自由化市場における電力価格への一因子平均回帰式の適用性 Applicability of One-factor Mean-reversion Equation to Electricity Price in Deregulated Markets

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著者

    • 熊谷 誠治 KUMAGAI Seiji
    • 秋田県立大学 システム科学技術学部 機械知能システム学科 Department of Machine Intelligence Systems Engineering, Akita Prefectural University

抄録

One-factor mean-reversion equation (OFMRE) having three parameters of reversion speed, mean-reversion level, and volatility is a mathematical model to simulate a characteristic of electricity price which tends to revert to the mean-reversion level with a random walk. An applicability of OFMRE to 1 year, 3 months, and 2 months-periods of electricity price at three foreign deregulated day-ahead spot markets (Nord Pool, National Electricity Market of Australia, and PJM day-ahead market) at year 2000-2001 was studied. 1 year-period of electricity price at all the markets could not be applied to OFMRE, but several 3 months-period or 2 months-period of the electricity price at Nord Pool and PJM day-ahead market could be applied, which was related with price spike appearances and/or normal distribution of the electricity price.

収録刊行物

  • 電気学会論文誌. B, 電力・エネルギー部門誌 = The transactions of the Institute of Electrical Engineers of Japan. B, A publication of Power and Energy Society  

    電気学会論文誌. B, 電力・エネルギー部門誌 = The transactions of the Institute of Electrical Engineers of Japan. B, A publication of Power and Energy Society 126(10), 1058-1064, 2006-10-01 

    The Institute of Electrical Engineers of Japan

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各種コード

  • NII論文ID(NAID)
    10018780922
  • NII書誌ID(NCID)
    AN10136334
  • 本文言語コード
    JPN
  • 資料種別
    ART
  • ISSN
    03854213
  • NDL 記事登録ID
    8526472
  • NDL 雑誌分類
    ZN31(科学技術--電気工学・電気機械工業)
  • NDL 請求記号
    Z16-794
  • データ提供元
    CJP書誌  NDL  J-STAGE 
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