WorldWideScience

Sample records for volatile electricity market

  1. Price volatility in wind dominant electricity markets

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe

    2013-01-01

    High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance to genera......High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance...... electricity markets. High price volatility is unappreciated because it imposes high financial risk levels to both electricity consumers and producers. Additionally high price variations impede tracking price signals by consumers in future smart grid and jeopardize implementation of demand response concepts....... The main contribution of this paper is to quantify volatility patterns of electricity price, as penetration level of wind power increases. Results explain a direct relationship between wind penetration and electricity price volatility in a quantitative manner....

  2. Volatility transmission and volatility impulse response functions in European electricity forward markets

    Energy Technology Data Exchange (ETDEWEB)

    Le Pen, Yannick [Institut d' Economie et de Management de Nantes - IAE, Universite de Nantes, Chemin de la Censive du Tertre, BP 52231, 44322 Nantes cedex 3 (France); Sevi, Benoit [Universite d' Angers (GRANEM), Faculte de Droit, Economie et Gestion, Universite d' Angers, 13 allee Francois Mitterrand, BP 13633, 49036 Angers cedex 01 (France)

    2010-07-15

    Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be a consequence of the non-storability of power. Finally, we estimate the density of the VIRF at different forecast horizons. These fitted distributions are asymmetric and show that large increases in expected conditional volatilities are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy depends on option prices which themselves depend on the characteristics of volatility. (author)

  3. Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, A.; Kay-Spratley, A.; Higgs, H. [Queensland University of Technology, Brisbane (Australia). School of Economics and Finance

    2005-03-01

    This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary. (author)

  4. Transmission of prices and price volatility in Australian electricity spot markets. A multivariate GARCH analysis

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, Andrew; Kay-Spratley, Adam; Higgs, Helen [School of Economics and Finance, Queensland University of Technology, G.P.O. Box 2434, Brisbane, Qld 4001 (Australia)

    2005-03-15

    This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary.

  5. Excessive price reduction and extreme volatility in wind dominant electricity markets; solutions and emerging challenges

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe; Mousavi, Omid Alizadeh

    2013-01-01

    markets. While high price volatility imposes elevated risk levels for both electricity suppliers and consumers, excessive price reduction of electricity is a disincentive for investment in new generation capacity and might jeopardizes system adequacy in long term. A comparative study between marginal......High intermittency in the nature of wind power emphasize conceptual revising in the mechanisms of electricity markets with high wind power penetration levels. This paper introduces overmuch price reduction and high price volatility as two adverse consequences in future wind dominant electricity...... is developed. The paper indicates discriminatory pricing approach can be beneficial in high penetration of wind power because it alleviates high price variations and spikiness in one hand and prevents overmuch price reduction in wind dominant electricity markets on the other hand....

  6. Measuring and testing natural gas and electricity markets volatility : evidence from Alberta's deregulated markets

    Energy Technology Data Exchange (ETDEWEB)

    Serletis, A.; Shahmoradi, A. [Calgary Univ., AB (Canada). Dept. of Economics

    2005-03-01

    A number of innovative methods for modelling spot wholesale electricity prices have recently been developed. However, these models have primarily used a univariate time series approach to the analysis of electricity prices. This paper specified and estimated a multivariate GARCH-M model of natural gas and electricity price changes and their volatilities, using data over the deregulated period between January 1996 to November 2004 from Alberta's spot power and natural gas markets. The primary objective of the model was to investigate the relationship between electricity and natural gas prices. It was noted that the model allows for the possibilities of spillovers and asymmetries in the variance-covariance structure for natural gas and electricity price changes, and also for the separate examination of the effects of the volatility of anticipated and unanticipated changes in natural gas and electricity prices. Section 2 of the paper provided a description of the model used to test for causality between natural gas and electricity price changes, while section 3 discussed the data and presented the empirical results. It was concluded that there is a bidirectional causality between natural gas and electricity price changes. However, neither anticipated nor unanticipated natural gas price volatility causes electricity price changes. Anticipated electricity price volatility has a causal effect on natural gas. 10 refs., 2 tabs., 3 figs.

  7. Emerging Equity Market Volatility

    OpenAIRE

    Geert Bekaert; Harvey, Campbell R.

    1995-01-01

    Returns in emerging capital markets are very different from returns in developed markets. While most previous research has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital market refor...

  8. Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Higgs, Helen [Griffith University, Department of Accounting, Finance and Economics, Nathan campus, 170 Kessels Road, Nathan, Brisbane 4111, Queensland (Australia)

    2009-09-15

    This paper examines the inter-relationships of wholesale spot electricity prices among the four regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales, Queensland, South Australia and Victoria using the constant conditional correlation and Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) and Engle's (Engle, R., 2002. Dynamic conditional correlation: a sample class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 (3), 339-350.) dynamic conditional correlation multivariate GARCH models. Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) dynamic conditional correlation multivariate GARCH model which takes account of the Student t specification produces the best results. At the univariate GARCH(1,1) level, the mean equations indicate the presence of positive own mean spillovers in all four markets and little evidence of mean spillovers from the other lagged markets. In the dynamic conditional correlation equation, the highest conditional correlations are evident between the well-connected markets indicating the presence of strong interdependence between these markets with weaker interdependence between the not so well-interconnected markets. (author)

  9. Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey

    Energy Technology Data Exchange (ETDEWEB)

    Soytas, Ugur; Oran, Adil [METU, Dept. of BA, 06531 Ankara (Turkey)

    2011-01-15

    This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, our results show that the Cheung-Ng procedure with the use of disaggregated stock index returns can uncover new information that went unnoticed with the traditional causality tests using aggregated market indices. (author)

  10. Stock markets liberalization affects volatility?

    OpenAIRE

    Ioan Alin NISTOR; Maria-Lenuţa CIUPAC-ULICI; GHERMAN Mircea-Cristian

    2012-01-01

    Regarding the impact of liberalization, the results show that, in general, market opening is accompanied by a significant increase in market volatility. In particular, volatility tends to decrease due to large capital inflows and domestic growth.The study analyzes the impact of stock market liberalization on volatility in six emerging stock markets by using GARCH methodology. Theory on the effects of financial liberalization on volatility has been ambiguous, and empirical work has yielded con...

  11. Oil and stock market volatility: A multivariate stochastic volatility perspective

    Energy Technology Data Exchange (ETDEWEB)

    Vo, Minh, E-mail: minh.vo@metrostate.edu

    2011-09-15

    This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction. It offers four major findings. First, the stock and oil futures prices are inter-related. Their correlation follows a time-varying dynamic process and tends to increase when the markets are more volatile. Second, conditioned on the past information, the volatility in each market is very persistent, i.e., it varies in a predictable manner. Third, there is inter-market dependence in volatility. Innovations that hit either market can affect the volatility in the other market. In other words, conditioned on the persistence and the past volatility in their respective markets, the past volatility of the stock (oil futures) market also has predictive power over the future volatility of the oil futures (stock) market. Finally, the model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry. - Research Highlights: > This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility model. > The correlation between the two markets follows a time-varying dynamic process which tends to increase when the markets are more volatile. > The volatility in each market is very persistent. > Innovations that hit either market can affect the volatility in the other market. > The model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry.

  12. STOCK MARKET VOLATILITY: DEVELOPED AND EMERGING MARKETS

    National Research Council Canada - National Science Library

    Mohammad Athar Noor; Mohd Asif Khan

    2012-01-01

      This paper examines the general patterns of recent global stock market returns and the volatility of such returns using 17 global stock indexes of countries classified into developed and emerging...

  13. Understanding Financial Market Volatility

    NARCIS (Netherlands)

    A. Opschoor (Anne)

    2014-01-01

    markdownabstract__Abstract__ Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. Loosely speaking, volatility is defined as the average magnitude of fluctuations observed in some phenomenon over time. Wi

  14. Understanding Financial Market Volatility

    NARCIS (Netherlands)

    A. Opschoor (Anne)

    2014-01-01

    markdownabstract__Abstract__ Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. Loosely speaking, volatility is defined as the average magnitude of fluctuations observed in some phenomenon over

  15. Observability of market daily volatility

    Science.gov (United States)

    Petroni, Filippo; Serva, Maurizio

    2016-02-01

    We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 to 2014. We show that it is possible to define a Daily Market Volatility σ(t) which is directly observable from data. This quantity is usually indirectly defined by r(t) = σ(t) ω(t) where the r(t) are the daily returns of the market index and the ω(t) are i.i.d. random variables with vanishing average and unitary variance. The relation r(t) = σ(t) ω(t) alone is unable to give an operative definition of the index volatility, which remains unobservable. On the contrary, we show that using the whole information available in the market, the index volatility can be operatively defined and detected.

  16. Risk Management in Electricity Markets : Hedging and Market Incompleteness

    NARCIS (Netherlands)

    Willems, Bert; Morbee, J.

    2008-01-01

    Abstract: The high volatility of electricity markets gives producers and retailers an incentive to hedge their exposure to electricity prices. This paper studies how welfare and investment incentives are affected when markets for derivatives are introduced, and to what extent this depends on market

  17. Arbitrage and Volatility in Chinese Stock's Markets

    Science.gov (United States)

    Lu, Shu Quan; Ito, Takao; Zhang, Jianbo

    From the point of view of no-arbitrage pricing, what matters is how much volatility the stock has, for volatility measures the amount of profit that can be made from shorting stocks and purchasing options. With the short-sales constraints or in the absence of options, however, high volatility is likely to mean arbitrage from stock market. As emerging stock markets for China, investors are increasingly concerned about volatilities of Chinese two stock markets. We estimate volatility's models for Chinese stock markets' indexes using Markov chain Monte Carlo (MCMC) method and GARCH. We find that estimated values of volatility parameters are very high for all data frequencies. It suggests that stock returns are extremely volatile even at long term intervals in Chinese markets. Furthermore, this result could be considered that there seems to be arbitrage opportunities in Chinese stock markets.

  18. Electricity market 2001

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2001-09-01

    The electricity markets in the Nordic countries have undergone major changes since the electricity market reform work was started in the early 1990s. Sweden, Norway and Finland have had a common electricity market since 1996. The work of also reforming the Danish electricity market was begun in the year 2000. The objective of the electricity market reform is to introduce increased competition, to give the consumers greater freedom of choice and also, by open and expanded trade in electricity, create the conditions for efficient pricing. The Swedish National Energy Administration is the supervisory authority as specified in the Electricity Act, and one of the tasks entrusted to it by the Government is to follow developments on the electricity market and to regularly compile and report current market information. The purpose of the 'Electricity market 2001' publication is to meet the need for generalized and readily accessible information on the conditions on the Nordic market. Iceland is not included in the description. The publication also includes summaries of information from recent years concerning electricity generation and utilization in the Nordic countries, the structure of the electricity market from the players' perspective, trade in electricity in the Nordic countries and in Northern Europe, electricity prices in the Nordic and other countries, and the impact of the electricity sector on the environment. The publication contains data on electricity generation and use during the past years, structure of the electricity market, trade in electricity in the Nordic countries and northern Europe, electricity prices in the Nordic countries and other countries as well as impact of electricity generation system on the environment.

  19. Electricity market 2000

    Energy Technology Data Exchange (ETDEWEB)

    Korsfeldt, T.; Petsala, B.

    2000-08-01

    The electricity markets in the Nordic countries have undergone major changes since the electricity market reform work was started in the early 1990s. Sweden, Norway and Finland have a common electricity market since 1996.The work of also reforming the Danish electricity market was begun in the year 2000. The objective of the electricity market reform is to introduce increased competition,to give the consumers greater freedom of choice and also, by open and expanded trade in electricity, create the conditions for efficient pricing. The Swedish National Energy Administration is the supervisory authority as specified in the Electricity Act, and one of the tasks entrusted to it by the Government is to follow developments on the electricity market and to regularly compile and report current market information. The purpose of the present publication is to meet the need for generalized and readily accessible information on the conditions on the Nordic markets.The publication includes summaries of information from recent years concerning electricity generation and utilization in the Nordic countries, the structure of the electricity market from the players' perspective trade in electricity in the Nordic countries and in Northern Europe, electricity prices in the Nordic and other countries, and the impact of the electricity sector on the environment.

  20. The price of fixed income market volatility

    CERN Document Server

    Mele, Antonio

    2015-01-01

    Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...

  1. Future Electricity Markets

    DEFF Research Database (Denmark)

    Pinson, Pierre

    2015-01-01

    The changing face of energy production in Europe necessitates a rethink in the way that electricity markets are structured. The ‘5s’ (Future Electricity Markets) project is a multi-disciplinary project that is looking to challenge the current approach to the design and operation of electricity...

  2. Cost Linkages Transmit Volatility Across Markets

    DEFF Research Database (Denmark)

    Nguyen, Daniel Xuyen; Schaur, Georg

    to link the domestic and export supply costs. This theoretical contribution has two new implications for the exporting firm. First, the demand volatility in the foreign market now directly affects the firm's domestic sales volatility. Second, firms hedge domestic demand volatility with exports. The model...

  3. Stock market volatility and macroeconomic uncertainty

    NARCIS (Netherlands)

    Arnold, I.J.M.; Vrugt, E.B.

    2006-01-01

    This paper provides empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from SPF survey participants over the period from 1969 to 1996. This link is much

  4. Stock market volatility and macroeconomic uncertainty

    NARCIS (Netherlands)

    Arnold, I.J.M.; Vrugt, E.B.

    2006-01-01

    This paper provides empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from SPF survey participants over the period from 1969 to 1996. This link is much

  5. Fundamental uncertainty and stock market volatility

    NARCIS (Netherlands)

    Arnold, I.J.M.; Vrugt, E.B.

    2008-01-01

    We provide empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from participants in the Survey of Professional Forecasters over the period 1969 to 1996.

  6. Anticipating Long-Term Stock Market Volatility

    OpenAIRE

    Conrad, Christian; Loch, Karin

    2012-01-01

    We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results provide strong evidence in favor of counter-cyclical behavior of long-term stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate profits and the unemployment rate have the highest predictive ability for stock market volatility . While the term spread and housing starts are...

  7. Market volatility modeling for short time window

    Science.gov (United States)

    de Mattos Neto, Paulo S. G.; Silva, David A.; Ferreira, Tiago A. E.; Cavalcanti, George D. C.

    2011-10-01

    The gain or loss of an investment can be defined by the movement of the market. This movement can be estimated by the difference between the magnitudes of two stock prices in distinct periods and this difference can be used to calculate the volatility of the markets. The volatility characterizes the sensitivity of a market change in the world economy. Traditionally, the probability density function (pdf) of the movement of the markets is analyzed by using power laws. The contributions of this work is two-fold: (i) an analysis of the volatility dynamic of the world market indexes is performed by using a two-year window time data. In this case, the experiments show that the pdf of the volatility is better fitted by exponential function than power laws, in all range of pdf; (ii) after that, we investigate a relationship between the volatility of the markets and the coefficient of the exponential function based on the Maxwell-Boltzmann ideal gas theory. The results show an inverse relationship between the volatility and the coefficient of the exponential function. This information can be used, for example, to predict the future behavior of the markets or to cluster the markets in order to analyze economic patterns.

  8. Electric glass capturing markets

    Energy Technology Data Exchange (ETDEWEB)

    Wikman, K.; Wikstroem, T.

    1996-11-01

    Electric glass has found its place on the construction market. In public buildings, electrically heatable windows are becoming the leading option for large glass walls. Studies on detached houses, both new and renovated, show that floor heating combined with electrically heatable windowpanes is the best choice with respect to resident`s comfort. (orig.)

  9. Electric glass capturing markets

    Energy Technology Data Exchange (ETDEWEB)

    Wikman, K.; Wikstroem, T.

    1996-11-01

    Electric glass has found its place on the construction market. In public buildings, electrically heatable windows are becoming the leading option for large glass walls. Studies on detached houses, both new and renovated, show that floor heating combined with electrically heatable windowpanes is the best choice with respect to resident`s comfort. (orig.)

  10. Renewables in Electricity Markets

    DEFF Research Database (Denmark)

    Ordoudis, Christos; Papakonstantinou, Athanasios; Pinson, Pierre

    2014-01-01

    Electricity is nowadays commonly exchanged through electricity markets, designed in a context where dispatchable generators, with non-negligible marginal costs, were dominating. By depending primarily on conventional (fossil, hydro and nuclear) power generation based on marginal pricing, determin......Electricity is nowadays commonly exchanged through electricity markets, designed in a context where dispatchable generators, with non-negligible marginal costs, were dominating. By depending primarily on conventional (fossil, hydro and nuclear) power generation based on marginal pricing......) Markets. In Energy Analytics we focus on forecasting the various quantities of energy systems, such as wind power, energy consumption and the corresponding prices, and on developing decision making tools in a market environment. This is supported by a serious commitment in data mining and analysis...... coupled day-ahead markets for the member states and co-ordination for balancing, by looking into coupling mechanisms that promote the effective cooperation between the power systems of various countries....

  11. Forecasting volatility of crude oil markets

    Energy Technology Data Exchange (ETDEWEB)

    Kang, Sang Hoon [Department of Business Administration, Gyeongsang National University, Jinju, 660-701 (Korea); Kang, Sang-Mok; Yoon, Seong-Min [Department of Economics, Pusan National University, Busan, 609-735 (Korea)

    2009-01-15

    This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)

  12. Essays on electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Rud, Linda

    2009-07-01

    The report covers several topics of electricity markets: The first essay, 'Selected Topics on Early Electricity Market Design in Norway' studies market design issues in establishing the market-based Norwegian electricity market. Essays 2-4 focus on issues of network congestion: 'Capacity Charges: A Price Adjustment Process for Managing Congestion in Electricity Transmission Networks' presents the capacity charge approach for managing transmission constraints in electricity networks. 'Understanding the Stochastics of Nodal Prices: Price Processes in a Constrained Network' seeks a further understanding of stochastic nodal prices processes. 'Investment Evaluation in a Constrained Electricity Network with Stochastic Nodal Price Processes' studies how the interaction of the competitive market and the capacitated network affects the evaluation of investments under uncertainty, and points out potential pitfalls of evaluation. In the last essay, 'A Newsboy Model Perspective on the Power Market: The Case of a Wind Power Producer' we discuss aspects of optimal bidding for a wind power producer. (Author)

  13. Price volatility and banking in green certificate markets

    DEFF Research Database (Denmark)

    Amundsen, Eirik Schrøder; Baldursson, Fridrik M.; Mortensen, Jørgen Birk

    2006-01-01

    There is concern that prices in a market for Green Certificates (GCs) primarily based on volatile wind power will fluctuate excessively, leading to corresponding volatility of electricity prices. Applying a ratinal expectations simulation model of competitive storage and specualtion of GCs...... the paper shows that the introduction of banking of GCs may reduce price volatility considerably and lead to increased social surplus. Banking lowers average prices and is therefore not necessarily to the benefit of 'green producers'. Prooposed price bounds on GC-prices will reduce the importance of banking...

  14. Volatility Spillover Effects in European Equity Markets

    NARCIS (Netherlands)

    Baele, L.

    2003-01-01

    This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a country speciffic shock, a regional European shock

  15. The volatility of stock market prices.

    Science.gov (United States)

    Shiller, R J

    1987-01-02

    If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.

  16. Understanding Price Formation in Electricity Markets

    Science.gov (United States)

    Kadoya, Toshihisa; Sasaki, Tetsuo; Yokoyama, Akihiko; Ihara, Satoru

    The electricity price will influence the future growth and mix of generation capacity that will in turn influence the future electricity price, and therefore, it is important to understand how electricity price is formed as well as its short-term and long-term impacts on the economy. This paper describes evaluation of PJM day-ahead market bidding data and comparison of various electricity markets in terms of the market clearing price and volatility. The objective is to find critical factors and mechanisms determining the movements of electricity price. It was found that speculation by a small number of bidders can cause price spikes, that a Nash equilibrium may exist during a delayed response of the electricity price to a decline of the fuel price, and that the hydro generation with storage capability effectively stabilizes the electricity price.

  17. Exploring heterogeneous market hypothesis using realized volatility

    Science.gov (United States)

    Chin, Wen Cheong; Isa, Zaidi; Mohd Nor, Abu Hassan Shaari

    2013-04-01

    This study investigates the heterogeneous market hypothesis using high frequency data. The cascaded heterogeneous trading activities with different time durations are modelled by the heterogeneous autoregressive framework. The empirical study indicated the presence of long memory behaviour and predictability elements in the financial time series which supported heterogeneous market hypothesis. Besides the common sum-of-square intraday realized volatility, we also advocated two power variation realized volatilities in forecast evaluation and risk measurement in order to overcome the possible abrupt jumps during the credit crisis. Finally, the empirical results are used in determining the market risk using the value-at-risk approach. The findings of this study have implications for informationally market efficiency analysis, portfolio strategies and risk managements.

  18. Volatility and conditional distribution in financial markets

    OpenAIRE

    Abberger, Klaus

    1995-01-01

    There are various parametric models to analyse the volatility in time series of financial market data. For maximum likelihood estimation these parametric methods require the assumption of a known conditional distribution. In this paper we examine the conditional distribution of daily DAX returns with the help of nonparametric methods. We use kernel estimators for conditional quantiles resulting from a kernel estimation of conditional distributions.

  19. Asymmetric conditional volatility in international stock markets

    Science.gov (United States)

    Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A.

    2007-08-01

    Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.

