Day-ahead market price volatility analysis in deregulated electricity markets

Abstract

The electricity market experiences pronounced short term volatility due to its peculiarities, first of all continuos load variations associated to the impossibility to profitably store electric energy. Electricity price forecast is extremely important for all market players and in particular for generating companies, that must manage their units, and the associated economic risk, in the short, medium and long term. In general, price volatility depends on a large number of parameters such as: fuel prices (often related to currency exchange rates), availability of generating units, hydro generation production, demand elasticity and variations, network congestion and management rules of any specific electricity market. This study provides an analysis of day-ahead spot market price volatility in Spain, California, UK and PJM markets. Electricity prices for the years 1999 and 2000 have been used for the study. The analysis has been carried out on the basis of an original definition of price volatility.

Probabilistic day-ahead system marginal price forecasting with ANN for the Turkish electricity market

“…336 h) volatility is defined. It is common to define two-week volatility price in ANN-based approaches [21]. The forecasting results are summarized in Table 7.…”

A novel coefficient for detecting and quantifying asymmetry of California electricity market based on asymmetric detrended cross-correlation analysis

“…Assume that two time-series {x (1) (t)} and {x (2) (t)} have the same lengths N, and these series are of compact support.…”

“…Step 4: The average detrended variance functions and the detrended covariance functions for several cases when the time x (i) have picewise positive and negative linear trends are considered to assess the asymmetric correlation scaling properties for the series x (i) itself and cross-correlation scaling properties for the two series between the series x (1) and x (2) . This trend discrimination is made by using the sign of the slope b S …”

“…26, 063109-1 CHAOS 26, 063109 (2016) adjacent price signals and the load signals. [2][3][4][5] Since California broke out the largest power crisis in the United States after World War II in 2000 yr, the phenomenon of asymmetric correlation between the above two signals had been exposed as an ordinary behavior as in financial systems, where many studies have conducted spontaneously to explore the universal existence of asymmetric correlations of stock returns. [6][7][8][9] Of which, Ang and Chen 6 proposed a model-based method to estimate asymmetries in the correlations between stock portfolios and the US market.…”

Using electricity options to hedge against financial risks of power producers

“…Among all energy prices, electricity prices exhibit a particularly high volatility in most day-ahead markets around the world due to the non-storability of electricity, the high variation of the demand level with the hour of the day, the day of the week, and the week of the year; the inelasticity of the electricity demand, the stepwise supply offers submitted by generating units, and the required continuous balance between the production and the consumption [1]. These features are translated into the volatile profit distributions for the power producers, who usually sell most of their production in the day-ahead market.…”