Related papers: Modeling electricity spot prices using mean-revert…
Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German…
As variable renewable energy increases and more demand is electrified, we expect price formation in wholesale electricity markets to transition from being dominated by fossil fuel generators to being dominated by the opportunity costs of…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
The electricity grid is expected to require vast investments due to the decarbonization-by-electrification trend, calling for a change in grid tariff design which provides proper incentives for reducing peak loads. However, price signals…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we…
In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…
Since the 1990s, widespread introduction of central (wholesale) electricity markets has been seen across multiple continents, driven by the search for efficient operation of the power grid through competition. The increase of renewables has…
In this paper we apply Markovian approximation of the fractional Brownian motion (BM), known as the Dobric-Ojeda (DO) process, to the fractional stochastic volatility model where the instantaneous variance is modelled by a lognormal process…
Power grids are moving towards 100% renewable energy source bulk power grids, and the overall dynamics of power system operations and electricity markets are changing. The electricity markets are not only dispatching resources economically…
Electricity prices strongly depend on seasonality of different time scales, therefore any forecasting of electricity prices has to account for it. Neural networks have proven successful in short-term price-forecasting, but complicated…
In electricity markets, locational marginal price (LMP) forecasting is particularly important for market participants in making reasonable bidding strategies, managing potential trading risks, and supporting efficient system planning and…
In Europe, Germany is taking the lead in the switch from the conventional to renewable energy. This poses new challenges as wind and solar energy are fundamentally intermittent, weather-dependent and less predictable. It is therefore of…
Kramkov and Sirbu (2006, 2007) have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving a mean-variance hedging problem under a specific equivalent martingale measure and…
It is well documented from various empirical studies that the volatility process of an asset price dynamics is stochastic. This phenomenon called for a new approach to describing the random evolution of volatility through time with…
Purpose: Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity…
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…
We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…