  20. Electricity marketing and retailing

    Energy Technology Data Exchange (ETDEWEB)

    Kilby, M. [Canadian Meter Services, Toronto ON (Canada)

    2001-07-01

    Canadian Metering Services provides metrology expertise to power producers and has more than 40 years experience in the industry. The company is privately and nationally accredited in Canada and is an expert in data communications. This power point presentation focused on issues regarding prices and price stability. Graphs were included with the presentation which depicted the profiles of winners and losers in electricity marketing and retailing. The presentation also discussed the benefits of a market surveillance panel, AMV, and MDMA and how to go about choosing them. tabs., figs.

  1. Designing Multinational Electricity Balancing Markets

    NARCIS (Netherlands)

    Van der Veen, R.A.C.

    2012-01-01

    In today’s unbundled electricity markets, the balancing market is an intricate institutional arrangement that makes sure that the balance between electricity supply and demand is maintained. In the light of the development of a single electricity market in Europe, harmonization and integration of cu

  2. Designing Multinational Electricity Balancing Markets

    NARCIS (Netherlands)

    Van der Veen, R.A.C.

    2012-01-01

    In today’s unbundled electricity markets, the balancing market is an intricate institutional arrangement that makes sure that the balance between electricity supply and demand is maintained. In the light of the development of a single electricity market in Europe, harmonization and integration of

  3. Designing Multinational Electricity Balancing Markets

    NARCIS (Netherlands)

    Van der Veen, R.A.C.

    2012-01-01

    In today’s unbundled electricity markets, the balancing market is an intricate institutional arrangement that makes sure that the balance between electricity supply and demand is maintained. In the light of the development of a single electricity market in Europe, harmonization and integration of cu

  4. A novel approach to electricity market education

    Energy Technology Data Exchange (ETDEWEB)

    Karjalainen, R.; Viljainen, S.; Partanen, J. [Lappeenranta Univ. of Technology, Lappeenranta (Finland)

    2007-07-01

    The special characteristics of the competitive Nordic electricity markets were discussed with particular references to the challenges of operating an open power market. Electricity prices in Norway are highly volatile and difficult to estimate because the demand for electricity depends highly on temperature, while the supply of electricity is influenced by water reservoir levels and the price of carbon dioxide allowances. An innovative approach to power engineering education was proposed in an effort to provide power engineering students at Lappeenranta University of Technology (LUT) with skills that are needed for open electricity markets. In addition to the basic power engineering skills, these include an understand of risk management, financing, sales and marketing. The approach was based on developing theoretical and practical teaching methods that are applied in power engineering education at LUT. The practical learning methods played a key role in the development of a Power Exchange Game which was based on the operation of the Nordic power exchange Nord Pool. During the game, student teams used their knowledge and acted as portfolio managers of electric utilities where they analyzed and made decisions regarding the operation in the Nordic electricity market. Upon completion of the game, students were expected analyze their own performance in a final report. Most of the students considered the course an effective and interesting way to study the operation of electricity markets. 9 refs., 1 tab., 9 figs.

  5. Money market operations and volatility of UK money market rates

    OpenAIRE

    Anne Vila Wetherilt

    2003-01-01

    In this paper, the question of whether in the United Kingdom the choice of the operational framework for monetary policy has been systematically related to patterns in money market rates is examined. Attention is first focused on the Bank of England's policy target, the two-week repo rate. The tests indicate that tighter spreads between the two-week market rate and the official repo rate result in lower money market volatility at the very short end of the money market curve. The effects at th...

  6. Implied volatility transmissions between Thai and selected advanced stock markets

    OpenAIRE

    Thakolsri, Supachok; Sethapramote, Yuthana; Jiranyakul, Komain

    2015-01-01

    This paper investigates the impacts of changes in the U. S. implied volatility on the changes in implied volatilities of the Euro and Thai stock markets. For that purpose, volatilities implicit in stock index option prices from the U. S., Euro and Thai stock markets are analyzed using the standard Granger causality test, impulse response analysis, and variance decompositions. The results found in this study suggest that the U. S. stock market is the leading source of volatility transmissions ...

  7. Asymmetric Conditional Volatility in International Stock Markets

    CERN Document Server

    Ferreira, N B; Menezes, R; Ferreira, Nuno B.; Mendes, Diana A.; Menezes, Rui

    2006-01-01

    Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the S&P 500, FTSE100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of chan...

  8. Volatility spillover in Indonesia, USA, and Japan capital market

    OpenAIRE

    Mulyadi, Martin Surya

    2009-01-01

    Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets. That concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This research using daily return data from each country indices from January 2004 until December 2008 employing econometric model GARCH (1,1). ...

  9. Wholesale power marketing in restructured electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Sioshansi, F.P. [Convector Consulting Inc., Menlo Park, CA (United States); Altman, A. [Electric Power Research Institute, Palo Alto, CA (United States)

    1998-12-01

    Prior to 1992, very few people had heard the term power marketing. Today, power marketing is well-recognized, however, few people know what is behind the industry's exponential growth. This communication, which is based on a major study recently completed for the Electric Power Research Institute (EPRI), explains what power marketing is, who the power marketers are, what they do, and what's behind the industry's explosive growth in the past few years. It also explains what types of products and services power marketers offer, and what are the fundamental drivers of this demand. Understanding the last item is particularly significant, namely the growth of power marketing in the context of the rapid restructuring of the wholesale - soon to be followed by the retail - electricity markets in the US. (author)

  10. The Nordic financial electricity market

    Energy Technology Data Exchange (ETDEWEB)

    2010-11-15

    NordREG is a cooperation of the Nordic energy regulators. The mission is to actively promote legal and institutional framework and conditions necessary for developing the Nordic and European electricity markets. The financial market is an important market for market participants to mitigate their risks. By providing tools for risk management, the financial market contributes to the efficient functioning of both wholesale and end-user markets. NordREG decided during 2009 to undertake a study on the Nordic financial electricity market. The aim of the report is to consider whether any improvements can be made to further increase the efficiency of the Nordic financial electricity market in order to secure an optimal price setting in the wholesale and the end-user markets

  11. Three Essays on Stock Market Volatility

    OpenAIRE

    Li, Qianru

    2008-01-01

    Volatility is inherently unobservable, and thus the selection of models and their definition is crucial in financial research. This dissertation attempts to check the role of investor sentiment and forecast Value-at-Risk (VaR) of the stock market using both parametric and nonparametric approaches. In the first essay, based on daily return data of three stock indices and four individual stocks from January 1988 to December 2006, the role of day-of-the-week, as well as investor sentiment, is ex...

  12. Multifractal diffusion entropy analysis on stock volatility in financial markets

    Science.gov (United States)

    Huang, Jingjing; Shang, Pengjian; Zhao, Xiaojun

    2012-11-01

    This paper introduces a generalized diffusion entropy analysis method to analyze long-range correlation then applies this method to stock volatility series. The method uses the techniques of the diffusion process and Rényi entropy to focus on the scaling behaviors of regular volatility and extreme volatility respectively in developed and emerging markets. It successfully distinguishes their differences where regular volatility exhibits long-range persistence while extreme volatility reveals anti-persistence.

  13. Asymmetry Effects of shocks in Chinese Stock Markets Volatility

    DEFF Research Database (Denmark)

    Hou, Ai Jun

    2013-01-01

    The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies...... a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chinese stock markets. Furthermore, compared with other parametric models, the generalized additive...

  14. Financial Crisis, Monetary Policy, and Stock Market Volatility in China

    OpenAIRE

    Cheng-si Zhang; Da-yin Zhang; Jeffery Breece

    2011-01-01

    This paper employs the Markov regime switching GARCH model to capture the nature of China's stock market volatility in 2003-2009. We find a significant regime shift in the volatility of the stock market when the People's Bank of China adopted an accommodative monetary policy in response to the global financial crisis of 2007-2008. After the structural change, China's stock market moved into a regime with increased volatility, which appears to be persisting into the near future. This finding s...

  15. Modeling and Forecasting the Volatility of Eastern European Emerging Markets

    Directory of Open Access Journals (Sweden)

    Sang Hoon Kang

    2009-06-01

    Full Text Available This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, namely, Hungary, Poland, Russia, and Slovakia. From the results of our empirical analysis, we found that the FIGARCH model is better equipped to capture the long memory property in the volatility of these markets than the GARCH and IGARCH models. More importantly, the FIGARCH model is found to provide superior performance in one-day-ahead volatility forecasts. Thus, this study recommends researchers, portfolio managers, and traders to use the long memory FIGARCH model in analyzing and forecasting the volatility dynamics of Eastern European emerging markets.

  16. Design choices for electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    De Vries, Laurens

    2007-07-01

    Ten years after the first European Electricity Directive, the goal of creating a single European electricity market has not been reached, despite concerted efforts by the EU and certain member states to continue with the reforms. The policy of subsidiarity for many aspects of market design has as a consequence that member countries are implementing a variety of different market designs and are implementing the reforms at varying speeds. The Florence regulatory process, which was intended to provide a bottom-up approach for coordination and harmonization, has effectively stalled and been replaced by a series of 'mini fora' in which smaller groups of countries work on integrating their markets. At the same time, the European electricity supply industry is facing some significant challenges. This paper investigates the different choices that can be made in the design of electricity markets, how they relate to each other and how they relate to the policy goals. (auth)

  17. Modeling spot markets for electricity and pricing electricity derivatives

    Science.gov (United States)

    Ning, Yumei

    Spot prices for electricity have been very volatile with dramatic price spikes occurring in restructured market. The task of forecasting electricity prices and managing price risk presents a new challenge for market players. The objectives of this dissertation are: (1) to develop a stochastic model of price behavior and predict price spikes; (2) to examine the effect of weather forecasts on forecasted prices; (3) to price electricity options and value generation capacity. The volatile behavior of prices can be represented by a stochastic regime-switching model. In the model, the means of the high-price and low-price regimes and the probabilities of switching from one regime to the other are specified as functions of daily peak load. The probability of switching to the high-price regime is positively related to load, but is still not high enough at the highest loads to predict price spikes accurately. An application of this model shows how the structure of the Pennsylvania-New Jersey-Maryland market changed when market-based offers were allowed, resulting in higher price spikes. An ARIMA model including temperature, seasonal, and weekly effects is estimated to forecast daily peak load. Forecasts of load under different assumptions about weather patterns are used to predict changes of price behavior given the regime-switching model of prices. Results show that the range of temperature forecasts from a normal summer to an extremely warm summer cause relatively small increases in temperature (+1.5%) and load (+3.0%). In contrast, the increases in prices are large (+20%). The conclusion is that the seasonal outlook forecasts provided by NOAA are potentially valuable for predicting prices in electricity markets. The traditional option models, based on Geometric Brownian Motion are not appropriate for electricity prices. An option model using the regime-switching framework is developed to value a European call option. The model includes volatility risk and allows changes

  18. Asymmetry Effects of shocks in Chinese Stock Markets Volatility

    DEFF Research Database (Denmark)

    Hou, Ai Jun

    2013-01-01

    The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies a ge...... nonparametric model demonstrates a better performance for return volatility forecasts, particularly for the out-of-sample forecast. The results from this paper have important implications in risk management, portfolio selection, and hedging strategy.......The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies...... a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chinese stock markets. Furthermore, compared with other parametric models, the generalized additive...

  19. Grid Integration of Electric Vehicles in Open Electricity Markets

    DEFF Research Database (Denmark)

    Presenting the policy drivers, benefits and challenges for grid integration of electric vehicles (EVs) in the open electricity market environment, this book provides a comprehensive overview of existing electricity markets and demonstrates how EVs are integrated into these different markets...

  20. Volatility of an Indian stock market A random matrix approach

    CERN Document Server

    Kulkarni, V

    2005-01-01

    We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to (i) do a brief comparative analysis with statistics of eigenvalues and eigenvectors of the matrix C of correlations between price fluctuations, in time regimes of different volatilities. While a bulk of eigenvalues falls within RMT bounds in all the time periods, we see that the largest (deviating) eigenvalue correlates well with the volatility of the index, the corresponding eigenvector clearly shows a shift in the distribution of its components from volatile to less volatile periods and verifies the qualitative association between participation and volatility (ii) observe that the Inverse participation ratio for the ...

  1. Housing market volatility in the OECD area

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    2014-01-01

    Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash flow (rent) news and discount rate (return) news over the period 1970-2011. For the jajority of countries news about future returns is the main driver, and both real interest rates and risk-premia play...... an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. We explain the results in terms of global changes in credit constraints...... and transations costs as well as changes in monetary policy over this period. Among other things, our results shed new light on wheather excessively low interest rates by the monetary authorities was a major cause for the housing boom up to 2006....

  2. Financial market volatility and inflation uncertainty: An empirical investigation

    OpenAIRE

    Döpke, Jörg; Pierdzioch, Christian

    1999-01-01

    Using monthly data for Germany from 1968 through 1998, the relationship betweenfluctuations of prices in financial markets and inflation is analyzed. The results of Granger-causality tests reveal that stock market has no predictive power volatility for inflation uncertainty, et vice versa. Regarding the subsequent volatility of short-term and of long-term interest rate. In contrast, inflation uncertainty provides some information. The hypothesis of a causality running from the volatility of t...

  3. Return and Volatility Spillovers Among Asian Stock Markets

    Directory of Open Access Journals (Sweden)

    Prashant Joshi

    2011-06-01

    Full Text Available The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931 and lowest for China (0.824. The implication of weak integration is that investors will benefit from reduction of diversifiable risk.

  4. Renewables and the EU Internal Electricity Market: The case for an arranged marriage

    OpenAIRE

    Teusch, Jonas

    2012-01-01

    This Policy Brief argues that pursuing the renewables objective could contribute to the completion of the internal electricity market, help to overcome opposition to transmission projects and decrease the market power of incumbents. Conversely, an integrated internal electricity market means less price volatility in specific regional markets, which allows for more efficient deployment and grid integration of renewables. Three sets of recommendations are proposed.

  5. Study on electricity markets in Romania

    Directory of Open Access Journals (Sweden)

    Alexandra FLOREA

    2017-03-01

    Full Text Available In this paper, we detail about the components of the wholesale electricity market in Romania: Market for Bilateral Contracts (Central Market with continuous double negotiation of bilateral electric energy contracts (CM - OTC, Centralized Market for bilateral electric energy contracts, Day-Ahead Market (DAM, Inter-Daily Market (IM, Balancing Market (BM, Centralized Market for universal service (CMUS. In addition, for each type of market we generated diagrams with the main business processes.

  6. The Volatility of Market Risk In Groups of Viet Nam Listed Computer and Electrical Company Groups during the Financial Crisis 2007-2009

    Directory of Open Access Journals (Sweden)

    Dinh Tran Ngoc Huy

    2013-09-01

    Full Text Available During the financial crisis 2007-2009 with certain impacts on the Viet Nam economy and especially, the stock exchange, there is un-diversifiable risk that influences the whole computer and electrical industries. Hence, the risk re-estimation for the listed firms in these industries becomes necessary. First of all, by using quantitative and analytical methods to estimate asset and equity beta of four (4 groups of listed companies in Viet Nam electrical, software, hardware and telecommunication industries with a proper traditional estimating model, we found out that the beta values, in general, for most companies are acceptable, excluding just a few cases. There are 88% of listed firms with lower risk, among total 64 firms, whose beta values lower than ( 1and have stock returns moving more than the market benchmark. Ultimately, this paper generates some results that could provides both internal and external investors, financial institutions, companies and government more evidence in establishing their policies in investments and in governance.

  7. Examining mean-volatility spillovers across national stock markets

    Directory of Open Access Journals (Sweden)

    Vinodh Kesavaraj Natarajan

    2014-06-01

    Full Text Available The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches, academicians and analysts during recent times. In this study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover effects using the GARCH in Mean model for the period January 2002 to December 2011. The GARCH-M model seeks to provide useful insights into how information is transmitted and disseminated across stock markets. In particular, the model examines the precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong mean and volatility spillover across some stock exchanges.

  8. The economics of electricity markets

    CERN Document Server

    Biggar, Darryl R

    2014-01-01

    With the transition to liberalized electricity markets in many countries, the shift to more environmentally sustainable forms of power generation and increasing penetration of electric vehicles and smart appliances, a fundamental understanding of the economic principles underpinning the electricity industry is vital. Using clarity and precision, the authors successfully explain economic theory of all liberalized electricity market types from a cross-disciplinary engineering and policy perspective. No prior engineering knowledge or economics expertise is assumed in introducing key ideas such as nodal pricing, optimal dispatch and efficient pricing or in extending those models to areas including investment, risk management and the handling of contingencies. Key features: Comprehensively covers the principles of all liberalized electricity market types, including the US, Europe, New Zealand and Australia. Provides up to date coverage of research and policy iss es, including design of financial transmission rig...

  9. Volatility and dynamic conditional correlations of European emerging stock markets

    OpenAIRE

    Baumohl, Eduard; Lyocsa, Stefan

    2013-01-01

    This study examines the relationship between time-varying correlations and conditional volatility among eight European emerging stock markets and the MSCI World stock market index from January 2000 to December 2012. Correlations are estimated in the standard and asymmetric dynamic conditional correlation (DCC) model frameworks. The results can be summarized by three main findings: (1) asymmetry in volatility is not a common phenomenon in emerging markets; (2) asymmetry in correlations is foun...

  10. Stock Returns Volatility in an Emerging Market: The Pakistani Evidence

    OpenAIRE

    Husain, Fazal; UPPAL, Jamshed

    1999-01-01

    This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies, 8 sector indices, and the general market index, the AutoRegressive Conditional Heteroscedasticity (ARCH) class of models was applied. The analyses suggest that one of the factors causing high serial dependence in stock returns in the Pakistani equity market is the presence of conditional heteroscedasticity or volatility in stock returns and that even after controlling for vol...

  11. Essays on pricing electricity and electricity derivatives in deregulated markets

    Science.gov (United States)

    Popova, Julia

    2008-10-01

    This dissertation is composed of four essays on the behavior of wholesale electricity prices and their derivatives. The first essay provides an empirical model that takes into account the spatial features of a transmission network on the electricity market. The spatial structure of the transmission grid plays a key role in determining electricity prices, but it has not been incorporated into previous empirical models. The econometric model in this essay incorporates a simple representation of the transmission system into a spatial panel data model of electricity prices, and also accounts for the effect of dynamic transmission system constraints on electricity market integration. Empirical results using PJM data confirm the existence of spatial patterns in electricity prices and show that spatial correlation diminishes as transmission lines become more congested. The second essay develops and empirically tests a model of the influence of natural gas storage inventories on the electricity forward premium. I link a model of the effect of gas storage constraints on the higher moments of the distribution of electricity prices to a model of the effect of those moments on the forward premium. Empirical results using PJM data support the model's predictions that gas storage inventories sharply reduce the electricity forward premium when demand for electricity is high and space-heating demand for gas is low. The third essay examines the efficiency of PJM electricity markets. A market is efficient if prices reflect all relevant information, so that prices follow a random walk. The hypothesis of random walk is examined using empirical tests, including the Portmanteau, Augmented Dickey-Fuller, KPSS, and multiple variance ratio tests. The results are mixed though evidence of some level of market efficiency is found. The last essay investigates the possibility that previous researchers have drawn spurious conclusions based on classical unit root tests incorrectly applied to

  12. Portfolio optimization in electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Liu, Min [Faculty of Electrical Engineering, Guizhou University, Guiyang, Guizhou 550003 (China); Wu, Felix F. [Department of Electrical and Electronic Engineering, The University of Hong Kong (China)

    2007-06-15

    In a competitive electricity market, Generation companies (Gencos) face price risk and delivery risk that affect their profitability. Risk management is an important and essential part in the Genco's decision making. In this paper, risk management through diversification is considered. The problem of energy allocation between spot markets and bilateral contracts is formulated as a general portfolio optimization problem with a risk-free asset and n risky assets. Historical data of the PJM electricity market are used to demonstrate the approach. (author)

  13. Realized volatility and absolute return volatility: a comparison indicating market risk.

    Science.gov (United States)

    Zheng, Zeyu; Qiao, Zhi; Takaishi, Tetsuya; Stanley, H Eugene; Li, Baowen

    2014-01-01

    Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

  14. Financial crises and volatility spillovers among emerging European equity markets

    Directory of Open Access Journals (Sweden)

    Ugur Ergun

    2014-08-01

    Full Text Available Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical result indicates that volatility of Serbian stock price is influenced by the volatility of Bosnian and Croatian stock prices. There is one way volatility transmission from Bosnian and Croatian stock markets to Serbian stock market. High degree of volatility is observed in the stock markets during latest financial crises.

  15. Volatility transmission among Latin American stock markets under structural breaks

    Science.gov (United States)

    Güloğlu, Bülent; Kaya, Pınar; Aydemir, Resul

    2016-11-01

    The paper investigates the volatility spillovers among five major Latin American (LA) stock markets under the presence of the structural breaks in variance. We employ a multivariate dynamic conditional correlation (DCC GARCH) model allowing for structural breaks in variance. The dynamic correlations show that volatility spillover effects among the markets are not strong. Causality in mean tests indicate one way causality from BOVESPA to all markets, whereas causality in variance tests indicate one way causality only from BOVESPA to IPSA. These findings suggest that while the markets in the sample are interdependent, there is not enough statistical evidence to infer the contagion effects among the markets.

