電力先物価格の1因子モデル分析とその応用 A Single-Factor Model Analysis of Electricity Futures Price and its Application

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著者

    • 伊藤 保之 ITOH Yasuyuki
    • (株)東芝 電力・社会システム技術開発センター Power and Industrial System Research and Development Center, Toshiba Corporation
    • 小林 武則 KOBAYASHI Takenori
    • (株)東芝 電力・社会システム技術開発センター Power and Industrial System Research and Development Center, Toshiba Corporation

抄録

This paper presents a single-factor model to describe the fluctuation of the electricity futures price for its trading risk management. An autoregressive moving-average model (ARMA(2, 1) process) was used to express the stochastic process of the price, instead of a conventionally used Malkov process such as the AR(1) process, where the ARMA(2, 1) process becomes a hybrid of short- and long-term mean-reversion processes in the continuous time model. This model was applied to the analysis of the price of the electricity futures (the PJM Monthly) traded at the New York Mercantile Exchange (NYMEX). The result showed that the model well explained the term structure of the volatility of futures price with respect to the time to maturity, which is important for estimating its trading risk. The expected long-term fixed electricity price and its confidence interval were also estimated by using the obtained model function of the forward curve and its parameters.

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 128(7), 912-918, 2008-07-01 

    The Institute of Electrical Engineers of Japan

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各種コード

  • NII論文ID(NAID)
    10021131032
  • 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
    9564737
  • 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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