Modelling prices in competitive electricity markets
著者
書誌事項
Modelling prices in competitive electricity markets
(Wiley finance series)
J. Wiley, c2004
大学図書館所蔵 全5件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references and index
内容説明・目次
内容説明
Electricity markets are structurally different to othercommodities, and the real-time dynamic balancing of the electricitynetwork involves many external factors. Because of this, it is nota simple matter to transfer conventional models of financial timeseries analysis to wholesale electricity prices.
The rationale for this compilation of chapters from internationalauthors is, therefore, to provide econometric analysis of wholesalepower markets around the world, to give greater understanding oftheir particular characteristics, and to assess the applicabilityof various methods of price modelling.
Researchers and professionals in this sector will find the book aninvaluable guide to the most important state-of-the-art modellingtechniques which are converging to define the special approachesnecessary for unravelling and forecasting the behaviour ofelectricity prices. It is a high-quality synthesis of the work offinancial engineering, industrial economics and power systemsanalysis, as they relate to the behaviour of competitiveelectricity markets.
目次
List of Contributors. Preface.
1 Structural and Behavioural Foundations of Competitive Electricity Prices (Derek W. Bunn).
PART I: PRICES AND STRATEGIC COMPETITION.
2 Competitors? Response Representation for Market Simulation in the Spanish Daily Market (Efraim Centeno Hernaez, Julian Barquin Gil, Jose Ignacio de la Fuente Leon, Antonio Munoz San Roque, Mariano J. Ventosa Rodriguez, Javier Garcia Gonzalez, Alicia Mateo Gonzalez, and Agustin Martin Calmarza).
2.1 Introduction.
2.2 Hourly bidding-based Spanish electricity markets.
2.3 A two-phase clustering procedure for the analysis of bid functions.
2.4 Forecasting methods for residual demand functions using time series (ARIMA) models.
2.5 Discovering electricity market states for forecasting the residual demand function using input?output hidden Markov models.
2.6 Conjectural variations approach for modelling electricity markets.
2.7 Conclusions.
Appendix: Nomenclature.
References.
3 Complementarity-Based Equilibrium Modeling for Electric Power Markets (Benjamin F. Hobbs and Udi Helman).
3.1 Introduction.
3.2 Definitions.
3.3 A general complementarity-based model of energy commodity markets.
3.4 A comparison of two approaches to modeling Cournot generators on a transmission network.
3.5 A large-scale application: the North American Eastern Interconnection.
3.6 Conclusion.
Acknowledgments.
References.
4 Price Impact of Horizontal Mergers in the British Generation Market (John Bower).
4.1 Introduction.
4.2 England and Wales wholesale electricity market.
4.3 Analysis.
4.4 Price forecast.
General references.
Ofgem references.
PART II: SPOT MARKET DYNAMICS.
5 Testing for Weekly Seasonal Unit Roots in the Spanish Power Pool (Angel Leon and Antonio Rubia).
5.1 Introduction.
5.2 Data.
5.3 Testing for seasonal unit roots.
5.4 Concluding remarks.
Appendix A: Prewhitening procedure.
Appendix B: Critical values of the HEGY test.
Acknowledgements.
References.
6 Nonlinear Time Series Analysis of Alberta?s Deregulated Electricity Market (Apostolos Serletis and Ioannis Andreadis).
6.1 Introduction.
6.2 A noise model.
6.3 A multifractal formalism setting.
6.4 On turbulent behavior.
6.5 On nonlinearity.
6.6 On chaos.
6.7 Conclusion.
Acknowledgments.
References.
7 Quantile-Based Probabilistic Models for Electricity Prices (Shi-Jie Deng and Wenjiang Jiang).
7.1 Introduction.
7.2 Quantile-based distributions and the modelling of marginal distributions of electricity price. 7.3 Quantile-GARCH models and the modelling of time series of electricity price.
7.4 Parameter Inference.
7.5 Conclusion.
Acknowledgements.
References.
8 Forecasting Time-Varying Covariance Matrices in the Intradaily Spot Market of Argentina (Angel Leon and Antonio Rubia).
8.1 Introduction.
8.2 VAR analysis for block bids.
8.3 Modelling the conditional covariance matrix.
8.4 Forecasting conditional covariance matrices.
8.5 Concluding remarks.
Acknowledgements.
References.
PART III: SPATIAL PRICE INTERACTIONS.
9 Identifying Dynamic Interactions in Western US Spot Markets (Christine A. Jerko, James W. Mjelde and David A. Bessler).
9.1 Introduction.
9.2 Data.
9.3 Methods.
9.4 Results.
9.5 Discussion.
References.
10 Transmission of Prices and Volatility in the Australian Electricity Spot Markets (Andrew C. Worthington and Helen Higgs).
10.1 Introduction.
10.2 Data and summary statistics.
10.3 Multivariate GARCH model.
10.4 Empirical results.
10.5 Conclusion.
References.
PART IV: FORWARD PRICES.
11 Forecasting Higher Moments of the Power Price Using Medium-Term Equilibrium Economics and the Value of Security of Supply (Chris Harris).
11.1 Introduction.
11.2 Construction of the moments of price.
11.3 Worked example.
11.4 Commentary.
11.5 Conclusions.
References.
12 Modeling Electricity Forward Curve Dynamics in the Nordic Market (Nicolas Audet, Pirja Heiskanen, Jussi Keppo and Iivo Vehvilainen).
12.1 Introduction.
12.2 The model.
12.3 Forward model in the Nordic market.
12.4 Model usage examples.
12.5 Conclusion.
Appendix: Estimation of model parameters.
Acknowledgments.
References.
13 The Forward Curve Dynamic and Market Transition Forecasts (Svetlana Borovkova).
13.1 The term structure of commodity futures prices.
13.2 Forecasting market transitions.
13.3 Critical regions and bootstrap methods.
13.4 Application to electricity and oil futures.
13.5 Concluding remarks.
References.
PART V: FORECASTING AND RISK MANAGEMENT.
14 Price Modelling for Profit at Risk Management (Jacob Lemming).
14.1 Introduction.
14.2 Electricity price modelling.
14.3 A profit at risk risk management model.
14.4 Modelling input parameters.
14.5 Experimental results.
14.6 Conclusions.
References.
15 ForecastingWeather Variable Densities for Weather Derivatives and Electricity Prices (James W. Taylor).
15.1 Introduction.
15.2 Weather ensemble predictions.
15.3 Univariate time series modelling of weather variables.
15.4 Empirical comparison of weather point forecasts.
15.5 Empirical comparison of weather quantile forecasts.
15.6 Summary of the analysis of temperature, wind speed and cloud cover.
15.7 Forecasting the payoff density for a weather derivative.
15.8 Electricity demand modelling.
15.9 Concluding comments.
References.
Index.
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