  16. Marketing of electric vehicles

    DEFF Research Database (Denmark)

    Gärling, Anita; Thøgersen, John

    In this paper, an outline of a two-phased strategy for the targeted marketing of EVs is developed based, first, on a discussion of the current and expected future characteristics of EVs and, second, on a review of research on the characteristics of early adopters of new products.......In this paper, an outline of a two-phased strategy for the targeted marketing of EVs is developed based, first, on a discussion of the current and expected future characteristics of EVs and, second, on a review of research on the characteristics of early adopters of new products....

  17. Effect of Market Power in Electricity Markets

    Institute of Scientific and Technical Information of China (English)

    马歆; 侯志俭; 蒋传文; 刘涌

    2003-01-01

    The main objective of this paper is to show an overview analysis of market power issues.Market power reflects the scarcity of power supply.It is the ability of a particular seller or group of sellers to maintain prices profitably above competitive levels for a significant period of time.Because the electric power system has its own characteristics that are different to other economic systems,both physical factors and economic factors of power system are key elements on this definition.We study some cases here,including different line limit levels,load levels and bid strategy through a market model based on OPF (optimal power flow) with a decommitment algorithm.

  18. Electricity market players subgroup report

    Energy Technology Data Exchange (ETDEWEB)

    Borison, A.

    1990-03-01

    The purpose of this study is to examine competition in the electric power industry from an ``industrial organization`` point of view. The remainder of this report is organized as follows. Chapter 2 describes the ``industrial organization`` approach used to analyze the electric power market. Industrial organization emphasizes specific market performance criteria, and the impact of market structure and behavior on performance. Chapter 3 identifies the participants in the electric power market, grouped primarily into regulated producers, unregulated producers, and consumers. Chapter 4 describes the varieties of electric power competition, organized along two dimensions: producer competition and consumer competition. Chapters 5 and 6 identify the issues raised by competition along the two dimensions. These issues include efficiency, equity, quality, and stability. Chapters 7 through 9 describe market structure, behavior and performance in three competitive scenarios: minimum competition, maximum competition, and moderate competition. Market structure, behavior and performance are discussed, and the issues raised in Chapters 5 and 6 are discussed in detail. Chapter 10 provides conclusions about ``winners and losers`` and identifies issues that require further study.

  19. Electricity market players subgroup report

    Energy Technology Data Exchange (ETDEWEB)

    Borison, A.

    1990-03-01

    The purpose of this study is to examine competition in the electric power industry from an industrial organization'' point of view. The remainder of this report is organized as follows. Chapter 2 describes the industrial organization'' approach used to analyze the electric power market. Industrial organization emphasizes specific market performance criteria, and the impact of market structure and behavior on performance. Chapter 3 identifies the participants in the electric power market, grouped primarily into regulated producers, unregulated producers, and consumers. Chapter 4 describes the varieties of electric power competition, organized along two dimensions: producer competition and consumer competition. Chapters 5 and 6 identify the issues raised by competition along the two dimensions. These issues include efficiency, equity, quality, and stability. Chapters 7 through 9 describe market structure, behavior and performance in three competitive scenarios: minimum competition, maximum competition, and moderate competition. Market structure, behavior and performance are discussed, and the issues raised in Chapters 5 and 6 are discussed in detail. Chapter 10 provides conclusions about winners and losers'' and identifies issues that require further study.

  20. Marketing of electric vehicles

    DEFF Research Database (Denmark)

    Gärling, Anita; Thøgersen, John

    In this paper, an outline of a two-phased strategy for the targeted marketing of EVs is developed based, first, on a discussion of the current and expected future characteristics of EVs and, second, on a review of research on the characteristics of early adopters of new products....

  1. China's Electric Vehicle Market

    Institute of Scientific and Technical Information of China (English)

    Alan; Yu Chuan Hwang

    2011-01-01

    @@ Currently global transportation accounts for sixty percent of global oil consumption and thirty percent of global carbon emissions.Projected market studies also show that the oil demand will increase one percent every year until 2030[4].Throughout the world, many countries have begun programs to stimulate the alternative fuel car marker.Many of these countries have set future dates mandating a reduction of pollution and CO2 emission from their city's air.

  2. Financial Crisis, Monetary Policy, and Stock Market Volatility in China

    National Research Council Canada - National Science Library

    Cheng-si Zhang; Da-yin Zhang; Jeffery Breece

    2011-01-01

    .... We find a significant regime shift in the volatility of the stock market when the People's Bank of China adopted an accommodative monetary policy in response to the global financial crisis of 2007-2008...

  3. Market interpendence and volatility transmission among major crops

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.; Robles, M.

    2013-01-01

    This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is 199

  4. Examining the dynamic interactions on volatilities of paired stock markets

    Science.gov (United States)

    Lee, Jun Shean; Sek, Siok Kun

    2015-02-01

    We conduct empirical analyses to investigate the interaction between volatilities of paired stock markets. The main objective of this study is to reveal possibility of spillover effects among stock markets which can determine the performances of stock returns and trade volumes of stocks. In particular, we seek to investigate if there exist two-way causal relationships on the volatilities in two stock markets in two groups of countries, i.e. between emerging markets of ASEAN-5 and between emerging and advanced countries. Our study is focused in Malaysia stock market and the paired relationship with its neighbouring countries (ASEAN5) and advanced countries (Japan and U.S.) respectively. The multivariate GARCH(1,1) model is applied in studying the interactions on the volatilities of paired stock markets. The results are compared between neighbouring countries and with that of advanced countries. The results are expected to reveal linkages between volatilities of stock markets and the dynamic relationships across markets. The results provide useful information in studying the performances of stock markets and predicting the stock movements by incorporating the external impacts from foreign stock markets.

  5. Adaptive Sniping for Volatile and Stable Continuous Double Auction Markets

    Science.gov (United States)

    Toft, I. E.; Bagnall, A. J.

    This paper introduces a new adaptive sniping agent for the Continuous Double Auction. We begin by analysing the performance of the well known Kaplan sniper in two extremes of market conditions. We generate volatile and stable market conditions using the well known Zero Intelligence-Constrained agent and a new zero-intelligence agent Small Increment (SI). ZI-C agents submit random but profitable bids/offers and cause high volatility in prices and individual trader performance. Our new zero-intelligence agent, SI, makes small random adjustments to the outstanding bid/offer and hence is more cautious than ZI-C. We present results for SI in self-play and then analyse Kaplan in volatile and stable markets. We demonstrate that the non-adaptive Kaplan sniper can be configured to suit either market conditions, but no single configuration is performs well across both market types. We believe that in a dynamic auction environment where current or future market conditions cannot be predicted a viable sniping strategy should adapt its behaviour to suit prevailing market conditions. To this end, we propose the Adaptive Sniper (AS) agent for the CDA. AS traders classify sniping opportunities using a statistical model of market activity and adjust their classification thresholds using a Widrow-Hoff adapted search. Our AS agent requires little configuration, and outperforms the original Kaplan sniper in volatile and stable markets, and in a mixed trader type scenario that includes adaptive strategies from the literature.

  6. EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich (Centre for European Economic Research (ZEW), Mannheim (Germany))

    2008-07-01

    This paper constitutes the first econometric analysis on stock market effects of the EU Emissions Trading Scheme. Our results suggest that EU Emissions Allowance (EUA) price changes and stock returns from electricity corporations covered by the ETS are positively related. Stock markets do not react differently to EUA appreciations in comparison to depreciations, and the EUA effect is modest compared to oil market effects. EUA price volatility affects electricity stock return volatility. Given this, volatility shocks from the EUA market may create economic risk to the ETS corporations and deteriorate the performance of the scheme compared to a tax regime

  7. Market Power in Power Markets: Evidence from Forward Prices of Electricity

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Jensen, Thomas Elgaard; Mølgaard, Rune

    Council (the regulatory government agency) has ruled that Elsam has used its dominant position to obtain excessive spot prices over a period from July 2003 through December 2006. We show that significant forward premia exist, and that they are related both to spot market volatility and misuse of market......We examine the forward market for electricity for indications of misuse of market power, using a unique data set on OTC price indications posted by Elsam A/S, the dominant producer in Western Denmark, which is one of the price areas under the Nordic power exchange Nord Pool. The Danish Competition...... power in the spot market, indicating that misuse of market power in the forward market accompanied that which took place in the spot market, according to this ruling. This is consistent with the hypothesis that Elsam used the forward market to disguise its spot market manipulation. The findings...

  8. Investigate Volatility Jumps in Chinese Stock Index Future and Spot Markets Based on Realized Volatility

    Institute of Scientific and Technical Information of China (English)

    Zhang qiang

    2014-01-01

    This paper aims to investigate Chinese stock index future and spot market's volatility jumps characteristics by using recentlydeveloped jumpstest(Barndorff-Nielsenand Shephard,2004).Thedataisoneyearhigh frequencydatafromthe period19/04/2012 to 19/04/2013. The empirical results show two important points. Firstly, the logarithm of adjusted realized volatility shows a high degree of autocorrelation and folows a normal distribution nearly perfect. These characteristics show a potential high forecast ability. Secondly,thedailyrealizedvolatilityjumpsshowalowdegreeofautocorrealtionbutwithsignificantvolatilityclusters.Ingeneral,thejumps component has a low percentage in realized volatility estimation for both future and spot market. On average, there is one significant jumpswithinevery ten continue trading days.Spotmarkets showshigherdegree of jumps,anda rapidly jumpscharacterises.It implies that jumps may transmission from spot to future market, and spot market dominate future market at some degree.

  9. Integrating Renewables in Electricity Markets

    DEFF Research Database (Denmark)

    Morales González, Juan Miguel; Conejo, Antonio J.; Madsen, Henrik

    This addition to the ISOR series addresses the analytics of the operations of electric energy systems with increasing penetration of stochastic renewable production facilities, such as wind- and solar-based generation units. As stochastic renewable production units become ubiquitous throughout...... electric energy systems, an increasing level of flexible backup provided by non-stochastic units and other system agents is needed if supply security and quality are to be maintained. Within the context above, this book provides up-to-date analytical tools to address challenging operational problems...... such as: • The modeling and forecasting of stochastic renewable power production. • The characterization of the impact of renewable production on market outcomes. • The clearing of electricity markets with high penetration of stochastic renewable units. • The development of mechanisms to counteract...

  10. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

    NARCIS (Netherlands)

    D.E. Allen (David); M.J. McAleer (Michael); R. Amram (Ron)

    2011-01-01

    textabstractThis paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China’s increasing integration into the global market may have important

  11. Volatility Spillovers from the Chinese Stock Market to Economic Neighbours

    NARCIS (Netherlands)

    D.E. Allen (David); M.J. McAleer (Michael); R. Amram (Ron)

    2011-01-01

    textabstractThis paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China’s increasing integration into the global market may have important consequences

  12. Stock market volatility using GARCH models: Evidence from South Africa and China stock markets

    OpenAIRE

    Cheteni, Priviledge

    2016-01-01

    This study looks into the relationship between stock returns and volatility in South Africa and China stock markets. A Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to estimate volatility of the stock returns, namely, the Johannesburg Stock Exchange FTSE/JSE Albi index and the Shanghai Stock Exchange Composite Index. The sample period is from January 1998 to October 2014. Empirical results show evidence of high volatility in both the JSE market, and the Shang...

  13. Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market

    OpenAIRE

    Onour, Ibrahim

    2011-01-01

    This paper investigates the causal relationships between volatility in Saudi stock market and banks credit for equity investments. Our finding indicate there is a bi-directional feedback effects between the stock price volatility and banks credit loans. In other words, volatility in private credit for equity investments influence volatility in stock price and vice versa. A policy implication of such result is that regulating private credit loans in banking sector could reduce the upn...

  14. Cohesiveness in Financial News and its Relation to Market Volatility

    Science.gov (United States)

    Piškorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Šmuc, Tomislav

    2014-05-01

    Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

  15. Cohesiveness in financial news and its relation to market volatility.

    Science.gov (United States)

    Piškorec, Matija; Antulov-Fantulin, Nino; Novak, Petra Kralj; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Smuc, Tomislav

    2014-05-22

    Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

  16. Financial market volatility and contagion effect: A copula-multifractal volatility approach

    Science.gov (United States)

    Chen, Wang; Wei, Yu; Lang, Qiaoqi; Lin, Yu; Liu, Maojuan

    2014-03-01

    In this paper, we propose a new approach based on the multifractal volatility method (MFV) to study the contagion effect between the U.S. and Chinese stock markets. From recent studies, which reveal that multifractal characteristics exist in both developed and emerging financial markets, according to the econophysics literature we could draw conclusions as follows: Firstly, we estimate volatility using the multifractal volatility method, and find out that the MFV method performs best among other volatility models, such as GARCH-type and realized volatility models. Secondly, we analyze the tail dependence structure between the U.S. and Chinese stock market. The estimated static copula results for the entire period show that the SJC copula performs best, indicating asymmetric characteristics of the tail dependence structure. The estimated dynamic copula results show that the time-varying t copula achieves the best performance, which means the symmetry dynamic t copula is also a good choice, for it is easy to estimate and is able to depict both the upper and lower tail dependence structure. Finally, with the results of the previous two steps, we analyze the contagion effect between the U.S. and Chinese stock markets during the subprime mortgage crisis. The empirical results show that the subprime mortgage crisis started in the U.S. and that its stock market has had an obvious contagion effect on the Chinese stock market. Our empirical results should/might be useful for investors allocating their portfolios.

  17. Volatility spillover across energy indices of the stock markets

    Directory of Open Access Journals (Sweden)

    Marius Acatrinei

    2015-06-01

    Full Text Available The paper will use a MSGARCH model to analyze how are transmitted the sudden changes in volatility transmission from the energy market across several energy indices including Romania. In addition to the GARCH models, the class of Markov-switching GARCH (MSGARCH may provide an early warning indication of changes in the conditional volatility. We use daily closing data spanning a ten year period in order to capture the dependencies and sensitivities of energy related equity sector.

  18. Extreme-volatility dynamics in crude oil markets

    Science.gov (United States)

    Jiang, Xiong-Fei; Zheng, Bo; Qiu, Tian; Ren, Fei

    2017-02-01

    Based on concepts and methods from statistical physics, we investigate extreme-volatility dynamics in the crude oil markets, using the high-frequency data from 2006 to 2010 and the daily data from 1986 to 2016. The dynamic relaxation of extreme volatilities is described by a power law, whose exponents usually depend on the magnitude of extreme volatilities. In particular, the relaxation before and after extreme volatilities is time-reversal symmetric at the high-frequency time scale, but time-reversal asymmetric at the daily time scale. This time-reversal asymmetry is mainly induced by exogenous events. However, the dynamic relaxation after exogenous events exhibits the same characteristics as that after endogenous events. An interacting herding model both with and without exogenous driving forces could qualitatively describe the extreme-volatility dynamics.

  19. Volatility Informed Trading in the Options Market: Evidence from India

    Directory of Open Access Journals (Sweden)

    Rajesh Pathak

    2015-12-01

    Full Text Available The purpose of this paper is to investigate the trading activity in options market based on information about expected future volatility in spot market. We employ Common Implied Volatility as a measure of expected volatility and options volume and changes in Open Interests as measures of options trading activity. We first test for simultaneous information flow in the two markets using multiple regression technique. Next, we test for information based or hedge based use of options using Trivariate Vector-auto Regression framework. We further consider the classes of options moneyness and the market trends in our analysis to examine if the trader’s preference of options changes with change in description of options intrinsic value and market environment. We use daily closing data of S&P CNX Nifty Index options traded on National Stock Exchange, India. We, for the most part, find negative and significant relationship in contemporaneous regression suggesting active trading by arbitrageurs. A feedback relationship is observed in vector auto regression analysis suggesting that options are traded in India for both information based trading and hedging purposes. We also observe the relationship to be varying when market trends and classes of options moneyness are considered. This indicates that traders are not indifferent in their choice of trading venue when market conditions and factors change. The results of this study are helpful for traders in managing the risk and return of their portfolio based on volatility forecast. This study is distinctive as it examines the scarcely researched area of volatility informed trading in an emerging market set up.

  20. Effects of daylight savings time changes on stock market volatility.

    Science.gov (United States)

    Berument, M Hakan; Dogan, Nukhet; Onar, Bahar

    2010-04-01

    The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.

  1. Value assessment of hydrogen-based electrical energy storage in view of electricity spot market

    DEFF Research Database (Denmark)

    You, Shi; Hu, Junjie; Lin, Jin

    2016-01-01

    electricity spot market that has high price volatility due to its high share of wind power. An economic dispatch model is developed as a mixed-integer programming (MIP) problem to support the estimation of variable cost of such a system taking into account a good granularity of the technical details. Based...

  2. The competition in the electric power market: an institutional complex construction; A competicao no mercado eletrico: uma complexa construcao institucional

    Energy Technology Data Exchange (ETDEWEB)

    Bicalho, Ronaldo

    2007-07-01

    This analysis take into consideration the following aspects: the introduction of competition in the electric power market; the ideal and the real in electric power sector; the trade-off between competition and coordination; the specificities of the commodity electric power and his demand; the electric power - a contract market; a special future market - the electric power market; the bilateral relationship in the electric power market; non-stockpile of the commodity; volatile characteristic of the commodity: interdependency of the agents and volatile characteristic; volatile characteristics and institutions; the electric power market - an institutional construction; the risks management and a competition in a market of very particular commodity; competition, autonomy, and exceeding capacity; the reformulation diversity; and the reformulation future.

  3. OPTIMIZATION OF PAYMENTS ON ELECTRICITY MARKET

    Directory of Open Access Journals (Sweden)

    Aleskerov F.T.

    2006-04-01

    Full Text Available In this paper the dynamic analysis of the processes, which take place on electricity market during the transition period is shown. The system of equations, which describes electricity market between adjacent regions and allows forecasting electricity consumption volumes and electricity prices in these regions for given time interval, is examined. A model on electricity consumption and prices dynamics is described. Criterion of maximization of total revenue of the companies producing electricity in examined regions is considered.

  4. Social Welfare implications of demand response programs in competitive electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Boisvert, Richard N.; Neenan, Bernard F.

    2003-08-01

    The price volatility exhibited by wholesale electricity markets has stymied the movement to restructure the industry, and may derail it altogether. Market designers argue that prices are superior to regulation for directing long-term investments to the proper location and function, and that price volatility is a natural manifestation of a robustly competitive market. However, episodes of prices that soar to previously unimaginable heights try customers' patience and cause policy makers to reconsider if the prize is worth the consequences.

  5. The international electricity market infrastructure-insight from the nordic electricity market

    DEFF Research Database (Denmark)

    Ma, Zheng; Prljaca, Zerina; Jørgensen, Bo Nørregaard

    2016-01-01

    This paper aims to provide an overview of an international electricity market for the emerging market players to understand and manipulate their roles and relationships in the market by analyzing the former, present, and future Nordic electricity market. The emerging market players...... and their relationships are also discussed in the paper. This paper outlines several suggestions for the future Nordic electricity market development. Furthermore, this paper provides a recommendation for countries interested in participating and developing the cross-national electricity markets with the discussion...... of the historical development of the Nordic electricity market....

  6. THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Mester Ioana Teodora

    2008-05-01

    Full Text Available During the last years, the financial markets have been subject to significant fluctuations of their financial actives. These spectacular movements have revived the interest, in the academic circles and policy makers and regulation and control authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock exchange chocks have significant effects on the financial stability and they can lead to serious consequences in the real economy.

  7. Dynamics of electricity market correlations

    Science.gov (United States)

    Alvarez-Ramirez, J.; Escarela-Perez, R.; Espinosa-Perez, G.; Urrea, R.

    2009-06-01

    Electricity market participants rely on demand and price forecasts to decide their bidding strategies, allocate assets, negotiate bilateral contracts, hedge risks, and plan facility investments. However, forecasting is hampered by the non-linear and stochastic nature of price time series. Diverse modeling strategies, from neural networks to traditional transfer functions, have been explored. These approaches are based on the assumption that price series contain correlations that can be exploited for model-based prediction purposes. While many works have been devoted to the demand and price modeling, a limited number of reports on the nature and dynamics of electricity market correlations are available. This paper uses detrended fluctuation analysis to study correlations in the demand and price time series and takes the Australian market as a case study. The results show the existence of correlations in both demand and prices over three orders of magnitude in time ranging from hours to months. However, the Hurst exponent is not constant over time, and its time evolution was computed over a subsample moving window of 250 observations. The computations, also made for two Canadian markets, show that the correlations present important fluctuations over a seasonal one-year cycle. Interestingly, non-linearities (measured in terms of a multifractality index) and reduced price predictability are found for the June-July periods, while the converse behavior is displayed during the December-January period. In terms of forecasting models, our results suggest that non-linear recursive models should be considered for accurate day-ahead price estimation. On the other hand, linear models seem to suffice for demand forecasting purposes.

  8. Stock Returns, Volatility, and Cointegration among Chinese Stock Markets

    Institute of Scientific and Technical Information of China (English)

    QiZhou; ZhongguoZhou

    2005-01-01

    This paper examines stock returns, volatility, and cointegration among three Chinese stock markets before and after Hong Kong's return to China. The average daily returns are much higher during the first sub-period (from April 1991 to June 1997) and significantly lower or even negative during the second sub-period (from July 1997 to December 2002). The mean adjusted change in volatility is negatively and significantly correlated with the lagged returns. This negative relation is mainly caused by a contemporaneous and significantly positive correlation between returns and volatility in the first sub-period. This significant relationship disappears for the Shanghai and Shenzhen Stock Exchanges and is even negative for the Hong Kong Stock Exchange during the second sub-period. Three Chinese stock markets are cointegrated over the entire sample period and become more closely related after Hong Kong's return to China. Our results have important implications for both policy makers and individual investors.

