Related papers: Measuring long-range dependence in electricity pri…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. Demand and supply are balanced on a knife-edge because electric power cannot be economically stored, end user demand is…
Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and…
We analyze long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles -- mainly intraday and daily -- we opt for the detrended…
The large variability of renewable power sources is a central challenge in the transition to a sustainable energy system. Electricity markets are central for the coordination of electric power generation. These markets rely evermore on…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian…
The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an increasing uncertainty about future electricity price movements.…
Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes and their transmission between regions pose significant risks for market participants. We examine the…
Electricity is bought and sold in wholesale markets at prices that fluctuate significantly. Short-term forecasting of electricity prices is an important endeavor because it helps electric utilities control risk and because it influences…
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibit fluctuations which are not described by a Brownian Motion,…
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This…
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the…
The marginal price of electricity traditionally depends on the dual variables associated with relevant optimization goals. Particularly, in the optimal power flow realm, prices represent the cost of supplying an additional unit of power at…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
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…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
In this paper, a multivariate constrained robust M-regression (MCRM) method is developed to estimate shaping coefficients for electricity forward prices. An important benefit of the new method is that model arbitrage can be ruled out at an…