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Spot price dynamics in deregulated power markets

Author

Listed:
  • Marina Resta

    (DIEM, sezione di Matematica Finanziaria, University of Genova, Italy)

  • Davide Sciutti

    (DIEM, sezione di Matematica Finanziaria, University of Genova, Italy)

Abstract

Modelling spot price behavior plays a key role in the electric- ity market, since this is the breeding engine for the activity in the corre- sponding forward and futures market: developers and generators (as well as traders) need to know how electricity prices behave, as their profitabil- ity depends on them. Additionally, credit rating agencies need to monitor the exposure of different players in the market to price fluctuations and risks. Starting from those considerations, this work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries, in order to fix some features which a good model should have to fit day–ahead prices. A number of stochastic processes will be then examined as perspective candidate to generate sample paths with explanatory power respect on the real time–series, and results will be discussed.

Suggested Citation

  • Marina Resta & Davide Sciutti, 2003. "Spot price dynamics in deregulated power markets," Econometrics 0312002, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0312002
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    References listed on IDEAS

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    1. Simonsen, Ingve, 2003. "Measuring anti-correlations in the nordic electricity spot market by wavelets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 597-606.
    2. Ingve Simonsen, 2001. "Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets," Papers cond-mat/0108033, arXiv.org, revised Apr 2003.
    3. Coeurjolly, Jean-Francois, 2000. "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i07).
    4. Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
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    Cited by:

    1. Simonsen, Ingve & Weron, Rafal & Mo, Birger, 2004. "Structure and stylized facts of a deregulated power market," MPRA Paper 1443, University Library of Munich, Germany.

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    More about this item

    Keywords

    spot prices; self–affinity; Hurst exponent.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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