  9. Index Future Trading, Spot Volatility And Market Efficiency

    Directory of Open Access Journals (Sweden)

    Zonghao Chen

    2014-10-01

    Full Text Available This paper examines the impact of the listing of index futures trading on spot market volatility, market efficiency and volatility asymmetric responses. In order to model the effects of the introduction of index futures contracts, a modified GJR-GARCH model has been applied to examine the structural change of conditional variances before and after the introduction of index futures trading in S&P500, Nikkei 225, ASX all Ordinaries, and an equally weighted international portfolio. Additionally, this study adopts the coefficient dynamic tests to examine whether the identified impacts of index futures are consistent over time in both the individual indices and the international portfolio. In the post-futures period, we found that an increase in conditional volatility and market efficiency in Japan and an increase in the equally weighted international portfolio. In the U.S. and Australia, however, no significant structural change in the conditional variance is observed. The identified increase in volatility and market efficiency in the international portfolio is consistent over time.

  10. Grid Integration of Electric Vehicles in Open Electricity Markets

    DEFF Research Database (Denmark)

    Presenting the policy drivers, benefits and challenges for grid integration of electric vehicles (EVs) in the open electricity market environment, this book provides a comprehensive overview of existing electricity markets and demonstrates how EVs are integrated into these different markets...... and power systems. Unlike other texts, this book analyses EV integration in parallel with electricity market design, showing the interaction between EVs and differing electricity markets. Future regulating power market and distribution system operator (DSO) market design is covered, with up-to-date case...... companies with the knowledge they need when facing the challenges introduced by large scale EV deployment, and demonstrates how transmission system operators (TSOs) can develop the existing system service market in order to fully utilize the potential of EV flexibility. With thorough coverage...

  11. Virtual Enterprises, Mobile Markets and Volatile Customers

    NARCIS (Netherlands)

    F.P.H. Jaspers (Ferdinand); W. Hulsink (Wim); J.J.M. Theeuwes (Myrte)

    2005-01-01

    textabstractRecently, several new mobile virtual network operators (MVNOs) have entered the European mobile telecommunications markets. These service providers do not own a mobile network, but instead they buy capacity from other companies. Because these virtual operators do not possess an infrastru

  12. Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets

    Directory of Open Access Journals (Sweden)

    Erie Febrian

    2014-11-01

    Full Text Available Volatility forecasting is an imperative research field in financial markets and crucial component in most financial decisions. Nevertheless, which model should be used to assess volatility remains a complex issue as different volatility models result in different volatility approximations. The concern becomes more complicated when one tries to use the forecasting for asset distribution and risk management purposes in the linked regional markets. This paper aims at observing the effectiveness of the contending models of statistical and econometric volatility forecasting in the three South-east Asian prominent capital markets, i.e. STI, KLSE, and JKSE. In this paper, we evaluate eleven different models based on two classes of evaluation measures, i.e. symmetric and asymmetric error statistics, following Kumar's (2006 framework. We employ 10-year data as in sample and 6-month data as out of sample to construct and test the models, consecutively. The resulting superior methods, which are selected based on the out of sample forecasts and some evaluation measures in the respective markets, are then used to assess the markets cointegration. We find that the best volatility forecasting models for JKSE, KLSE, and STI are GARCH (2,1, GARCH(3,1, and GARCH (1,1, respectively. We also find that international portfolio investors cannot benefit from diversification among these three equity markets as they are cointegrated.

  13. Deregulation of Electricity Market and Drivers of Demand for Electrical Energy in Industry

    Directory of Open Access Journals (Sweden)

    Bojnec Štefan

    2016-09-01

    Full Text Available This paper investigates deregulation of electricity market focusing on electricity prices and drivers of demand for electrical energy in industry in Slovenia. The patterns in evolution of real electricity price developments and the three main components of the electricity price are calculated: liberalized market share for purchased electricity price, regulated infrastructure share for use of electricity network grids and mandatory state charges in the sale of electricity (duty, excise duty and value-added tax. To calculate the real value of electricity prices, producer price index of industrial commodities for electricity prices in industry is used as deflator and implicit deflator of gross domestic product for the size of the economy. In the empirical econometric part is used regression analysis for the amount electricity consumption in the industry depending on the real gross domestic product, direct and cross-price elasticity for natural gas prices in the industry. The results confirmed volatility in real electricity price developments with their increasing tendency and the increasing share of different taxes and state charges in the electricity prices for industry. Demand for electrical energy in industry is positively associated with gross domestic product and price of natural gas as substitute for electrical energy in industry use, and negatively associated with prices of electrical energy for industry.

  14. Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover

    Directory of Open Access Journals (Sweden)

    Suhail Palakkod

    2012-06-01

    Full Text Available The volatility spillover tells about the extent of the integration between different markets. In this study an effort has been made to analyse the integration and interrelationship among the capital market, currency market and commodity market in India through the volatility spillover frame work by using AR (1-GARCH (1,1 approach. This study differentiates from the earlier studies by including all three segments of the markets. The study found out that the volatility spillover from currency markets and commodity markets to capital markets. Likewise the volatility spillover from capital market to currency markets and there is no spillover from commodity market to currency markets. In case of commodity market there is no evidence of volatility spillover

  15. Volatility Spillovers in Capesize Forward Freight Agreement Markets

    Directory of Open Access Journals (Sweden)

    Xiaoxing Gong

    2016-01-01

    Full Text Available This paper is to investigate spillovers in the Capesize forward freight agreements (FFAs markets before and after the global financial crisis. The paper chooses four Capesize voyage routes FFAs (C3, C4, C5, and C7, two time-charter routes FFAs (BCIT/C average, BPI T/C average, and spot rates as research subjects, covering the periods 3 January 2006 to 24 December 2015. This paper applies Volatility Spillover Multivariate Stochastic Volatility (VS-MSV model to analyze volatility spillover effects and estimates the parameters via software of Bayesian inference using Gibbs Sampling (BUGS, the deviance information criterion (DIC used for goodness-of-fit model. The results suggest that there are volatility spillover effects in certain Capesize FFAs routes, and the effects from spot rates to FFAs take place before crisis, yet they are bilateral after crisis. With the development of shipping markets, the correlations between FFAs and spot rate are enhanced, and it seems that the effects depend on market information and traders’ behavior. So practitioners could make decisions according to the spillovers.

  16. Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

    Directory of Open Access Journals (Sweden)

    Taly I

    2015-09-01

    Full Text Available The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1 model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.

  17. Forecasting stock market volatility: Do realized skewness and kurtosis help?

    Science.gov (United States)

    Mei, Dexiang; Liu, Jing; Ma, Feng; Chen, Wang

    2017-09-01

    In this study, we investigate the predictability of the realized skewness (RSK) and realized kurtosis (RKU) to stock market volatility, that has not been addressed in the existing studies. Out-of-sample results show that RSK, which can significantly improve forecast accuracy in mid- and long-term, is more powerful than RKU in forecasting volatility. Whereas these variables are useless in short-term forecasting. Furthermore, we employ the realized kernel (RK) for the robustness analysis and the conclusions are consistent with the RV measures. Our results are of great importance for portfolio allocation and financial risk management.

  18. Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets

    Directory of Open Access Journals (Sweden)

    Amir Saadaoui

    2014-12-01

    Full Text Available This paper investigates the transmission of market volatility between the emerging stock and bond markets. In order to examine this relation between the bond and stock market, we use the BEKK GARCH model; a decomposition approach of the multivariate GARCH (1, 1 model. The outcome of this study displays a significant relation between bond and stock index and the incidence of the interest rate in this transmission. Besides, there is a transmission of volatility between the bond and stock index demonstrated by the DCC GARCH graph.

  19. Volatility, persistence, and survival in financial markets.

    Science.gov (United States)

    Constantin, M; Sarma, S Das

    2005-11-01

    We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empirical measurements of the normalized qth-order correlation functions fq(t), survival probability S(t), and persistence probability P(t) for several stock market dynamical sets. We analyze both minute-to-minute and higher-frequency stock market recordings (i.e., with the sampling time deltat of the order of days). We find that the fluctuating stock price is multifractal and the choice of deltat has no effect on the qualitative multifractal behavior displayed by the 1/q dependence of the generalized Hurst exponent Hq associated with the power-law evolution of the correlation function fq(t) approximately tHq. The probability S(t) of the stock price remaining above the average up to time t is very sensitive to the total measurement time tm and the sampling time. The probability P(t) of the stock not returning to the initial value within an interval t has a universal power-law behavior P(t) approximately t(-theta), with a persistence exponent theta close to 0.5 that agrees with the prediction theta=1-H2. The empirical financial stocks also present an interesting feature found in turbulent fluids, the extended self-similarity.

  20. Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models

    Directory of Open Access Journals (Sweden)

    Hojin Lee

    2009-12-01

    Full Text Available We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast. Contrary to prior evidence, however, the results in this paper suggest that no asymmetric GARCH model is superior to basic GARCH(1,1 model. It is our prior knowledge that, for equity returns, it is unlikely that positive and negative shocks have the same impact on the volatility. In order to reflect this intuition, we implement three diagnostic tests for volatility models: the Sign Bias Test, the Negative Size Bias Test, and the Positive Size Bias Test and the tests against the alternatives of QGARCH and GJR-GARCH. The asymmetry test results indicate that the sign and the size of the unexpected return shock do not influence current volatility differently which contradicts our presumption that there are asymmetric effects in the stock market volatility. This result is in line with various diagnostic tests which are designed to determine whether the GARCH(1,1 volatility estimates adequately represent the data. The diagnostic tests in section 2 indicate that the GARCH(1,1 model for weekly KOSPI returns is robust to the misspecification test. We also investigate two representative asymmetric GARCH models, QGARCH and GJR-GARCH model, for our out-of-sample forecasting performance. The out-of-sample forecasting ability test reveals that no single model is clearly outperforming. It is seen that the GJR-GARCH and QGARCH model give mixed results in forecasting ability on all four criteria across all forecast horizons considered. Also, the predictive accuracy test of Diebold and Mariano based on both absolute and squared prediction errors suggest that the forecasts from the linear and asymmetric GARCH models need not be significantly different from each other.

  1. Variety and volatility in financial markets

    Science.gov (United States)

    Lillo, Fabrizio; Mantegna, Rosario N.

    2000-11-01

    We study the price dynamics of stocks traded in a financial market by considering the statistical properties of both a single time series and an ensemble of stocks traded simultaneously. We use the n stocks traded on the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days with the exception of crash and rally days and of the days following these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments fluctuate in time and are stochastic processes, themselves. We characterize the statistical properties of ensemble return distribution central moments by investigating their probability density functions and temporal correlation properties. In general, time-averaged and portfolio-averaged price returns have different statistical properties. We infer from these differences information about the relative strength of correlation between stocks and between different trading days. Last, we compare our empirical results with those predicted by the single-index model and we conclude that this simple model cannot explain the statistical properties of the second moment of the ensemble return distribution.

  2. Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets

    OpenAIRE

    Andrew Stuart Duncan; Alain Kabundi

    2011-01-01

    This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two-year rolling window regressions. The FMÂ’s time-varying variance shares of global factors map variations in volatility comovement over time and across countries. The results indicate that global volatility linkages are ...

  3. Metal Returns, Stock Returns and Stock Market Volatility

    Directory of Open Access Journals (Sweden)

    Mauricio Zevallos

    2015-08-01

    Full Text Available Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comovements between mining stock returns and metal returns. This research is a first attempt to explore these issues using international metal prices and the prices of the most important mining stocks on the BVL and the IGBVL index. To achieve this, we use univariate GARCH models to model individual volatilities, and the Exponentially Weighted Moving Average (EWMA method and multivariate GARCH models with time-varying correlations to model comovements in returns. We found that Peruvian mining stock volatilities mimic the behavior of metal volatilities and that there are important correlation levels between metals and mining stock returns. In addition, we found time-varying correlations with distinctive behavior in different periods, with rises potentially related to international and local historical events.

  4. Comparative Study between Two Market Clearing Schemes in Wind Dominant Electricity Markets

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Hu, Weihao; Chen, Zhe

    2015-01-01

    High price volatility and excessive price reduction are introduced as two emerging problems in wind dominant electricity markets. In this study, an agent-based simulation methodology is employed to investigate the impact of two pricing mechanisms, uniform and pay-as-bid, on the mentioned problems....... It is shown that these two pricing mechanisms cause different bidding behaviours for the generation units. This study suggests that this change in market agent behaviour, modifies the overall price volatility and system average price. The results indicate that a pay-as-bid pricing mechanism can alleviate...... policy maker's concerns regarding mentioned emerging problems in power systems with extremely high percentage of wind power penetration. It is also shown that market efficiency is lower under pay-as-bid scheme. The validity of the proposed methodology is investigated using IEEE 24-bus test system with 33...

  5. Creditor Protection, Contagion, and Stock Market Price Volatility

    OpenAIRE

    Hale, Galina B; Razin, Assaf; Tong, Hui

    2008-01-01

    We study a mechanism through which strong creditor protection affect positively the level, and negatively the volatility, of the aggregate stock market price. In a Tobin-q model with liquidity and productivity shocks, two channels are at work: (1) Creditor protection raises the stock value in a credit-constraint regime; (2) Creditor protection lowers the probability of the credit crunch. We confront the key predictions of the model to a panel of 40 countries over the period from 1984 to 2004....

  6. Modelling volatility recurrence intervals in the Chinese commodity futures market

    Science.gov (United States)

    Zhou, Weijie; Wang, Zhengxin; Guo, Haiming

    2016-09-01

    The law of extreme event occurrence attracts much research. The volatility recurrence intervals of Chinese commodity futures market prices are studied: the results show that the probability distributions of the scaled volatility recurrence intervals have a uniform scaling curve for different thresholds q. So we can deduce the probability distribution of extreme events from normal events. The tail of a scaling curve can be well fitted by a Weibull form, which is significance-tested by KS measures. Both short-term and long-term memories are present in the recurrence intervals with different thresholds q, which denotes that the recurrence intervals can be predicted. In addition, similar to volatility, volatility recurrence intervals also have clustering features. Through Monte Carlo simulation, we artificially synthesise ARMA, GARCH-class sequences similar to the original data, and find out the reason behind the clustering. The larger the parameter d of the FIGARCH model, the stronger the clustering effect is. Finally, we use the Fractionally Integrated Autoregressive Conditional Duration model (FIACD) to analyse the recurrence interval characteristics. The results indicated that the FIACD model may provide a method to analyse volatility recurrence intervals.

  7. PRICING ELECTRIC POWER UNDER A HYBRID WHOLESALE MECHANISM: EVALUATING THE TURKISH ELECTRICITY MARKET

    Directory of Open Access Journals (Sweden)

    Hatice Karahan

    2013-01-01

    Full Text Available During the restructuring process, Turkish electricity sector has gone through significant changes both in wholesale and retail markets. In this framework, the Market Financial Settlement Mechanism established for handling market imbalances has become a spot market in time. So, it can be claimed that the wholesale electricity market in Turkey is a hybrid mechanism composed of bilateral contracts and the balancing market. On the other hand, the main target of liberalization program is providing consumers with affordable electric power. Hence, this study attempts to explore the link between retail tariffs for ineligible consumers and prices in the two wholesale mechanisms, in the period after the launch of the day-ahead market. Findings suggest that regulated wholesale prices are more effective in the determination of end-user prices, whereas unregulated ones might have a price reduction effect in case the free market dominates. However, the volatility in spot market prices implies that the sector would better continue with the hybrid mechanism for quite some time.

  8. Energy prices, volatility, and the stock market. Evidence from the Eurozone

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole. (author)

  9. Energy prices, volatility, and the stock market: Evidence from the Eurozone

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich, E-mail: ulrich.oberndorfer@bmwi.bund.d [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole.

  10. Three essays on "making" electric power markets

    Science.gov (United States)

    Kench, Brian Thomas

    2000-10-01

    Technological change over the past three decades has altered most of the basic conditions in the electric power industry. Because of technical progress, the dominant paradigm has shifted from the provision of electric power by regulated and vertically integrated local natural monopolies to competition and vertical separation. In the first essay I provide a historical context of the electric industry's power current deregulation debate. Then a dynamic model of induced institutional change is used to investigate how endogenous technological advancements have induced radical institutional change in the generation and transmission segments of the electric power industry. Because the Federal Energy Regulatory Commission (FERC) ordered regulated utilities to provide open access to their transmission networks and to separate their generation and transmission functions, transmission networks have been used more intensively and in much different ways then in the past. The second essay tests experimentally the predictions of neoclassical theory for a radial electric power market under two alternative deregulated transmission institutions: financial transmission rights and physical transmission rights. Experimental evidence presented there demonstrates that an electric power market with physical transmission rights governing its transmission network generates more "right" market signals relative to a transmission network governed by financial transmission rights. The move to a greater reliance on markets for electric power is an idea that has animated sweeping and dramatic changes in the traditional business of electric power. The third essay examines two of the most innovative and complex initiatives of making electric power markets in the United States: California and PJM. As those markets mature and others are made, they must revise their governance mechanisms to eliminate rules that create inefficiency and adopt rules that work efficiently elsewhere. I argue that

  11. Volatility-Spillover E ffects in European Bond Markets

    OpenAIRE

    Christiansen, Charlotte

    2003-01-01

    We analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We find strong statistical evidence of volatility-spillover e ffects from both the US and Europe into the individual bond markets.For the EMU countries,the US volatility-spillover effects are rather weak whereas the European volatility-spillover effects are strong.The opposite applies to the non-EMU countries.Pure local volatility e ffect...

  12. TRADING FORWARD IN THE BRAZILIAN ELECTRICITY MARKET

    Directory of Open Access Journals (Sweden)

    Paulo Cesar Coutinho

    2013-01-01

    Full Text Available We study the interaction between forward and spot electricity markets in a scenario where buyers and sellers are price takers in the forward market and trade through marketers, who play a Cournot game. Our model’s main features come from the Brazilian electricity market, where a free contract market coexists with a regulated contract market, and the spot price is the output of a stochastic dynamic algorithm. We are able to show that the price of energy bought (sold forward decreases (increases with the number of marketers, and that, as a result, full hedging is achieved in the limit. We also investigate the effects on prices of changes in the number of market participants and in aggregate consumption and supply, an exercise that yields important policy recommendations for the Brazilian regulator.

  13. Hidden temporal order unveiled in stock market volatility variance

    Directory of Open Access Journals (Sweden)

    Y. Shapira

    2011-06-01

    Full Text Available When analyzed by standard statistical methods, the time series of the daily return of financial indices appear to behave as Markov random series with no apparent temporal order or memory. This empirical result seems to be counter intuitive since investor are influenced by both short and long term past market behaviors. Consequently much effort has been devoted to unveil hidden temporal order in the market dynamics. Here we show that temporal order is hidden in the series of the variance of the stocks volatility. First we show that the correlation between the variances of the daily returns and means of segments of these time series is very large and thus cannot be the output of random series, unless it has some temporal order in it. Next we show that while the temporal order does not show in the series of the daily return, rather in the variation of the corresponding volatility series. More specifically, we found that the behavior of the shuffled time series is equivalent to that of a random time series, while that of the original time series have large deviations from the expected random behavior, which is the result of temporal structure. We found the same generic behavior in 10 different stock markets from 7 different countries. We also present analysis of specially constructed sequences in order to better understand the origin of the observed temporal order in the market sequences. Each sequence was constructed from segments with equal number of elements taken from algebraic distributions of three different slopes.

  14. The value of electricity storage in energy-only electricity markets

    Science.gov (United States)

    McConnell, D.; Forcey, T.; Sandiford, M.

    2015-12-01

    Price volatility and the prospect of increasing renewable energy generation have raised interest in the potential opportunities for storage technologies in energy-only electricity markets. In this paper we explore the value of a price-taking storage device in such a market, the National Electricity Market (NEM) in Australia. Our analysis suggests that under optimal operation, there is little value in having more than six hours of storage in this market. However, the inability to perfectly forecast wholesale prices, particularly extreme price spikes, may warrant some additional storage. We found that storage devices effectively provide a similar service as peak generators (such as Open Cycle Gas Turbines) and are similarly dependent on and exposed to extreme price events, with revenue for a merchant generator highly skewed to a few days of the year. In contrast to previous studies, this results in the round trip efficiency of the storage being relatively insignificant. Financing using hedging strategies similar to a peak generator effectively reduces the variability of revenue and exposure of storage to extreme prices. Our case study demonstrates that storage may have a competitive advantage over other peaking generators on the NEM, due to its ability to earn revenue outside of extreme peak events. As a consequence the outlook for storage options on the NEM is dependent on volatility, in turn dependent on capacity requirements. Further to this, increased integration of renewable energy may both depend on storage and improve the outlook for storage in technologies in electricity markets.

  15. Predictability of Wave Energy and Electricity Markets

    DEFF Research Database (Denmark)

    Chozas, Julia Fernandez

    2012-01-01

    The articlw addresses an important challenge ahead the integration of the electricity generated by wave energy conversion technologies into the electric grid. Particularly, it looks into the role of wave energy within the day-ahead electricity market. For that the predictability of the theoretical...

