Energy price risk management
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. Demand and supply are balanced on a knife-edge because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. The possibility of extreme price movements increases the risk of trading in electricity markets. However, a number of standard financial tools cannot be readily applied to pricing and hedging electricity derivatives. In this paper we present arguments why this is the case.
|Date of creation:||2000|
|Date of revision:|
|Publication status:||Published in Physica A 285 (2000) 127-134.|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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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.:
- Rafal Weron & Beata Przybylowicz, 2000.
"Hurst analysis of electricity price dynamics,"
HSC Research Reports
HSC/00/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
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