相关论文: Extremal Dependence in Australian Electricity Mark…

The South Australia region of the Australian National Electricity Market (NEM) displays some of the highest levels of price volatility observed in modern electricity markets. This paper outlines an approach to probabilistic forecasting…

Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…

An increase in energy production from renewable energy sources is viewed as a crucial achievement in most industrialized countries. The higher variability of power production via renewables leads to a rise in ancillary service costs over…

In recent years Australia has observed a growing, unexplained resilience of increasing house price trends. Here, we seek to understand what is driving Australia's indestructible asset using insights from market experts. We construct a…

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…

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…

In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…

We discuss and extend methods for estimating Markovian-Regime-Switching (MRS) and trend models for wholesale electricity prices. We argue the existing methods of trend estimation used in the electricity price modelling literature either…

Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…

The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…

The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the…

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…

Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…

Accurate electricity price forecasting (EPF) is essential for market participants to support operational planning and risk management, yet remains challenging due to strong volatility, nonlinear dynamics, and frequent extreme price spikes.…

The purpose of this paper is to illustrate new techniques for computing multiday extreme precipitation taken from recent theoretical advancements in extreme value theory in the framework of dynamical systems, using historical precipitation…

A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…

Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…

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.…

Accurate electricity price forecasting (EPF) is increasingly difficult in markets characterised by extreme volatility, frequent price spikes, and rapid structural shifts. Deep learning (DL) has been increasingly adopted in EPF due to its…

This thesis presents a fundamental rethink of electricity market design at the wholesale and balancing layers. Rather than treating markets as static spot clearing mechanisms, it reframes them as a continuously online, event driven…