  16. Load As A Reliability Resource in the Restructured Electricity Market

    Energy Technology Data Exchange (ETDEWEB)

    Kueck, J.D.

    2002-06-10

    Recent electricity price spikes are painful reminders of the value that meaningful demand-side responses could bring to the restructuring US electricity system. Review of the aggregate offers made by suppliers confirms that even a modest increase in demand elasticity could dramatically reduce these extremes in price volatility. There is a strong need for dramatically increased customer participation in these markets to enhance system reliability and reduce price volatility. Indeed, allowing customers to manage their loads in response to system conditions might be thought of as the ultimate reliability resource. Most would agree that meaningful demand-side responses to price are the hallmark of a well-functioning competitive market [1]. Yet, in today's markets for electricity, little or no such response is evident. The reason is simple: customers currently do not experience directly the time-varying costs of their consumption decisions. Consequently, they have no incentive to modify these decisions in ways that might enhance system reliability or improve the efficiency of the markets in which electricity is traded. Increased customer participation is a necessary step in the evolution toward more efficient markets for electricity and ancillary services. This scoping report provides a three-part assessment of the current status of efforts to enhance the ability of customer's load to participate in competitive markets with a specific focus on the role of customer loads in enhancing electricity system reliability. First, this report considers the definitions of electricity-reliability-enhancing ancillary services (Section 2) and a preliminary assessment of the ability of customer's loads to provide these services. Second, is a review a variety of programs in which load has been called on as a system reliability resource (Section 3). These experiences, drawn from both past and current utility and ISO programs, focus on programs triggered by system

  17. A futures market response to oil price volatility

    Energy Technology Data Exchange (ETDEWEB)

    Levine, A.H. (Shearson Lehman Brothers Inc., Bethseda, MD (US))

    1991-01-01

    The volatility of oil prices has expanded dramatically over the past twenty years. New mechanisms, including futures and forward contracts, options on futures and ''over the counter'' options have been developed to deal with the uncertainty of buying or selling of petroleum in the highly competitive markets that now characterize the oil situation. Futures contracts - agreements to buy or sell at a particular time in the future - are the core of the new mechanisms. Since futures market prices move in concert with cash (''wet'') market prices, futures can be an effective substitute for wet barrel transactions. Buyers of options gain the advantage of futures trading - the right to buy without the obligation to do so -for a fee. (author).

  18. Volatility return intervals analysis of the Japanese market

    Science.gov (United States)

    Jung, W.-S.; Wang, F. Z.; Havlin, S.; Kaizoji, T.; Moon, H.-T.; Stanley, H. E.

    2008-03-01

    We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval τ and its mean . We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.

  19. Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility

    DEFF Research Database (Denmark)

    Christensen, Peter Ove; Larsen, Kasper

    and can trade continuously on a finite time interval in a money market account and a single risky security. Besides establishing the existence of an equilibrium, our main result shows that if the investors' unspanned income has stochastic counter-cyclical volatility, the resulting equilibrium can display......In an incomplete continuous-time securities market governed by Brownian motions, we derive closed-form solutions for the equilibrium risk-free rate and equity premium processes. The economy has a finite number of heterogeneous exponential utility investors, who receive partially unspanned income...... both lower risk-free rates and higher risk premia relative to the Pareto efficient equilibrium in an otherwise identical complete market. Consequently, our model can simultaneously help explaining the risk-free rate and equity premium puzzles....

  20. Emergent volatility in asset markets with heterogeneous agents

    Directory of Open Access Journals (Sweden)

    Honggang Li

    2001-01-01

    Full Text Available This paper examines the emergence of complex volatility in dynamic asset markets when there are heterogeneous agents. A discrete formulation is studied with two categories of market participants, fundamentalist traders who buy when the asset price is below the fundamental value and sell when it is above and noise traders who use moving average technical trading rules that can lead them to chase trends. Agents switch from one type of strategy to the other according to relative returns. A variety of outcomes are studied using numerical simulation, including variation of market price responsiveness to changes in excess demand, in switching behavior, and the introduction of noise. Bifurcation analysis of certain parameters is presented.

  1. Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility

    DEFF Research Database (Denmark)

    Christensen, Peter Ove; Larsen, Kasper

    and can trade continuously on a finite time interval in a money market account and a single risky security. Besides establishing the existence of an equilibrium, our main result shows that if the investors' unspanned income has stochastic counter-cyclical volatility, the resulting equilibrium can display......In an incomplete continuous-time securities market governed by Brownian motions, we derive closed-form solutions for the equilibrium risk-free rate and equity premium processes. The economy has a finite number of heterogeneous exponential utility investors, who receive partially unspanned income...... both lower risk-free rates and higher risk premia relative to the Pareto efficient equilibrium in an otherwise identical complete market. Consequently, our model can simultaneously help explaining the risk-free rate and equity premium puzzles....

  2. Restructured electric power systems analysis of electricity markets with equilibrium models

    CERN Document Server

    2010-01-01

    Electricity market deregulation is driving the power energy production from a monopolistic structure into a competitive market environment. The development of electricity markets has necessitated the need to analyze market behavior and power. Restructured Electric Power Systems reviews the latest developments in electricity market equilibrium models and discusses the application of such models in the practical analysis and assessment of electricity markets.

  3. A review of electricity market modelling tools

    Directory of Open Access Journals (Sweden)

    Sandra Milena Londoño Hernández

    2010-05-01

    Full Text Available Deregulating electricity markets around the world in the search for efficiency has introduced competition into the electricity marke- ting and generation business. Studying interactions amongst the participants has thus acquired great importance for regulators and market participants for analysing market evolution and suitably defining their bidding strategies. Different tools have thereof- re been used for modelling competitive electricity markets during the last few years. This paper presents an analytical review of the bibliography found regarding this subject; it also presents the most used tools along with their advantages and disadvantages. Such analysis was done by comparing the models used, identifying the main market characteristics such as market structure, bid structure and kind of bidding. This analysis concluded that the kind of tool to be used mainly depends on a particular study’s goal and scope.

  4. Analysis of electricity price in Danish competitive electricity market

    DEFF Research Database (Denmark)

    Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

    2012-01-01

    electricity markets in some ways, is chosen as the studied power system. 10 year actual data from the Danish competitive electricity market are collected and analyzed. The relationship among the electricity price (both the spot price and the regulation price), the consumption and the wind power generation...... in an electricity market is investigated in this paper. The spot price and the regulation price generally decrease when the wind power penetration in the power system increases or the consumption of the power system decreases. The statistical characteristics of the spot price and the regulation price for different...... consumption periods and wind power penetration are analyzed. Simulation results show that the findings of this paper are useful for wind power generation companies to make the optimal bidding strategy so that the imbalance cost of trading wind power on the electricity market could be reduced....

  5. Use of demand response in electricity markets

    DEFF Research Database (Denmark)

    Singh, Sri Niwas; Østergaard, Jacob

    2010-01-01

    before DR implementation. This paper critically examines the present practices of the DR in the various electricity markets existing in the world including Europe. The prospect of DR in various market levels such as day-ahead (spot) market, hour-ahead market, real time/regulating market and ancillary......Demand response (DR) can provide sufficient measure, if implemented successfully, to provide economic, secure and stable supply to the customers even under the variability of the generated output from renewable energy source such as wind and solar. However, there are several issues to be analyzed...... market is analyzed. This paper also addresses the key issues and challenges in the implementation of DR in the electricity markets....

  6. Market Monitoring and Analysis: Electricity Sector

    Directory of Open Access Journals (Sweden)

    Helga Zogolli

    2015-10-01

    Full Text Available EU electricity liberalisation remains an essential energy reform programme, in scale in any other major region of the world. While other regions of the world have seen major pauses to their energy market reforms (most notably in the United States, the EU in the form of the European Commission, continues to press ahead. Electricity market power in Albania is in a difficult situation as a consequence of the lack of the adequate home-brew electricity resources and the great dependency from the hydro resources, inadequacy of the interconnections capacity with the neighbouring networks of electricity power, the considerable technical and economic barriers, and the difficult financials.In countries where no “official” power pool has been set up, different kinds of privates’ entities, e.g. generators, distributors, traders, large consumers, stock exchanges, system operator etc. or a combination of them, have promoted the creation of PX-s. The idea is that because electricity is a homogeneous product, standardized contracts can be traded on organized marketplaces. Since such an initiative was not forbidden by any law or by the European Directives many project have emerged in response to different motivations.This process in Europe, known as the liberalization process, has had a wide impact on the European electricity industry.Electricity market liberalisation is the opening of the market to competition; the extension of vertical unbundling of transmission and distribution from the generation and retailing; and the introduction of an independent regulator.The focus of this project is an analysis of the role of electricity PX-s in the recently liberalized electricity markets of Europe. In the context of creating “a” competitive electricity market at a European level, the key questions considered are the functioning of these PX-s with respect to electricity characteristics, market design and regulatory framework. Keywords: Energy,‘Placing on

  7. Forward Volatility Contract Pricing in the Brazilian Market

    Directory of Open Access Journals (Sweden)

    Sandro Magalhães Manteiga

    2004-06-01

    Full Text Available In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime of the contract. It is shown how this expected value can be computed by means of an exotic option with logarithmic pay-off. We show how to statically replicate this pay-off in terms of a basket of synthetic vanilla call and put options. We apply this construction to the TNLP4 ticker of BOVESPA and synthetize a basket with pure exposure to volatility using actual market prices.

  8. Generation capacity adequacy in interdependent electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Cepeda, Mauricio, E-mail: ivan-mauricio.cepeda-forero@edf.fr [EDF R and D Division, 1 Avenue du General de Gaulle, 92141 Clamart (France); CNRS-CIRED,45 bis avenue de La Belle Gabrielle, 94736 Nogent sur Marne cedex (France); Finon, Dominique [CNRS-CIRED,45 bis avenue de La Belle Gabrielle, 94736 Nogent sur Marne cedex (France)

    2011-06-15

    This paper deals with the practical problems related to long-term security of supply in regional electricity markets with transmission constraints. Differences between regulatory policies and market designs in terms of generation adequacy policies may distort the normal functioning of the neighboring markets, as well as the reliability of supply. We test the effect of heterogeneous regulatory design between two interdependent markets: energy-only market, price-capped market without capacity mechanisms and price-capped markets with forward capacity contracts obligation. We rely on a long-term market simulation model in system dynamics that characterizes expansion decision in a competitive regime. The results show that differences in market designs affect both price and reliability of supply in the two markets. We examine both the short and long terms effect, and how free-riding may occur where capacity adequacy policies are adopted in one market but not the other. The main finding is that the lack of harmonization between local markets in policies to ensure capacity adequacy may lead to undesirable side effects. - Research Highlights: > We model the long-term dynamic of two interdependent markets. > We examine both the short and long terms effect of heterogeneous regulatory design: energy-only market, price-capped market without capacity mechanisms and price-capped markets with forward capacity contracts obligation. > Differences in market designs affect both price and reliability of supply in the two markets. > Lack of harmonization between local markets in policies to ensure capacity adequacy may lead to undesirable side effects. > Free-riding may occur where capacity adequacy policies are adopted in one market but not the other.

  9. Short selling and intraday volatility: evidence from the Chinese market.

    Science.gov (United States)

    Zhang, Yongjie; Liu, Keming; Shen, Dehua; Zhang, Wei

    2015-01-01

    The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant post-event increase in volatility relative to the overall market and absolute value of trading volume. Specifically, small-cap stocks experience the sharpest increase. The robustness is also performed to validate the results.

  10. Market Equilibrium and Impact of Market Mechanism Parameters on the Electricity Price in Yunnan’s Electricity Market

    OpenAIRE

    Chuntian Cheng; Fu Chen; Gang Li; Qiyu Tu

    2016-01-01

    In this paper, a two-dimensional Cournot model is proposed to study generation companies’ (GENCO’s) strategic quantity-setting behaviors in the newly established Yunnan’s electricity market. A hybrid pricing mechanism is introduced to Yunnan’s electricity market with the aim to stimulate electricity demand. Market equilibrium is obtained by iteratively solving each GENCO’s profit maximization problem and finding their optimal bidding outputs. As the market mechanism is a key element of the el...

  11. Restructuring Electricity Markets when Demand is Uncertain

    DEFF Research Database (Denmark)

    Boom, Anette; Buehler, Stefan

    2006-01-01

    We examine the effects of reorganizing electricity markets on capacity investments, retail prices and welfare when demand is uncertain. We study the following market configurations: (i) integrated monopoly, (ii) integrated duopoly with wholesale trade, and (iii) separated duopoly with wholesale...... are such that the separated (integrated) duopoly with wholesale trade performs best (worst) in terms of welfare.Keywords: Electricity, Investments, Generating Capacities, Vertical Integration, Monopoly and Competition.JEL-Classification: D42, D43, D44, L11, L12, L13...

  12. Electricity regulation and electricity market reforms in China

    Energy Technology Data Exchange (ETDEWEB)

    Ngan, H.W. [The Hong Kong Polytechnic University (China)

    2010-05-15

    The electricity industry of China has been in a process of reforms since the 1980s. This paper gives a review on the three main stages of reforms in China so as to trace out key features of various reform measures including those for power investment financing, the separation between government and power enterprises, and the division between power generation firms and power grids. The findings suggest that further regulatory change in China's electricity market reform is necessary when integration of the electricity markets and increased competition are paving the way ahead for a market-oriented structure. Prospective electricity regulation in the form of a strong legal system and effective institutions that protect market competition and promote appropriate incentives for efficiency are suggested in the paper. (author)

  13. Electricity Market Manipulation: How Behavioral Modeling Can Help Market Design

    Energy Technology Data Exchange (ETDEWEB)

    Gallo, Giulia [National Renewable Energy Lab. (NREL), Golden, CO (United States)

    2015-12-18

    The question of how to best design electricity markets to integrate variable and uncertain renewable energy resources is becoming increasingly important as more renewable energy is added to electric power systems. Current markets were designed based on a set of assumptions that are not always valid in scenarios of high penetrations of renewables. In a future where renewables might have a larger impact on market mechanisms as well as financial outcomes, there is a need for modeling tools and power system modeling software that can provide policy makers and industry actors with more realistic representations of wholesale markets. One option includes using agent-based modeling frameworks. This paper discusses how key elements of current and future wholesale power markets can be modeled using an agent-based approach and how this approach may become a useful paradigm that researchers can employ when studying and planning for power systems of the future.

  14. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interact

  15. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher inter

  16. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interact

  17. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher

  18. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  19. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  20. Fostering renewable electricity markets in North America

    Energy Technology Data Exchange (ETDEWEB)

    Wingate, M.; Hamrin, J.; Kvale, L. [Centre for Resource Solutions, San Francisco, CA (United States); Alatorre, C. [Autonomous National Univ. of Mexico, Mexico City (Mexico)

    2007-04-15

    This paper provided an overview of key market demand and supply drivers for the renewable electricity in Canada, the United States and Mexico. The aim of the paper was to assist North American governments in supporting the development of renewable electricity by addressing barriers that currently contribute to higher costs as well as challenges related to policy implementation. The paper outlined regulatory mandates and discussed issues related to voluntary purchases, and financial incentives. Current policy frameworks for renewable electricity were also examined. Opportunities for developing the renewable electricity market North America were explored. Wind power environmental standards were reviewed. Various green pricing schemes were discussed. The paper also included recommendations for the current electricity market as well as for members of the North American Agreement on Environmental Cooperation. 84 refs., 4 tabs., 7 figs.

  1. Towards electricity markets accommodating uncertain offers

    DEFF Research Database (Denmark)

    Papakonstantinou, Athanasios; Pinson, Pierre

    2014-01-01

    infrastructure investments. In this paper we propose a new electricity market mechanism whereby the uncertain and dynamic nature of wind power and other stochastic sources is embedded in the market mechanism itself, by modelling producers’ bids as probabilistic estimates. An extension on the bilevel programming...

  2. Modelling electricity forward markets by ambit fields

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole; Fred Espen Benth, Fred Espen; Veraart, Almut

    This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the dynamics...

  3. Constructing forward price curves in electricity markets

    DEFF Research Database (Denmark)

    Fleten, S.-E.; Lemming, Jørgen Kjærgaard

    2003-01-01

    We present and analyze a method for constructing approximated high-resolution forward price curves in electricity markets. Because a limited number of forward or futures contracts are traded in the market, only a limited picture of the theoretical continuous forward price curve is available...

  4. Trading Strategy with Stochastic Volatility in a Limit Order Book Market

    OpenAIRE

    Ching, Wai-Ki; Gu, Jia-Wen; Siu, Tak-Kuen; Yang, Qing-Qing

    2016-01-01

    In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option market making for options written on stocks in the presence of stochastic volatility. Mathematically, the problem is formulated as a stochastic optimal control problem and the controlled state process is the dealer's mark-to-market wealth. Dealers in the s...

  5. Auction Design for the Colombian Electricity Market

    OpenAIRE

    Ennio Stacchetti

    1999-01-01

    Colombia deregulated its electricity sector and created a new market for electricty in July 1995. The spot market price is determined by a daily auction among the producers. Though the auction is designed to foment price competition, water scarcity constraints and the relatively high utilization of production capacity at peak demand hours produce situations where the larger producers can exercise some market power. In extreme condi- tions, like those during the drought of 1997, prices can inc...

  6. Scaling and memory in volatility return intervals in financial markets

    Science.gov (United States)

    Yamasaki, Kazuko; Muchnik, Lev; Havlin, Shlomo; Bunde, Armin; Stanley, H. Eugene

    2005-06-01

    For both stock and currency markets, we study the return intervals τ between the daily volatilities of the price changes that are above a certain threshold q. We find that the distribution function Pq(τ) scales with the mean return interval [Formula] as [Formula]. The scaling function f(x) is similar in form for all seven stocks and for all seven currency databases analyzed, and f(x) is consistent with a power-law form, f(x) ˜ x-γ with γ ≈ 2. We also quantify how the conditional distribution Pq(τ|τ0) depends on the previous return interval τ0 and find that small (or large) return intervals are more likely to be followed by small (or large) return intervals. This “clustering” of the volatility return intervals is a previously unrecognized phenomenon that we relate to the long-term correlations known to be present in the volatility. Author contributions: S.H. and H.E.S. designed research; K.Y., L.M., S.H., and H.E.S. performed research; A.B. contributed new reagents/analytic tools; A.B. analyzed data; and S.H. wrote the paper.Abbreviations: pdf, probability density function; S&P 500, Standard and Poor's 500 Index; USD, U.S. dollar; JPY, Japanese yen; SEK, Swedish krona.

  7. Entropy: A new measure of stock market volatility?

    Science.gov (United States)

    Bentes, Sonia R.; Menezes, Rui

    2012-11-01

    When uncertainty dominates understanding stock market volatility is vital. There are a number of reasons for that. On one hand, substantial changes in volatility of financial market returns are capable of having significant negative effects on risk averse investors. In addition, such changes can also impact on consumption patterns, corporate capital investment decisions and macroeconomic variables. Arguably, volatility is one of the most important concepts in the whole finance theory. In the traditional approach this phenomenon has been addressed based on the concept of standard-deviation (or variance) from which all the famous ARCH type models - Autoregressive Conditional Heteroskedasticity Models- depart. In this context, volatility is often used to describe dispersion from an expected value, price or model. The variability of traded prices from their sample mean is only an example. Although as a measure of uncertainty and risk standard-deviation is very popular since it is simple and easy to calculate it has long been recognized that it is not fully satisfactory. The main reason for that lies in the fact that it is severely affected by extreme values. This may suggest that this is not a closed issue. Bearing on the above we might conclude that many other questions might arise while addressing this subject. One of outstanding importance, from which more sophisticated analysis can be carried out, is how to evaluate volatility, after all? If the standard-deviation has some drawbacks shall we still rely on it? Shall we look for an alternative measure? In searching for this shall we consider the insight of other domains of knowledge? In this paper we specifically address if the concept of entropy, originally developed in physics by Clausius in the XIX century, which can constitute an effective alternative. Basically, what we try to understand is, which are the potentialities of entropy compared to the standard deviation. But why entropy? The answer lies on the fact

  8. Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants

    Directory of Open Access Journals (Sweden)

    Song Liu

    2015-01-01

    Full Text Available We extract low- and high-frequency volatility from China’s Shanghai gold futures market using an asymmetric Spline-GARCH (ASP-GARCH model. We then regress monthly low-frequency volatility on selected monthly macroeconomic indicators to study the impact of macroeconomy on gold futures market and to test for excess volatility. Our main result is volatility in China’s Shanghai gold futures market resulting from both macroeconomic fluctuations and investor behaviour. Chinese Consumer Price Index Volatility and US dollar volatility are the two main determinants of low-frequency gold volatility. We also find significant evidence of excess volatility, which can in part be explained in terms of loss-aversive investor behaviour.

