The significance of calendar effects in the electricity market

Li, Kun; Cursio, Joseph D.; Jiang, Mengfei; Liang, Xi

doi:10.1016/j.apenergy.2018.10.124

Cited by 12 publications

(5 citation statements)

References 63 publications

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“…Our empirical findings have shown that there are a number of large price fluctuations as the reflection of power inequilibrium. Our finding is in line with the previous studies about EES [14,16,21,45]. Therefore, the application of EES can be a potential and technical resolution.…”

Section: Discussionsupporting

confidence: 93%

“…RTO can use EES devices to adjust the over-supply and peak-demand time and thus reduce the time-series imbalance as stated by recent studies. For example, Li et al [45] find that specific calendar anomalies exist in the electricity market and induce the time-series imbalance. Liu et al [46] state that EES can improve economic efficiency in a wholesale electricity market by saving the electricity during the low-LMP hours for the high-LMP hours.…”

Section: Discussionmentioning

confidence: 99%

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Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market

Cursio

Sun

2018

Sustainability

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Large price fluctuations have become a significant character and impede resource allocation in the electricity market. Negative prices and peak load spike prices coexist and represent over-supply and over-demand, respectively. It is important to interpret the impact of these extreme prices on sustainable power management from the perspective of economics. In this paper, we build a principal component analysis (PCA) to assess the impact of the two opposite phenomena on the smart grid electricity system. We perform a big-data study using intra-day data from the Pennsylvania, New Jersey, and Maryland (PJM) electricity system with over 11,000 transmission lines. As the contribution, this paper (1) measures the price fluctuations from the perspective of economics, (2) captures and observes the full-length behavior of negative and spike pricing in a modern smart grid system with multi-transmission lines and high-frequency price updates, and (3) employs methods with distinctive advantages to bring more in-depth findings to interpret the smart grid system. We find that spike prices hold the principal explanatory power for electricity market fluctuation in all the transmission lines. The results are consistent with previous studies about resolutions such as electrical energy storage, transmission capacity upgrade, and demand response.

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Section: Discussionsupporting

confidence: 93%

Section: Discussionmentioning

confidence: 99%

Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market

Cursio

Sun

2018

Sustainability

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“…This effect is not only present in the German energy system, but has also been demonstrated for the Texan electricity market [13]. Electricity prices further inhibit statistically significant calendar effects [14]. While most renewable energy producers are currently shielded from these market effects by guaranteed infeed tariffs, this system is being phased out gradually in Germany.…”

Section: Introductionmentioning

confidence: 93%

Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios

2020

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With an increasing share of renewable energy resources participating in electricity markets, there is a growing dependence between renewable power production and clearing prices of spot markets. Modeling this dependence using bivariate analysis can result in underestimation of market risks and adverse effects for stakeholders’ risk management. To enable an undistorted risk assessment, we are using a copula approach to precisely and jointly model electricity prices and infeed volumes of wind power. We simulate the case of wind farm operators using power purchase agreements (PPAs) to shift the price risk to an energy trader, who integrates the infeed into its portfolio. The trader’s portfolio can either be geographically dispersed, or highly localized. Based on its portfolio, the energy trader can decide to use derivatives such as futures to manage its risk exposure. The trader decides on future volumes subject to its portfolio’s inherent volatility. With a given risk averse strategy, a sufficiently diverse portfolio can help reduce the necessity to trade futures and subsequently the disadvantage of having to pay potential risk premiums.

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“…Mayer, Trück (2018) examine wholesale electricity spot prices with regard to seasonal patterns, volatility, and the occurrence of price spikes and compare market design and production characteristics [35]. Li, Cursio, Jiang, Liang (2019) assess the influence of calendar effects on the electricity prices [36].…”

Section: Literature Reviewmentioning

confidence: 99%

Electricity Markets Instability: Causes of Price Dispersion

et al. 2021

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The creation of a single competitive EU energy market is aimed at establishing a fair price in the integrated market space. However, electricity markets in European countries remain rather fragmented, and the marginal pricing method, which is the basic one used in the market, conditions a persistent price dispersion in the search for market equilibrium. This study examines the dispersion of electricity prices in 40 bidding zones in 26 European countries by means of quartile analysis. The geographic orientation of the markets, direction of electricity flows, and structure of electricity generation are considered as the causes of this dispersion. In the study, the geographical boundaries of the electricity markets are determined using the methods of correlation analysis of prices and transitive closure of commercial electricity flows. This makes it possible to single out highly integrated, moderately integrated, poorly integrated, and non-integrated markets. Using cluster analysis, electricity markets are classified according to the structure of electricity generation and direction of flows, with the identification of five clusters based on the dominant type of generation and three clusters based on the dominant direction of electricity supply. For each factor under investigation, the intragroup price dispersion is established. The results of the study have allowed to build a three-dimensional matrix that provides for determining the directions of changes in electricity prices when moving between its quadrants.

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The significance of calendar effects in the electricity market

Cited by 12 publications

References 63 publications

Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market

Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market

Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios

Electricity Markets Instability: Causes of Price Dispersion

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