERS-2007-002-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007.
"Time Series Modelling with Semiparametric Factor Dynamics,"
SFB 649 Discussion Papers
SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Park, Byeong U. & Mammen, Enno & HÃ¤rdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
- Willems, Bert & Rumiantseva, Ina & Weigt, Hannes, 2009.
"Cournot versus Supply Functions: What does the data tell us?,"
Elsevier, vol. 31(1), pages 38-47, January.
- Bert WILLEMS & Ina RUMIANTSEVA & Hannes WEIGT, 2007. "Cournot versus supply functions: what does the data tell us?," Center for Economic Studies - Discussion papers ces0720, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- Willems, Bert & Rumiantseva, I. & Weigt, H., 2007. "Cournot Versus Supply Functions : What does the Data Tell us?," Discussion Paper 2007-63, Tilburg University, Center for Economic Research.
- Willems, Bert & Rumiantseva, I. & Weigt, H., 2007. "Cournot versus Supply Functions : What Does the Data tell us?," Discussion Paper 2007-023, Tilburg University, Tilburg Law and Economic Center.
- Daniel Gervini, 2008. "Robust functional estimation using the median and spherical principal components," Biometrika, Biometrika Trust, vol. 95(3), pages 587-600.
- Fang Yao & Hans-Georg Müller & Andrew J. Clifford & Steven R. Dueker & Jennifer Follett & Yumei Lin & Bruce A. Buchholz & John S. Vogel, 2003. "Shrinkage Estimation for Functional Principal Component Scores with Application to the Population Kinetics of Plasma Folate," Biometrics, The International Biometric Society, vol. 59(3), pages 676-685, 09.
- De Jong Cyriel, 2006. "The Nature of Power Spikes: A Regime-Switch Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-28, September.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
- Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA.
- Klemperer, Paul D & Meyer, Margaret A, 1989. "Supply Function Equilibria in Oligopoly under Uncertainty," Econometrica, Econometric Society, vol. 57(6), pages 1243-77, November.
- Wolfgang Karl HÃ¤rdle & Stefan TrÃ¼ck, 2010. "The dynamics of hourly electricity prices," SFB 649 Discussion Papers SFB649DP2010-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Mount, Timothy D. & Ning, Yumei & Cai, Xiaobin, 2006. "Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters," Energy Economics, Elsevier, vol. 28(1), pages 62-80, January.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:25017. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.