  9. Volatility Nexus Between Stock Market and Macroeconomic Variables in Bangladesh: an Extended GARCH Approach

    Directory of Open Access Journals (Sweden)

    Hasan Md. Abu

    2017-06-01

    Full Text Available This paper examines the volatility of the Bangladesh stock market returns in response to the volatility of the macroeconomic variables employing monthly data of general index of Dhaka Stock Exchange (DSE and four macroeconomic variables (Call Money Rate, Crude Oil Price, Exchange Rate and SENSEX of Bombay Stock Exchange from January 2001 to December 2015. The results of GARCHS models reveal that the volatility of DSE return is significantly guided by the volatility of macroeconomic variables, such as, exchange rate and SENSEX. Specifically, volatility of the DSE is expected to 19% increase by 1% increase of exchange rate. Moreover, the volatility of the Bangladesh stock market returns is expected to dampen down by 2% with an increase in the volatility of Indian stock market of 1%. Thus, we can comment that adding exchange rate or stock returns of India in the GARCH model provides significant knowledge about the behaviour of the DSE volatility.

  10. Regulatory institutions in liberalised electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2001-07-01

    The reform of the electricity supply industry is gathering pace in many countries. Independent regulatory agencies and other regulatory bodies have been created, and regulatory responsibilities redefined. This book reviews the evolving institutional structures to regulate the electricity supply industry in IEA member countries. It is the latest in a series of IEA publications on energy market reform.

  11. Market Equilibrium and Impact of Market Mechanism Parameters on the Electricity Price in Yunnan’s Electricity Market

    Directory of Open Access Journals (Sweden)

    Chuntian Cheng

    2016-06-01

    Full Text Available In this paper, a two-dimensional Cournot model is proposed to study generation companies’ (GENCO’s strategic quantity-setting behaviors in the newly established Yunnan’s electricity market. A hybrid pricing mechanism is introduced to Yunnan’s electricity market with the aim to stimulate electricity demand. Market equilibrium is obtained by iteratively solving each GENCO’s profit maximization problem and finding their optimal bidding outputs. As the market mechanism is a key element of the electricity market, impacts of different market mechanism parameters on electricity price and power generation in market equilibrium state should be fully assessed. Therefore, based on the proposed model, we precisely explore the impacts on market equilibrium of varying parameters such as the number of GENCOs, the quantity of ex-ante obligatory-use electricity contracts (EOECs and the elasticity of demand. Numerical analysis results of Yunnan’s electricity market show that these parameters have notable but different effects on electricity price. A larger number of GENCOs or less EOEC contracted with GENCOs will have positive effects on reducing the price. With the increase of demand elasticity, the price falls first and then rises. Comparison of different mechanisms and relationship between different parameters are also analyzed. These results should be of practical interest to market participants or market designers in Yunnan’s or other similar markets.

  12. Predicting the Potential Market for Electric Vehicles

    DEFF Research Database (Denmark)

    Jensen, Anders Fjendbo; Cherchi, Elisabetta; Mabit, Stefan Lindhard

    2017-01-01

    Forecasting the potential demand for electric vehicles is a challenging task. Because most studies for new technologies rely on stated preference (SP) data, market share predictions will reflect shares in the SP data and not in the real market. Moreover, typical disaggregate demand models...... a significant market share. We have the advantage of a relatively unique databank where respondents were submitted to the same stated choice experiment before and after experiencing an electric vehicle. Results show that typical choice models forecast a demand that is too restrictive in the long period...

  13. Implications of power marketing in post-restructured electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Sioshansi, F.P. [Convector Consulting Inc. (CCI), Menlo Park, CA (United States); Altman, A. [Electric Power Research Inst., Palo Alto, CA (United States)

    1998-12-31

    This paper, which is based on a major study recently completed for the Electric Power Research Institute (EPRI), explains what power marketing is, who the power marketers are, what they actually do, why they do what they do, and what`s behind the industry`s explosive growth in the past few years. This paper also explains what types of products and services power marketers offer, why these products and services are in demand, and what are the fundamental drivers of this demand. Understanding the last item is particularly significant, namely the growth of power marketing in the context of the rapid restructuring of the wholesale - soon to be followed by the retail - electricity markets in the US. Another equally important impetus is the passage of a couple of highly significant US federal legislation since 1992, in the absences of which there would be no power marketing industry as we know it today. Moreover, the paper describes many of the practices commonly employed by power marketers to manage and hedge risks, to take advantage of arbitrage opportunities, and to deliver value-added and structured products and services, which are among the hallmarks of the new industry. Finally, the paper speculates about the longer term growth potential of the new industry and how it may change the traditional electric power business. (orig.)

  14. Predicting the Potential Market for Electric Vehicles

    DEFF Research Database (Denmark)

    Jensen, Anders Fjendbo; Cherchi, Elisabetta; Mabit, Stefan Lindhard

    2016-01-01

    diffusion models in marketing research use fairly simple demand models. In this paper we discuss the problem of predicting market shares for new products and suggest a method that combines advanced choice models with a diffusion model to take into account that new products often need time to gain......Forecasting the potential demand for electric vehicles is a challenging task. Because most studies for new technologies rely on stated preference (SP) data, market share predictions will reflect shares in the SP data and not in the real market. Moreover, typical disaggregate demand models...... are suitable to forecast demand in relatively stable markets, but show limitations in the case of innovations. When predicting the market for new products it is crucial to account for the role played by innovation and how it penetrates the new market over time through a diffusion process. However, typical...

  15. Optimal Charge control of Electric Vehicles in Electricity Markets

    DEFF Research Database (Denmark)

    Lan, Tian; Hu, Junjie; Wu, Guang

    2011-01-01

    Environment constraints, petroleum scarcity, high price on fuel resources and recent advancements in battery technology have led to emergence of Electric Vehicles (EVs). As increasing numbers of EVs enter the electricity market, these extra loads may cause peak load and need to be properly...

  16. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock and Bond Markets

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper

    We study the forecasting of future realized volatility in the stock, bond, and foreign exchange markets, as well as the continuous sample path and jump components of this, from variables in the information set, including implied volatility backed out from option prices. Recent nonparametric...... statistical techniques are used to separate realized volatility into its continuous and jump components, thus enhancing forecasting performance as shown by Andersen et al. (2005). We generalize the heterogeneous autoregressive (HAR) model to include implied volatility as an additional regressor...

  17. Nordic Market report 2010. Development in the Nordic Electricity Market

    Energy Technology Data Exchange (ETDEWEB)

    2010-07-15

    The Nordic region is characterized by a unique mix of generation sources, with a very high share of hydropower. Hydropower accounts for virtually all of the Norwegian and nearly half of the Swedish generation capacity, making the level of precipitation vital when calculating and analysing potential generation levels. Climatic conditions such as, significantly colder winters than any other European country also influence consumption in the Nordic region, as many households are electrically heated. Overall electricity consumption in the Nordic region in 2009 was marked by decreasing consumption in every market - from a decrease of 1,5% in Denmark to a decrease of 5,5% in Finland. The Nordic transmission grid connects almost the entire region into one synchronous power system enabling increased security of supply as well as a more efficient use of the generation capacity, but congestion occurs. Congestions between the Nord Pool bidding areas are handled through market splitting, while internal congestions in general are handled through counter trade or by reducing interconnector capacity at the bidding area borders. The key future challenge for transmission network operations both in the Nordic area, and as well on the European level will be to facilitate the functioning of the pan-European wholesale electricity markets. The Nordic wholesale power market is well functioning. The volume traded at Nord Pool in 2009 was about the same share of total consumption as that of 2008. Although trading at Nord Pool is voluntary, significantly more power is traded on the power exchange than bilaterally. During 2009 average spot prices at Nord Pool were lower than prices in 2008 due to both lower demand and generation costs for thermal power plants for most of 2009. The Nordic retail markets are essentially four separate markets, influenced by national differences, but work on integration has started. Throughout 2009 retail prices in the Nordic region were lower than in 2008

  18. Design and analysis of electricity markets

    Science.gov (United States)

    Sioshansi, Ramteen Mehr

    Restructured competitive electricity markets rely on designing market-based mechanisms which can efficiently coordinate the power system and minimize the exercise of market power. This dissertation is a series of essays which develop and analyze models of restructured electricity markets. Chapter 2 studies the incentive properties of a co-optimized market for energy and reserves that pays reserved generators their implied opportunity cost---which is the difference between their stated energy cost and the market-clearing price for energy. By analyzing the market as a competitive direct revelation mechanism we examine the properties of efficient equilibria and demonstrate that generators have incentives to shade their stated costs below actual costs. We further demonstrate that the expected energy payments of our mechanism is less than that in a disjoint market for energy only. Chapter 3 is an empirical validation of a supply function equilibrium (SFE) model. By comparing theoretically optimal supply functions and actual generation offers into the Texas spot balancing market, we show the SFE to fit the actual behavior of the largest generators in market. This not only serves to validate the model, but also demonstrates the extent to which firms exercise market power. Chapters 4 and 5 examine equity, incentive, and efficiency issues in the design of non-convex commitment auctions. We demonstrate that different near-optimal solutions to a central unit commitment problem which have similar-sized optimality gaps will generally yield vastly different energy prices and payoffs to individual generators. Although solving the mixed integer program to optimality will overcome such issues, we show that this relies on achieving optimality of the commitment---which may not be tractable for large-scale problems within the allotted timeframe. We then simulate and compare a competitive benchmark for a market with centralized and self commitment in order to bound the efficiency

  19. Market Power in Power Markets: Evidence from Forward Prices of Electricity

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Jensen, Thomas Elgaard; Mølgaard, Rune

    We examine the forward market for electricity for indications of misuse of market power, using a unique data set on OTC price indications posted by Elsam A/S, the dominant producer in Western Denmark, which is one of the price areas under the Nordic power exchange Nord Pool. The Danish Competitio...... are consistent across forward premium regressions and structural forward pricing models.......We examine the forward market for electricity for indications of misuse of market power, using a unique data set on OTC price indications posted by Elsam A/S, the dominant producer in Western Denmark, which is one of the price areas under the Nordic power exchange Nord Pool. The Danish Competition...... Council (the regulatory government agency) has ruled that Elsam has used its dominant position to obtain excessive spot prices over a period from July 2003 through December 2006. We show that significant forward premia exist, and that they are related both to spot market volatility and misuse of market...

  20. Russian electricity market. Current state and perspectives

    Energy Technology Data Exchange (ETDEWEB)

    Abdurafikov, R.

    2009-06-15

    The Russian electricity market is currently in transition. The restructuring of the sector has been completed and former public vertically integrated monopolies have been unbundled and partly privatised. The government retained control in all the network companies, the system operator, nuclear generation, and hydro generation. The state retains control also via owner-ship in several TGCs and WGCs in the strategic regions of Moscow and Saint-Petersburg via the state owned gas monopoly Gazprom. The liberalization takes place within two price zones, Europe and Siberia, where more than 90%, 913 TWh in 2007, of Russian electricity consumption takes place. In the rest of Russia, e.g. the Far East and isolated areas like Kaliningrad, electricity is supplied at regulated rates. Only a minor part of electricity in the price zones is currently traded at free prices. The share of electricity traded at free market prices will increase according to the liberalization schedule, reaching ca 90%, all except households, by 2011. Wholesale electricity market bids are aggregated in a detailed power system model of the Russian power grid, taking into account the physical locations of the facilities. The resulting 7700+ nodal market prices, scattered across the 7 time zones of the Russian market area, capture costs of congestion and load losses in the grid. The price level of electricity seems to be rather low at a glance - about 21 euro and 15 euro per MWh in Europe and Siberia respectively. On the other hand, wholesale market buyers have to pay for capacity availability, on average around 3000 euro/MW monthly. With greater share of electricity traded at free prices there will be an increased need to hedge price risks. For this reason a financial market is planned. There are also plans for support schemes for renewable generation and to limit environmental pollution as well as ancillary services markets. Some areas do not experience a likewise opening of the competition in Russia, for

  1. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock and Bond Markets

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper

    , and to the separate forecasting of the realized components. We also introduce a new vector HAR (VecHAR) model for the resulting simultaneous system, controlling for possible endogeneity issues in the forecasting equations. We show that implied volatility contains incremental information about future volatility......We study the forecasting of future realized volatility in the stock, bond, and foreign exchange markets, as well as the continuous sample path and jump components of this, from variables in the information set, including implied volatility backed out from option prices. Recent nonparametric...... statistical techniques are used to separate realized volatility into its continuous and jump components, thus enhancing forecasting performance as shown by Andersen et al. (2005). We generalize the heterogeneous autoregressive (HAR) model to include implied volatility as an additional regressor...

  2. Time-dependent correlations in electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Alvarez-Ramirez, Jose; Escarela-Perez, Rafael [Departamento de Energia, Universidad Autonoma Metropolitana, Mexico DF, 09340 (Mexico)

    2010-03-15

    In the last years, many electricity markets were subjected to deregulated operation where prices are set by the action of market participants. In this form, producers and consumers rely on demand and price forecasts to decide their bidding strategies, allocate assets, negotiate bilateral contracts, hedge risks, and plan facility investments. A basic feature of efficient market hypothesis is the absence of correlations between price increments over any time scale leading to random walk-type behavior of prices, so arbitrage is not possible. However, recent studies have suggested that this is not the case and correlations are present in the behavior of diverse electricity markets. In this paper, a temporal quantification of electricity market correlations is made by means of detrended fluctuation and Allan analyses. The approach is applied to two Canadian electricity markets, Ontario and Alberta. The results show the existence of correlations in both demand and prices, exhibiting complex time-dependent behavior with lower correlations in winter while higher in summer. Relatively steady annual cycles in demand but unstable cycles in prices are detected. On the other hand, the more significant nonlinear effects (measured in terms of a multifractality index) are found for winter months, while the converse behavior is displayed during the summer period. In terms of forecasting models, our results suggest that nonlinear recursive models (e.g., feedback NNs) should be used for accurate day-ahead price estimation. In contrast, linear models can suffice for demand forecasting purposes. (author)

  3. Modeling the return and volatility of the Greek electricity marginal system price

    Energy Technology Data Exchange (ETDEWEB)

    Theodorou, Petros [Department of Economics, Athens University of Economics and Business, 76, Patission Street, 104 34 Athens (Greece); Karyampas, Dimitrios [School of Economics, Mathematics and Statistics, Birkbeck, University of London (United Kingdom)

    2008-07-15

    Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)

  4. Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market

    Science.gov (United States)

    Kang, Sang Hoon; Cheong, Chongcheul; Yoon, Seong-Min

    2013-04-01

    This study provides empirical evidence of the relationship between spot and futures markets in Korea. In particular, the study focuses on the volatility spillover relationship between spot and futures markets by using three high-frequency (10 min, 30 min, and 1 h time-scales) intraday data sets of KOSPI 200 spot and futures contracts. The results indicate a strong bi-directional causal relationship between futures and spot markets, suggesting that return volatility in the spot market can influence that in the futures market and vice versa. Thus, the results indicate that new information is reflected in futures and spot markets simultaneously. This bi-directional causal relationship provides market participants with important guidance on understanding the intraday information transmission between the two markets. Thus, on a given trading day, there may be sudden and sharp increases or decreases in return volatility in the Korean stock market as a result of positive feedback and synchronization of spot and futures markets.

  5. Modeling and assessment of electricity market initiatives

    Science.gov (United States)

    Mokrian, Pedram

    This body of work is dedicated to the modeling and assessment of initiatives within electricity markets using the underlying hourly market dynamics. The dissertation presents two separate frameworks that take a bottom-up approach for assessing benefits associated with various demand-side initiatives and other emerging interventions in power markets. Models in support of each framework are presented, and numerical results are used to highlight some impacts based on hourly dynamics. The first framework uses stochastic optimization models to explore the economic feasibility of grid-scale energy storage from the perspective of a price taking, profit maximizing firm facing uncertain market dynamics. This model is then extended to incorporate intermittent wind generation, demonstrating how storage can be used as a potential substitute for transmission capacity. The second framework uses a new dynamic market equilibrium simulation model to address broader economic and environmental impacts of various demand-side initiatives including: energy efficiency, distributed generation, and plug-in hybrid electric vehicles. The general model is calibrated for the California electricity market. The model is used to estimate impacts of the various interventions, taking into account varying market adoption levels and natural gas prices.

  6. Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

    Energy Technology Data Exchange (ETDEWEB)

    Du Xiaodong, E-mail: xdu23@wisc.ed [Department of Agricultural and Applied Economics, University of Wisconsin-Madison, WI (United States); Yu, Cindy L., E-mail: cindyyu@iastate.ed [Department of Statistics, Iowa State University, IA (United States); Hayes, Dermot J., E-mail: dhayes@iastate.ed [Department of Economics and Department of Finance, Iowa State University, IA (United States)

    2011-05-15

    This paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov Chain Monte Carlo methods. Speculation, scalping, and petroleum inventories are found to be important in explaining the volatility of crude oil prices. Several properties of crude oil price dynamics are established, including mean-reversion, an asymmetry between returns and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006. This can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production.

  7. Essays on environmental regulations in electricity markets

    Science.gov (United States)

    Sun, Yanming

    Reducing the Greenhouse Gas pollution and promoting energy efficiency among consumers' energy use have been major public policy issues recently. Currently, both the United States and the European Union have set up explicit percentage requirements that require energy generators or consumers to undertake a certain percentage of their energy production or consumption from renewable sources. To achieve their renewable targets, the Tradable Green Certificates (TGC) system has been introduced in their electricity markets. Moreover, in order to promote energy conservation and achieve energy efficiency targets, price policies and price changes derived from environmental regulations have played a more important role in reducing electricity consumption. My research studies problems associated with these policy implementations. In Chapter 1, I analyze a competitive electricity market with two countries operated under a common TGC system. By using geometric illustrations, I compare the two countries' welfare when the renewable quota is chosen optimally under the common certificate market with three different situations. The policy recommendation is that when the value of damage parameter is sufficiently small, full integration with a TGC market is welfare superior to full integration of an all fossil-fuel based market with an optimal emissions standard. In Chapter 2, by analyzing a stylized theoretical model and numerical examples, I investigate the performance of the optimal renewables policy under full separation and full integration scenarios for two countries' electricity markets operated under TGC systems. In my third chapter, I look at residential electricity consumption responsiveness to increases of electricity price in the U.S. and the different effect of a price increase on electricity use for states of different income levels. My analysis reveals that raising the energy price in the short run will not give consumers much incentive to adjust their appliances and make

  8. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); R. Tansuchat (Roengchai)

    2010-01-01

    textabstractCrude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermedi

  9. Forecasting volatility and spillovers in crude oil spot, forward and future markets

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); R. Tansuchat (Roengchai)

    2009-01-01

    textabstractCrude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermedi

  10. Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); R. Tansuchat (Roengchai)

    2010-01-01

    textabstractCrude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas

  11. Forecasting volatility and spillovers in crude oil spot, forward and future markets

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); M.J. McAleer (Michael); R. Tansuchat (Roengchai)

    2009-01-01

    textabstractCrude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas

  12. Understanding volatility dynamics in the EU-ETS market

    DEFF Research Database (Denmark)

    Sanin, Maria Eugenia; Mansanet-Bataller, Maria; Violante, Francesco

    We study the short-term price behavior of Phase 2 EU emission allowances. We model returns and volatility dynamics, and we demonstrate that a standard ARMAX-GARCH framework is inadequate for this modeling and that the gaussianity assumption is rejected due to a number of outliers. To improve...... the fitness of the model, we combine the underlying price process with an additive stochastic jump process. We improve the model's performance by introducing a time-varying jump probability that is explained by two variables: the daily relative change in the volume of transactions and the European Commission...... periods. Thus, authorities face a trade off between disseminating information effectively and promoting market stability....

  13. Asymmetry Effects in Chinese Stock Markets Volatility: A Generalized Additive Nonparametric Approach

    OpenAIRE

    Hou, Ai Jun

    2007-01-01

    The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modeling return volatility with the parametric GARCH family models. This paper therefore applies a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chin...

  14. Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil

    OpenAIRE

    Tasdemir, Murat; Yalama, Abdullah

    2010-01-01

    This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different regions of the world. Using a misspecification robust causality-in-variance test, we found strong evidence supporting volatility spillovers from Istanbul Stock Exchange (ISE) to São Paulo Stock Exchange (BOVESPA). The results imply that financial crises may change the size and the direction of volatility spillovers between markets.

  15. Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets

    OpenAIRE

    Bayraci, Selcuk; Demiralay, Sercan

    2013-01-01

    : We examine the volatility spillovers among major Eurozone countries employing the Diebold and Yilmaz (2012) model with time-varying conditional ranges generated from conditional autoregressive range (CARR) model of Chou (2005). The empirical findings, based on a data set covering a fifteen year period (1998-2013), suggest a total volatility spillover index in a very high degree. 74.9% of total volatility in the Eurozone markets is attributed to spillover effects from other markets. Moreover...

  16. Resonating models for the electric power market.

    Science.gov (United States)

    Lucheroni, Carlo

    2007-11-01

    This paper describes the economic phenomenon of price spiking in electric power markets and introduces an alternative way to model it. A stochastic FitzHugh-Nagumo dynamics in a special regime is proposed as a basic model for the power market, and an extension of the FitzHugh-Nagumo system is introduced to improve the statistical features of the basic model. Ideas from stochastic and coherence resonance are used to discuss the models.

  17. Markov switching in GARCH processes and mean reverting stock market volatility

    OpenAIRE

    Dueker, Michael J.

    1995-01-01

    This paper introduces four models of conditional heteroskedasticity that contain markov switching parameters to examine their multi-period stock-market volatility forecasts as predictions of options-implied volatilities. The volatility model that best predicts the behavior of the optionsimplied volatilities allows the student-t degrees-of-freedom parameter to switch such that the conditional variance and kurtosis are subject to discrete shifts. The half-life of the most leptokurtic state is e...

