Risk premia in electricity derivatives markets

Algieri, Bernardina; Leccadito, Arturo; Tunaru, Diana E.

doi:10.1016/j.eneco.2021.105300

Cited by 6 publications

(3 citation statements)

References 66 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Literature [16] investigated a new multi-temporal settlement system with rolling dispatch, which is mainly used to solve the problem of insufficient market tariff incentives due to inaccurate generation and load forecasts and to improve the price incentives and dispatch efficiency. The European Energy Exchange's electricity futures option prices were examined by Literature [17]. The results of the study show that the option implied density accurately predicts future electricity prices, and finds that there is an inverse leverage effect in the electricity market and an increase in investors' risk aversion to high electricity prices.…”

Section: Introductionmentioning

confidence: 99%

Analysis of Risk Characterization and Identification Techniques for Electricity Spot Settlement Based on Multilayer Perceptron Machine

Duan,

Zhu,

Liu

et al. 2024

Applied Mathematics and Nonlinear Sciences

View full text Add to dashboard Cite

In this paper, the structural characteristics of the perceptron neural network and the calculation method of the hierarchical relationship of the MLP neural network model are first studied. Then the aspects of two-part settlement, generation-side settlement, and customer-side settlement in the electricity spot settlement mechanism are studied, and the importance of these mechanisms for the operation of the electricity market and risk identification is pointed out. Following that, the effectiveness of the risk identification model is assessed and analyzed. This paper examines market performance indicators, the impact of the dual-track mechanism, and the time characteristics of the price index to characterize risk. The results show that in Guangdong, for example, the price in the day-ahead market is much higher than the supply-demand equilibrium price most of the time, and the maximum difference can be as high as 0.662 yuan/(kW-h). For the entire month, the real-time market’s average price is RMB 0.546/(kW-h) and it is RMB 0.063/(kW-h) higher than the day-ahead market. The importance of this study lies in its role in managing and responding to risks for electricity market operators and participants.

show abstract

Section: Introductionmentioning

confidence: 99%

Analysis of Risk Characterization and Identification Techniques for Electricity Spot Settlement Based on Multilayer Perceptron Machine

Duan,

Zhu,

Liu

et al. 2024

Applied Mathematics and Nonlinear Sciences

View full text Add to dashboard Cite

show abstract

“…Separately, there is a large literature on the price and volatility dynamics in the electricity market, primarily focusing on modelling and forecasting electricity prices (e.g. Weron et al, 2004;Weron and Misiorek 2008;Escribano et al, 2011;Raviv et al, 2015;Karakatsani and Bunn, 2015;Foroni et al, 2019;Algieri et al, 2021). Weron (2014) provides a detailed review of the literature in this regard.…”

Section: Introductionmentioning

confidence: 99%

The pricing implications of cryptocurrency mining on global electricity markets: Evidence from quantile causality tests

Aye

Demirer

Gupta

et al. 2023

Journal of Cleaner Production

View full text Add to dashboard Cite

“…If the same amounts are executed for selling and buying, that is, a position is established between the two markets, then the price difference would be the profit for this strategy. Next, electricity and weather derivatives (including forwards/futures) may be considered practical applications of derivatives theory for real businesses in electricity markets [30][31][32][33][34][35][36][37][38][39][40][41][42][43]. Among them, Yamada and Matsumoto (2021) [41] and [42,43] advocated weather derivatives, the payments of which depend on weather data at a predetermined place and time.…”

Section: Introductionmentioning

confidence: 99%

Effectiveness and Feasibility of Market Makers for P2P Electricity Trading

2022

View full text Add to dashboard Cite

Motivated by the growing demand for distributed energy resources (DERs), peer-to-peer (P2P) electricity markets have been explored worldwide. However, such P2P markets must be balanced in much smaller regions with a lot fewer participants than centralized wholesale electricity markets; hence, the market has inherent problems of low liquidity and price instability. In this study, we propose applying a market maker system to the P2P electricity market and developing an efficient market strategy to increase liquidity and mitigate extreme price fluctuations. To this end, we construct an artificial market simulator for P2P electricity trading and design a market agent and general agents (photovoltaic (PV) generators, consumers, and prosumers) to perform power bidding and contract processing. Moreover, we introduce market-maker agents in this study who follow the regulations set by a market administrator and simultaneously place both sell and buy orders in the same market. We implement two types of bidding strategies for market makers and examine their effects on liquidity improvement and price stabilization as well as profitability, using solar PV generation and consumption data observed in a past demonstration project. It is confirmed that liquidity and price stability may be improved by introducing a market maker although there is a trade-off relationship between these effects and the market maker’s profitability.

show abstract

Risk premia in electricity derivatives markets

Cited by 6 publications

References 66 publications

Analysis of Risk Characterization and Identification Techniques for Electricity Spot Settlement Based on Multilayer Perceptron Machine

Analysis of Risk Characterization and Identification Techniques for Electricity Spot Settlement Based on Multilayer Perceptron Machine

The pricing implications of cryptocurrency mining on global electricity markets: Evidence from quantile causality tests

Effectiveness and Feasibility of Market Makers for P2P Electricity Trading

Contact Info

Product

Resources

About