  18. Electricity Markets Ontology to Support MASCEM's Simulations

    DEFF Research Database (Denmark)

    Santos, Gabriel; Pinto, Tiago; Vale, Zita;

    2016-01-01

    the several issues related to these systems, including the involved players that act in this domain. To take better advantage of these systems, their integration is mandatory. The main contribution of this paper is the development of the Electricity Markets Ontology, which integrates the essential concepts...... necessary to interpret all the available information related to electricity markets, while enabling an easier cooperation and adequate communication between related systems. Additionally, the concepts and rules defined by this ontology can be extended and complemented according to the needs of other...

  19. Combined scheduling of electricity and heat in a microgrid with volatile wind power

    DEFF Research Database (Denmark)

    Xu, Lizhong; Yang, Guang Ya; Xu, Zhao

    2011-01-01

    An optimization model is developed for scheduling electricity and heat production in a microgrid under a day-ahead market environment considering the operation constraints and the volatility of wind power generation. The model optimizes the total operation costs from energy and heating consumption...... into a mixed-integer programming (MIP) problem. Numerical simulations present the efficacy of the proposed model for day-ahead scheduling of a microgrid with wind penetration under the deregulated environment. © 2011 State Grid Electrtic Resarch Institute Press....

  20. Empowering Customer Choice in Electricity Markets

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2011-07-01

    Timely and effective deployment of demand response could greatly increase power system flexibility, electricity security and market efficiency. Considerable progress has been made in recent years to harness demand response. However, most of this potential remains to be developed. The paper draws from IEA experience to identify barriers to demand response, and possible enablers that can encourage more timely and effective demand response including cost reflective pricing, retail market reform, and improved load control and metering equipment. Governments have a key role to play in developing and implementing the policy, legal, regulatory and market frameworks needed to empower customer choice and accelerate the development and deployment of cost-effective demand response.

  1. Electricity transactions in an open access market

    Energy Technology Data Exchange (ETDEWEB)

    Flory, J.

    1996-01-01

    The electric power industry is becoming increasingly competitive. A number of other regulated industries have recently been deregulated. Federal and state regulators are increasingly opening up the electric power industry to competition. These ideas have not suddenly been brought down from the mountain top. Rather, they are part of an evolution in the energy marketplace. A 1995 Winter Meeting panel session, sponsored by the IEEE PES Power System Engineering Committee, explored Electricity Transactions in an Open Access Market. Panelists included: Richard Tabors, chairman of Tabors Caramanis and Associates, and assistant director of MIT laboratory for Electromagnetic and Electronic Systems; Brad Leach, director of Electricity and Natural Gas Research at the New York Mercantile Exchange; Dennis Meany, vice president of Louis Dreyfus Electric Power, Inc.; Steve Kean, vice president of Enron Gas services Group; John Flory, principal in charge of the Western Division, Tabors Caramanis and Associates. This article summarizes the panel session by describing the evolution of deregulation, discussing the benefits of deregulation, describing what an electricity transaction might look like in this open access market, and describing the implications of this market for current participants and the possible contributions of new participants.

  2. How to Organize Electricity Savings in a Liberalized Electricity Market

    DEFF Research Database (Denmark)

    Nørgaard, Jørgen

    1998-01-01

    The basic idea of Integrated Ressource Planning is described and it is demonstrated how this is in conflict with the sub-optimizing necessary in a liberalized market. Afterwards are outlined how the measuring of savings energy consumption constitutes a fundamental problem. Finally are dicussed th...... the future actors in the electricity sector and their roles in implementing electricity savings, followed by some proposals for an energy policy....

  3. How to Organize Electricity Savings in a Liberalized Electricity Market

    DEFF Research Database (Denmark)

    Nørgaard, Jørgen

    1998-01-01

    The basic idea of Integrated Ressource Planning is described and it is demonstrated how this is in conflict with the sub-optimizing necessary in a liberalized market. Afterwards are outlined how the measuring of savings energy consumption constitutes a fundamental problem. Finally are dicussed th...... the future actors in the electricity sector and their roles in implementing electricity savings, followed by some proposals for an energy policy....

  4. Investor’s Sentiments and Stock Market Volatility: an empirical evidence from emerging stock market

    Directory of Open Access Journals (Sweden)

    Mobeen Ur Rehman

    2013-05-01

    Full Text Available The concept of efficient market hypothesis has prevailed the financial markets for a long time which says that the prices of the securities reflect all available information. This approach was mainly followed by the rational investors but with the passage of time, the concept of behavioral finance emerged due to some of the major global financial crashes. This concept states that there are investors trading in the market making decisions on the basis of sentiments not on any fundamental information. Such class of traders is called the noise traders and they are mainly responsible for any disruption in the returns of the securities. In this paper we will try to find whether these sentiments of the investors affect the returns of the securities listed on the Karachi stock exchange. We will use the investor sentiment index that uses the six proxies the data on which has been collected mainly from the Karachi stock exchange. Volatility of the stock market returns will be calculated and regressed with the sentimental equation discussed above as the independent variable. This study will help us to find out the extent to which these sentiments influence the stock market returns in weak form efficient market and also it will help us to identify the presence of such irrational noise traders in our financial market.

  5. Redesign Electricity Market for the Next Generation Power System of Renewable Energy and Distributed Storage Technologies

    DEFF Research Database (Denmark)

    Feng, Donghan; Xu, Zhao; Østergaard, Jacob

    2010-01-01

    This paper proposes a stochastic time-series based method to simulate the volatility of intermittent renewable generation and distributed storage devices along timeline. The proposed method can calculate the optimal timeline for different electricity markets and power systems. In practice...

  6. Nordic market report 2009 : Development in the Nordic electricity market

    Energy Technology Data Exchange (ETDEWEB)

    2009-07-01

    The Nordic region is characterized by a unique mix of generation sources where the high share of hydropower, representing virtually all of the Norwegian and nearly half of the Swedish generation capacity, has a great influence on the market. The level of precipitation is thus vital when calculating and analysing potential generation levels. In addition, the Nordic region has significantly colder winters than any other European country, influencing the consumption as many households are electrically heated. In 2008 the overall electricity consumption in the Nordic region was slightly higher - 1.6 per cent - than in 2007. During periods of peak consumption the Nordic power system proved sufficient to ensure security of supply without restrictions on consumption. The Nordic region operates almost entirely as one synchronous power system through transmission grid. The continuous reinforcement of the Nordic transmission grid has enabled an increased security of supply as well as a more efficient use of the generation capacity. Increasing cross border power flows strain the transmission lines and increases the demand for transmission capacity. Possible congestions occurring between the Nord Pool bidding areas are handled through market splitting, while internal congestions in general are handled through counter trade or by reducing interconnector capacity at the bidding area borders. The Nordic wholesale power market is a well functioning electricity market. Trade at Nord Pool has increased steadily since it was established in 1993. Although trading at Nord Pool Spot is voluntary, significantly more physical power is now traded on the power exchange than bilaterally - from 42 per cent of total Nordic consumption in 2004 to 76 per cent in 2008. During 2008 average spot prices at Nord Pool were considerably higher (approximately 60 per cent) than prices in 2007. The Nordic retail markets are essentially four separate markets, influenced by national differences, but work on

  7. Nordic market report 2009. Development in the Nordic electricity market

    Energy Technology Data Exchange (ETDEWEB)

    2009-07-15

    The Nordic region is characterized by a unique mix of generation sources where the high share of hydropower, representing virtually all of the Norwegian and nearly half of the Swedish generation capacity, has a great influence on the market. The level of precipitation is thus vital when calculating and analysing potential generation levels. In addition, the Nordic region has significantly colder winters than any other European country, influencing the consumption as many households are electrically heated. In 2008 the overall electricity consumption in the Nordic region was slightly higher - 1.6 per cent - than in 2007. During periods of peak consumption the Nordic power system proved sufficient to ensure security of supply without restrictions on consumption. The Nordic region operates almost entirely as one synchronous power system through transmission grid. The continuous reinforcement of the Nordic transmission grid has enabled an increased security of supply as well as a more efficient use of the generation capacity. Increasing cross border power flows strain the transmission lines and increases the demand for transmission capacity. Possible congestions occurring between the Nord Pool bidding areas are handled through market splitting, while internal congestions in general are handled through counter trade or by reducing interconnector capacity at the bidding area borders. The Nordic wholesale power market is a well functioning electricity market. Trade at Nord Pool has increased steadily since it was established in 1993. Although trading at Nord Pool Spot is voluntary, significantly more physical power is now traded on the power exchange than bilaterally - from 42 per cent of total Nordic consumption in 2004 to 76 per cent in 2008. During 2008 average spot prices at Nord Pool were considerably higher (approximately 60 per cent) than prices in 2007. The Nordic retail markets are essentially four separate markets, influenced by national differences, but work on

  8. Competition in decentralized electricity markets: Three papers on electricity auctions

    Science.gov (United States)

    Harbord, David William Cameron

    This thesis consists of three self-contained papers on the analysis of electricity auctions written over a period of twelve years. The first paper models price competition in a decentralized wholesale market for electricity as a first-price, sealed-bid, multi-unit auction. In both the pure and mixed-strategy equilibria of the model, above marginal cost pricing and inefficient despatch of generating units occur. An alternative regulatory pricing rule is considered and it is shown that offering to supply at marginal cost can be induced as a dominant strategy for all firms. The second paper analyses strategic interaction between long-term contracts and price competition in the British electricity wholesale market, and confirms that forward contracts will tend to put downward pressure on spot market prices. A 'strategic commitment' motive for selling forward contracts is also identified: a generator may commit itself to bidding lower prices into the spot market in order to ensure that it will be despatched with its full capacity. The third paper characterizes bidding behavior and market outcomes in uniform and discriminatory electricity auctions. Uniform auctions result in higher average prices than discriminatory auctions, but the ranking in terms of productive efficiency is ambiguous. The comparative effects of other market design features, such as the number of steps in suppliers' bid functions, the duration of bids and the elasticity of demand are analyzed. The paper also clarifies some methodological issues in the analysis of electricity auctions. In particular we show that analogies with continuous share auctions are misplaced so long as firms are restricted to a finite number of bids.

  9. Predictability of Wave Energy and Electricity Markets

    DEFF Research Database (Denmark)

    Chozas, Julia Fernandez

    2012-01-01

    The articlw addresses an important challenge ahead the integration of the electricity generated by wave energy conversion technologies into the electric grid. Particularly, it looks into the role of wave energy within the day-ahead electricity market. For that the predictability of the theoretical...... power outputs of three wave energy technologies in the Danish North Sea are examined. The simultaneous and co-located forecast and buoy-measured wave parameters at Hanstholm, Denmark, during a non-consecutive autumn and winter 3-month period form the basis of the investigation. The objective...

  10. Environmental policies in competitive electricity markets

    NARCIS (Netherlands)

    Langestraat, R.

    2013-01-01

    In this thesis we model and analyze several environmental policies in an existing mathematical representation of a perfectly competitive electricity market. We contribute to the literature by theoretically and numerically establishing a number of effects of environmental policies on investment strat

  11. Green electricity in the market place revisited

    NARCIS (Netherlands)

    Arentsen, Maarten J.; Fuchs, Doris; Brunnengräber, Achim; Di Nucci, Maria Rosaria

    2014-01-01

    In 2002, we published a paper in Energy Policy under the title: Green electricity in the market place: the policy challenge (Fuchs & Arentsen 2002). In that paper, we used a co-evolutionary approach to show the extent to which producers and consumers were locked into technological and institutional

  12. Independent regulatory authorities in European electricity market

    DEFF Research Database (Denmark)

    Olsen, Ole Jess; Larsen, Anders; Sørensen, Eva Moll

    2006-01-01

    Liberalisation of the electricity market has taken place in most European countries within the last decade. It is considered a precondition of successful liberalisation to establish so-called independent regulatory authorities. In this article, we compare the status and practice of them in 16...

  13. Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

    Directory of Open Access Journals (Sweden)

    Adedoyin I. Lawal

    2016-09-01

    Full Text Available The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

  14. Strategies for Charging Electric Vehicles in the Electricity Market

    DEFF Research Database (Denmark)

    Juul, Nina; Pantuso, Giovanni; Iversen, Jan Emil Banning

    2015-01-01

    This paper analyses different charging strategies for a fleet of electric vehicles. Along with increasing the realism of the strategies, the opportunity for acting on the regulating market is also included. We test the value of a vehicle owner that can choose when and how to charge; by presenting...

  15. Emissions markets, power markets and market power: A study of the interactions between contemporary emissions markets and deregulated electricity markets

    Science.gov (United States)

    Dormady, Noah Christopher

    Chapter 1: A Monte Carlo Approach. The use of auctions to distribute tradeable property rights to firms in already heavily concentrated markets may further exacerbate the problems of market power that exist within those markets. This chapter provides a model of a two-stage emissions market modeled after a contemporary regional permit trading market in the United States, the Regional Greenhouse Gas Initiative, Inc. (RGGI). It then introduces Oligopsony 1.0, a C# software package constructed in the .NET environment that simulates uniform-price auctions using stochastic Monte Carlo simulation for modeling market power in tradeable property rights auctions. Monte Carlo methods add a probabilistic element to standard auction theoretic equilibria. The results of these simulations indicate that there can be significant non-linearities between profit and market power as exercised through strategic demand reduction. This analysis finds the optimum point of strategic demand reduction that enables the firm to exploit these non-linearities, and it determines the probability distributions of these optima using kernel density analysis. Chapter 2: An Experimental Approach. How will emerging auction-based emissions markets function within the context of today's deregulated auction-based electricity markets? This chapter provides an experimental analysis of a joint energy-emissions market. The impact of market power and collusion among dominant firms is evaluated to determine the extent to which an auction-based tradeable permit market influences performance in an adjacent electricity market. The experimental treatment design controls for a variety of real-world institutional features, including variable demand, permit banking, inter-temporal (multi-round) dynamics, a tightening cap, and resale. Results suggest that the exercise of market power significantly increases electricity auction clearing prices, without significantly increasing emissions auction clearing prices, and in

  16. A Big Data Approach to Analyzing Market Volatility

    Energy Technology Data Exchange (ETDEWEB)

    Wu, Kesheng; Bethel, E. Wes; Gu, Ming; Leinweber, David; Ruebel, Oliver

    2013-06-05

    Understanding the microstructure of the financial market requires the processing of a vast amount of data related to individual trades, and sometimes even multiple levels of quotes. Analyzing such a large volume of data requires tremendous computing power that is not easily available to financial academics and regulators. Fortunately, public funded High Performance Computing (HPC) power is widely available at the National Laboratories in the US. In this paper we demonstrate that the HPC resource and the techniques for data-intensive sciences can be used to greatly accelerate the computation of an early warning indicator called Volume-synchronized Probability of Informed trading (VPIN). The test data used in this study contains five and a half year?s worth of trading data for about 100 most liquid futures contracts, includes about 3 billion trades, and takes 140GB as text files. By using (1) a more efficient file format for storing the trading records, (2) more effective data structures and algorithms, and (3) parallelizing the computations, we are able to explore 16,000 different ways of computing VPIN in less than 20 hours on a 32-core IBM DataPlex machine. Our test demonstrates that a modest computer is sufficient to monitor a vast number of trading activities in real-time ? an ability that could be valuable to regulators. Our test results also confirm that VPIN is a strong predictor of liquidity-induced volatility. With appropriate parameter choices, the false positive rates are about 7percent averaged over all the futures contracts in the test data set. More specifically, when VPIN values rise above a threshold (CDF > 0.99), the volatility in the subsequent time windows is higher than the average in 93percent of the cases.

  17. Linking market interaction intensity of 3D Ising type financial model with market volatility

    Science.gov (United States)

    Fang, Wen; Ke, Jinchuan; Wang, Jun; Feng, Ling

    2016-11-01

    Microscopic interaction models in physics have been used to investigate the complex phenomena of economic systems. The simple interactions involved can lead to complex behaviors and help the understanding of mechanisms in the financial market at a systemic level. This article aims to develop a financial time series model through 3D (three-dimensional) Ising dynamic system which is widely used as an interacting spins model to explain the ferromagnetism in physics. Through Monte Carlo simulations of the financial model and numerical analysis for both the simulation return time series and historical return data of Hushen 300 (HS300) index in Chinese stock market, we show that despite its simplicity, this model displays stylized facts similar to that seen in real financial market. We demonstrate a possible underlying link between volatility fluctuations of real stock market and the change in interaction strengths of market participants in the financial model. In particular, our stochastic interaction strength in our model demonstrates that the real market may be consistently operating near the critical point of the system.

  18. Electricity market design for the prosumer era

    Science.gov (United States)

    Parag, Yael; Sovacool, Benjamin K.

    2016-04-01

    Prosumers are agents that both consume and produce energy. With the growth in small and medium-sized agents using solar photovoltaic panels, smart meters, vehicle-to-grid electric automobiles, home batteries and other ‘smart’ devices, prosuming offers the potential for consumers and vehicle owners to re-evaluate their energy practices. As the number of prosumers increases, the electric utility sector of today is likely to undergo significant changes over the coming decades, offering possibilities for greening of the system, but also bringing many unknowns and risks that need to be identified and managed. To develop strategies for the future, policymakers and planners need knowledge of how prosumers could be integrated effectively and efficiently into competitive electricity markets. Here we identify and discuss three promising potential prosumer markets related to prosumer grid integration, peer-to-peer models and prosumer community groups. We also caution against optimism by laying out a series of caveats and complexities.

  19. On the evaluation of market power and market dominance-The Nordic electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Hellmer, Stefan [School of Management, Blekinge Institute of Technology, PO-Box 520, SE-372 25 Ronneby (Sweden)], E-mail: stefan.hellmer@bth.se; Warell, Linda [Economics Department, Lulea University of Technology, SE-971 87 Lulea (Sweden)], E-mail: linda.warell@ltu.se

    2009-08-15

    This paper studies different concentration and dominance measures using structural indexes used to initially screen the competitive situation in a market. The Nordic and Swedish electricity markets are used as the empirical cases. Market concentration issues in the Nordic electricity market in general and in Sweden in particular have been, at least in initial screenings, approached by the Herfindahl-Hirschman Index (HHI). This article uses an alternative measure to HHI, which is based on market shares of the two largest firms in the market. The results shows that only the Swedish wholesale market has a firm that can be regarded as dominant, but only during very short periods. The results from a hypothetical merger between the second and third largest company in the Swedish wholesale market shows that when the dominant position of the largest firm is reduced, by increasing the size of the second largest firm, the threshold value indicates that competition actually will increase (contradicting to the HHI)

  20. On the evaluation of market power and market dominance. The Nordic electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Hellmer, Stefan [School of Management, Blekinge Institute of Technology, PO-Box 520, SE-372 25 Ronneby (Sweden); Waarell, Linda [Economics Department, Luleaa University of Technology, SE-971 87 Luleaa (Sweden)

    2009-08-15

    This paper studies different concentration and dominance measures using structural indexes used to initially screen the competitive situation in a market. The Nordic and Swedish electricity markets are used as the empirical cases. Market concentration issues in the Nordic electricity market in general and in Sweden in particular have been, at least in initial screenings, approached by the Herfindahl-Hirschman Index (HHI). This article uses an alternative measure to HHI, which is based on market shares of the two largest firms in the market. The results shows that only the Swedish wholesale market has a firm that can be regarded as dominant, but only during very short periods. The results from a hypothetical merger between the second and third largest company in the Swedish wholesale market shows that when the dominant position of the largest firm is reduced, by increasing the size of the second largest firm, the threshold value indicates that competition actually will increase (contradicting to the HHI). (author)

  1. Financial integration in emerging market economies: Effects on volatility transmission and contagion

    Directory of Open Access Journals (Sweden)

    Aymen Ben Rejeb

    2015-09-01

    Full Text Available The purpose of this paper is to examine the volatility relationship that exists between emerging and developed markets in normal times and in times of financial crises. The Vector Autoregressive methodology and the Bai and Perron (2003a, 2003b's technique are used. The paper results lead to very interesting conclusions. First, it has been found that volatility spillovers are effective across financial markets. Second, it has been proven that geographical proximity is of great importance in amplifying the volatility transmission. Finally, it has been shown that financial liberalization contributes significantly in amplifying the international transmission of volatility and the risk of contagion.

  2. Network of listed companies based on common shareholders and the prediction of market volatility

    Science.gov (United States)

    Li, Jie; Ren, Da; Feng, Xu; Zhang, Yongjie

    2016-11-01

    In this paper, we build a network of listed companies in the Chinese stock market based on common shareholding data from 2003 to 2013. We analyze the evolution of topological characteristics of the network (e.g., average degree, diameter, average path length and clustering coefficient) with respect to the time sequence. Additionally, we consider the economic implications of topological characteristic changes on market volatility and use them to make future predictions. Our study finds that the network diameter significantly predicts volatility. After adding control variables used in traditional financial studies (volume, turnover and previous volatility), network topology still significantly influences volatility and improves the predictive ability of the model.

  3. Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period

    OpenAIRE

    Laborde, David; Rey, Serge

    2001-01-01

    This paper analyzes the causal relationships between returns and volatilities of assets prices in U.S. and French markets. The period for the study has been taken from January 1997 to December 2000, using daily and weekly data. Initial results show that U.S. stock prices "Granger-cause" French stock prices, while changes in French and American stock prices influence significatively the euro/dollar exchange rate. Moreover, it appears that the volatilities of stock markets are linked (with caus...

  4. Complexity and Multifractal of Volatility Duration for Agent-Based Financial Dynamics and Real Markets

    Science.gov (United States)

    Yang, Ge; Wang, Jun

    2016-11-01

    A random agent-based financial model is developed and investigated by the finite-range multitype contact dynamic system, in an attempt to reproduce and study the dynamics of financial markets. And an analysis method of detecting duration and intensity relationship in volatility series is introduced, called the volatility duration analysis. Then the auto-correlation analysis suggests that there exists evident volatility clustering feature in absolute volatility durations for the simulation data and the real data. Besides, the Lempel-Ziv complexity analysis is applied to study the complexity of the returns, the corresponding absolute returns and the volatility duration returns, which can reflect the fluctuation behaviors, the volatility behaviors and the volatility duration behaviors. At last, the multifractal phenomena of volatility durations of returns are comparatively studied for Shanghai Composite Index and the proposed model by multifractal detrended fluctuation analysis.

  5. EU Emission Allowances and the stock market Evidence from the electricity industry

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich [Centre for European Economic Research (ZEW) P.O. Box 103443 68034 Mannheim (Germany)

    2009-02-15

    This paper constitutes - to our best knowledge - the first econometric analysis on stock market effects of the EU Emission Trading Scheme (EU ETS). Our results suggest that EU Emission Allowance (EUA) price developments matter to the stock performance of electricity firms: EUA price changes and stock returns of the most important European electricity corporations are shown to be positively related. This effect does not work asymmetrically, so that stock markets do not seem to react differently to EUA appreciations in comparison to depreciations. The carbon market effect is shown to be both time- and country-specific: It is particularly strong for the period of EUA market shock in early 2006, and differs with respect to the countries where the electricity corporations analysed are headquartered. Stock market reactions to EUA volatility could not be shown. (author)

  6. Valuating risk from sales contract offer maturity in electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Bartelj, Ludvik; Gubina, Andrej F.; Golob, Robert [University of Ljubljana, Faculty of Electrical Engineering, Trzaska cesta 25, 1000 Ljubljana (Slovenia); Paravan, Dejan [GEN-I d.o.o., Cesta 4. Julija 42, 8270 KRSKO (Slovenia)

    2010-02-15

    The electricity retail business has always been exposed to a significant risk due to a very volatile nature of the wholesale electricity market. Recently, this trend has been accelerating, as electricity-forward price can rise or fall during one day by an amount comparable to the retailer's margin. As a result, the risk that arises from sales contract offer maturity can significantly reduce or even neutralize the retailer's profit. To develop a mitigation strategy for this risk, a retailer clearly needs a model for a detailed risk analysis. Many attempts have been made to analyze several risk issues of an electricity retail company, but so far none has explored and evaluated the sales contract offer maturity risk. This paper presents a fundamental model for evaluating this risk and a methodology for its use, and compares its analytical performance with traditional techniques obtained from the option-pricing theory. A realistic example illustrates the use and the benefits of the proposed model in risk analysis of the electricity retail business. (author)

  7. Essays on competition in electricity markets

    Science.gov (United States)

    Bustos Salvagno, Ricardo Javier

    The first chapter shows how technology decisions affect entry in commodity markets with oligopolistic competition, like the electricity market. I demonstrate an entry deterrence effect that works through cost uncertainty. Technology's cost uncertainty affects spot market expected profits through forward market trades. Therefore, incentives to engage in forward trading shape firms' decisions on production technologies. I show that high-cost but low-risk technologies are adopted by risk-averse incumbents to deter entry. Strategic technology adoption can end in a equilibrium where high-cost technologies prevail over low-cost but riskier ones. In the case of incumbents who are less risk-averse than entrants, entry deterrence is achieved by choosing riskier technologies. The main results do not depend on who chooses their technology first. Chapter two examines the Chilean experience on auctions for long-term supply contracts in electricity markets from 2006 to 2011. Using a divisible-good auction model, I provide a theoretical framework that explains bidding behavior in terms of expected spot prices and contracting positions. The model is extended to include potential strategic behavior on contracting decisions. Empirical estimations confirm the main determinants of bidding behavior and show heterogeneity in the marginal cost of over-contracting depending on size and incumbency. Chapter three analyzes the lag in capacity expansion in the Chilean electricity market from 2000 to 2004. Regarded as a result of regulatory uncertainty, the role of delays in the construction of a large hydro-power plant has been overlooked by the literature. We argue that those delays postponed projected investment and gave small windows of opportunity that only incumbents could take advantage of. We are able to retrace the history of investments through real-time information from the regulator's reports and a simple model enables us to explain the effect of those delays on suggested and under

  8. 2008 Annual Report of SGCC on Electricity Market Transactions

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    On April 14,2009,the State Grid Corporation of China (SGCC) held the press conference in Beijing on electricity market transactions and then released the "2008 Annual Report of SGCC on Electricity Market Transactions".

  9. Capacity choices in liberalised electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Castro-Rodriguez, Fidel [Departamento de Fundamentos de Analisis Economico and RGEA, Facultad de Economicas, Universidad de Vigo (Spain); Marin, Pedro L. [Departamento de Economia, Universidad Carlos III de Madrid (Spain); CEPR (Spain); Siotis, Georges [Departamento de Economia, Universidad Carlos III de Madrid, Spain, European Commission (Spain)

    2009-07-15

    This paper addresses the issue of investment in electricity generation in the context of a liberalised market. We use the main results derived from a theoretical model where firms invest strategically to simulate the Spanish electricity system with real-world data. Our results indicate that, under reasonable parameter constellations regarding the number of agents, the level of capacity resulting from private decisions falls well short of the social optimum. Last, we show that two regulatory mechanisms that have been used to generate additional incentives for private agents to install capacity (capacity payment and price-adder) are ineffective and/or prohibitively costly. (author)

  10. Modelling risks for electric power markets.

    OpenAIRE

    Pantoja-Robayo, Javier

    2012-01-01

    This paper presents a study of the Forward Risk Premia (FRP) in Wholesale Electric Power Market in Colombia (WPMC) showing how the FRP varies throughout the day and how its properties are explained by risk factors. It also shows that expected forward risk premia depends on factors such as variations in expected spot prices, due to the climatic conditions generated by the Oceanic Niño Index (ONI) and its impact on the available quantity of water to generate electric power. This document provid...

  11. A regime-switching stochastic volatility model for forecasting electricity prices

    DEFF Research Database (Denmark)

    Exterkate, Peter; Knapik, Oskar

    In a recent review paper, Weron (2014) pinpoints several crucial challenges outstanding in the area of electricity price forecasting. This research attempts to address all of them by i) showing the importance of considering fundamental price drivers in modeling, ii) developing new techniques...... for probabilistic (i.e. interval or density) forecasting of electricity prices, iii) introducing an universal technique for model comparison. We propose new regime-switching stochastic volatility model with three regimes (negative jump, normal price, positive jump (spike)) where the transition matrix depends...... on explanatory variables. Bayesian inference is explored in order to obtain predictive densities. The main focus of the paper is on shorttime density forecasting in Nord Pool intraday market. We show that the proposed model outperforms several benchmark models at this task....

  12. Flexibility-enabling Contracts in Electricity Markets

    DEFF Research Database (Denmark)

    Boscan, Luis; Poudineh, Rahmatallah

    As the share of intermittent renewable energy increases in the generation mix, power systems are exposed to greater levels of uncertainty and risk, which requires planners, policy and business decision makers to incentivise flexibility, that is: their adaptability to unforeseen variations....... Additionally, along with traditional sources, which already enable flexibility, a number of business models, such as thermostat-based demand response, aggregators and small storage providers, are emerging in electricity markets and expected to constitute important sources of flexibility in future decentralised...... power systems. However, due to presence of high transaction costs, relative to the size of resource, the emerging small resources cannot directly participate in an organised electricity market and/or compete. This paper asks the fundamental question of how should the provision of flexibility, as a multi...

  13. Insuring unit failures in electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Pineda, S.; Conejo, A.J.; Carrion, M. [Univ. Castilla-La Mancha (Spain)

    2010-11-15

    An electric energy producer participates in futures markets in the hope of hedging the risk of trading in the pool. However, this producer is required to supply the energy associated with all its signed forward contracts even if some of its units are forced out due to unexpected failures. In this case, the producer must purchase some of the energy needed to meet its futures market commitments in the pool, which may result in high losses if the pool prices happen to be higher than the forward contract prices. To mitigate these losses, the producer can take out insurance against the forced outages of its units. Using a stochastic programming model, this paper analyzes the convenience of signing an insurance against unit failure by an electric energy producer and its impact on forward contracting decisions. Results from a realistic case study are provided and analyzed. (author)

  14. Flexibility-enabling Contracts in Electricity Markets

    DEFF Research Database (Denmark)

    Boscan, Luis; Poudineh, Rahmatallah

    As the share of intermittent renewable energy increases in the generation mix, power systems are exposed to greater levels of uncertainty and risk, which requires planners, policy and business decision makers to incentivise flexibility, that is: their adaptability to unforeseen variations....... Additionally, along with traditional sources, which already enable flexibility, a number of business models, such as thermostat-based demand response, aggregators and small storage providers, are emerging in electricity markets and expected to constitute important sources of flexibility in future decentralised...... power systems. However, due to presence of high transaction costs, relative to the size of resource, the emerging small resources cannot directly participate in an organised electricity market and/or compete. This paper asks the fundamental question of how should the provision of flexibility, as a multi...

  15. What Causes Stock Market Volatility in Pakistan? Evidence from the Field

    Directory of Open Access Journals (Sweden)

    Bushra Ghufran

    2016-01-01

    Full Text Available We examined the presence of volatility at the Karachi Stock Exchange (recently changed the name to Pakistan Stock Exchange (KSE by fitting Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH model to 25 years’ index data. We found that the ARCH effects are present in the data indicating the stock market cluster volatility during the period under study. We found persistent high volatility in the stock market and presence of negative leverage effect. Moreover, we tried to identify the factors causing stock market volatility by collecting and analyzing the primary data obtained from 246 individual investors of stock market and 28 brokers listed with KSE. Our results show that investors consider political situation as the most important factor causing turbulence in the stock market. Interviews with the brokers also confirmed this. The second most important factor identified by investors is the herd behavior among investors that results in over- and underpricing of stocks and the overall market shows a volatile behavior. Our findings suggest that individual investor’s behavioral dimensions of involvement, risk attitude, and overconfidence are significantly associated with factors causing market volatility.

  16. Grain price and volatility transmission from international to domestic markets in developing countries

    OpenAIRE

    Ceballos, Francisco; Hernandez, Manuel A.; Minot,Nicholas; Robles, Miguel

    2015-01-01

    Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South As...

  17. Asymmetric Effect of Monetary Policy on Stock Market Volatility in ASEAN5

    National Research Council Canada - National Science Library

    Trung Thanh BUI

    2015-01-01

    .... The primary objective of this paper is to clarify the asymmetric effect of monetary policy on stock market volatility, which is believed to have adverse effects on the economy recovery, over its bull and bear period...

  18. Measuring and Forecasting Financial Market Volatility using High-Frequency Data

    NARCIS (Netherlands)

    K. Bannouh (Karim)

    2013-01-01

    textabstractThis dissertation consists of three studies on the use of intraday asset price data for accurate measurement and forecasting of financial market volatility. Chapter 2 proposes a refined heuristic bias-correction for the two time scales realized range-based volatility estimator in the

  19. Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); Y. Li (Y); M.J. McAleer (Michael)

    2015-01-01

    markdownabstract__Abstract__ Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the subse

  20. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); Y. Li (Y); M.J. McAleer (Michael)

    2015-01-01

    markdownabstract__Abstract__ Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the subse

  1. The creation of a global electricity market

    Energy Technology Data Exchange (ETDEWEB)

    DePinto, D.; Anderson, A.

    1998-07-01

    The global embrace of market-based economics has led to significant growth and prosperity resulting in increased needs for electricity. The burgeoning demand for energy has created requirements for capital investment at time when the state-owned energy companies cannot provide it. Governments, busy trying to find ways to manage already inflated debt burdens, have little capacity for funding the capital needed to expand energy production. In these strategic industries, governments are beginning to embrace the principles of free market capitalism and private ownership, recognizing the significant benefits to be realized: reduced national deficits, a more efficient energy sector, access to foreign capital, greater internal capital generation, and more energy to fuel economic growth. This is driving the governments to embrace privatization and is creating a market for the sale of electric utilities. On the other side of this equation are the fast developing global electric companies that are prepared to expand in both developing and developed countries through significant acquisitions of either companies or strategic assets. This scenario is further enhanced as the Independent Power Developers chase projects from Brazil to China and bring competition to the development of new generation. Never before has there been such a movement to the complete transformation of the energy industry. Countries on every continent are exploring how they can reform and restructure the energy sector. The analysis will address: Global transformation sweeping the various regions of the world; Impact on developers and the strategy required for success; Global electric companies and their impact on the transformation process; and Future of the electric power industry: Will it bring the world closer together?

  2. Electronic trading system and returns volatility in the oil futures market

    Energy Technology Data Exchange (ETDEWEB)

    Liao, Huei-Chu [Department of Economics, Tamkang University (China); Lee, Yi-Huey [Department of Industrial Economics, Tamkang University (China); Suen, Yu-Bo [Department of Finance and Banking, Aletheia University (China)

    2008-09-15

    This paper uses daily Brent crude prices to investigate the employment of electronic trading on the returns conditional volatility in the oil futures market. After a suitable GARCH model is established, the conditional volatility series are found. The Bai and Perron model is then used to find two significant structural breaks for these conditional volatility series around two implementation dates of electronic trading. This result indicates that the change in the trading system has significant impacts on the returns volatility since our estimated second break date is very close to the all-electronic trade implementation date. Moreover, the conditional volatility in the all-electronic trading period is found to be more dominated by the temporal persistence rather than the volatility clustering effect. All these evidence can shed some light for explaining the high relationship between more volatile world oil price and the more popular electronic trade. (author)

  3. Financial methods in competitive electricity markets

    Science.gov (United States)

    Deng, Shijie

    The restructuring of electric power industry has become a global trend. As reforms to the electricity supply industry spread rapidly across countries and states, many political and economical issues arise as a result of people debating over which approach to adopt in restructuring the vertically integrated electricity industry. This dissertation addresses issues of transmission pricing, electricity spot price modeling, as well as risk management and asset valuation in a competitive electricity industry. A major concern in the restructuring of the electricity industries is the design of a transmission pricing scheme that will ensure open-access to the transmission networks. I propose a priority-pricing scheme for zonal access to the electric power grid that is uniform across all buses in each zone. The Independent System Operator (ISO) charges bulk power traders a per unit ex ante transmission access fee based on the expected option value of the generated power with respect to the random zonal spot prices. The zonal access fee depends on the injection zone and a self-selected strike price determining the scheduling priority of the transaction. Inter zonal transactions are charged (or credited) with an additional ex post congestion fee that equals the zonal spot price difference. The unit access fee entitles a bulk power trader to either physical injection of one unit of energy or a compensation payment that equals to the difference between the realized zonal spot price and the selected strike price. The ISO manages congestion so as to minimize net compensation payments and thus, curtailment probabilities corresponding to a particular strike price may vary by bus. The rest of the dissertation deals with the issues of modeling electricity spot prices, pricing electricity financial instruments and the corresponding risk management applications. Modeling the spot prices of electricity is important for the market participants who need to understand the risk factors in

  4. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty

    OpenAIRE

    Antonakakis, N.; Chatziantoniou, I.; Filis, George

    2013-01-01

    We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions. Highlights: We examine dynamic correlations of stock market returns, implied volatility and policy uncertainty. Dynamic correlations reveal heterogeneous patterns during US recessions. Aggregate demand oil price shocks and US recessions affect dynamic correlations. A rise...

  5. Implied Volatility Futures Trading Activity and Impacts on Asian Stock Market: An Empirical study

    OpenAIRE

    Pham, Duc Nam Trung

    2014-01-01

    This study analyzes impacts of the adoption of a new type of derivatives instrument in the Asian stock market- the implied volatility futures. Furthermore, the analysis is carried on to the preferences of hedging tools in the two pioneering markets in such adoption, Hong Kong and Japan. Unlike other conventional derivatives, the relationship derivatives on volatility and its underlying assets is almost impossible to be modeled, thus creates several difficulties in pricing as well as researchi...

  6. Liquidity, Volatility and Stock Price Adjustment: Evidence from Seasoned Equity Offerings in an Emerging Market

    OpenAIRE

    Chia-Cheng Ho; Chin-Chuan Lee; Chien-Ting Lin; C. Edward Wang

    2005-01-01

    Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information content of SEOs are likely to induce larger trading activity and subsequent higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock pric...

  7. Adjustable consumption participating in the electricity markets

    DEFF Research Database (Denmark)

    Biegel, Benjamin; Hansen, Lars Henrik; Stoustrup, Jakob

    2013-01-01

    We consider a player managing a portfolio of flexible demand-side devices and examine the requirements for such a player to become an active player in the Nordic electricity system. In particular, we examine the regulatory requirements that must be satisfied to perform spot price optimization and...... be generated via market participation. The case study shows that the profit in the current system is very limited but that planned regulatory changes will make market participation significantly more attractive....... and to participate in the regulating power market. To conceptualize these requirements, we estimate the costs per consumer for honoring the given requirements, both under the current regulations but also under the planned future regulations. Finally, we consider a specific case study where domestic appliances...... are aggregated and utilized for spot price optimization and to participate in the regulating power market. In this case study we examine in detail the implications of the given regulatory requirements for market participation in the Nordic system and compare this with estimates of the revenue that can...

  8. Carbon pricing, nuclear power and electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Cameron, R.; Keppler, J. H. [OECD Nuclear Energy Agency, 12, boulevard des Iles, 92130 Issy-les-Moulineaux (France)

    2012-07-01

    In 2010, the NEA in conjunction with the International Energy Agency produced an analysis of the Projected Costs of Electricity for almost 200 power plants, covering nuclear, fossil fuel and renewable electricity generation. That analysis used lifetime costs to consider the merits of each technology. However, the lifetime cost analysis is less applicable in liberalised markets and does not look specifically at the viewpoint of the private investor. A follow-up NEA assessment of the competitiveness of nuclear energy against coal- and gas-fired generation under carbon pricing has considered just this question. The economic competition in electricity markets is today between nuclear energy and gas-fired power generation, with coal-fired power generation not being competitive as soon as even modest carbon pricing is introduced. Whether nuclear energy or natural gas comes out ahead in their competition depends on a number of assumptions, which, while all entirely reasonable, yield very different outcomes. The analysis in this study has been developed on the basis of daily data from European power markets over the last five-year period. Three different methodologies, a Profit Analysis looking at historic returns over the past five years, an Investment Analysis projecting the conditions of the past five years over the lifetime of plants and a Carbon Tax Analysis (differentiating the Investment Analysis for different carbon prices) look at the issue of competitiveness from different angles. They show that the competitiveness of nuclear energy depends on a number of variables which in different configurations determine whether electricity produced from nuclear power or from CCGTs generates higher profits for its investors. These are overnight costs, financing costs, gas prices, carbon prices, profit margins (or mark-ups), the amount of coal with carbon capture and electricity prices. This paper will present the outcomes of the analysis in the context of a liberalised

  9. Stochastic Electric Power Generation Unit Commitment in Deregulated Power Market Environment

    Directory of Open Access Journals (Sweden)

    F. Gharehdaghi

    2012-03-01

    Full Text Available Utilities participating in deregulated markets observe increasing uncertainty in load (i.e., demand for electric power and prices for fuel and electricity on spot and contract markets. This study proposes a new formulation of the unit commitment problem of electric power generators in a restructured electricity market. Under these conditions, an electric power generation company will have the option to buy or sell from a power pool in addition to producing electricity on its own. The unit commitment problem is expressed as a stochastic optimization problem in which the objective is to maximize expected profits and the decisions are required to meet the standard operating constraints. Under the assumption of competitive market and price taking, it is depicted that the unit commitment schedule for a collection of N generation units can be solved by considering each unit separately. The volatility of the spot market price of electricity is represented by a stochastic model. This paper uses probabilistic dynamic programming to solve the stochastic optimization problem pertaining to unit commitment. It is shown that for a market of 150 units the proposed unit commitment can be accurately solved in a reasonable time by using the normal, Edgeworth, or Monte Carlo approximation methods.

  10. Essays in the California electricity reserves markets

    Science.gov (United States)

    Metaxoglou, Konstantinos

    This dissertation examines inefficiencies in the California electricity reserves markets. In Chapter 1, I use the information released during the investigation of the state's electricity crisis of 2000 and 2001 by the Federal Energy Regulatory Commission to diagnose allocative inefficiencies. Building upon the work of Wolak (2000), I calculate a lower bound for the sellers' price-cost margins using the inverse elasticities of their residual demand curves. The downward bias in my estimates stems from the fact that I don't account for the hierarchical substitutability of the reserve types. The margins averaged at least 20 percent for the two highest quality types of reserves, regulation and spinning, generating millions of dollars in transfers to a handful of sellers. I provide evidence that the deviations from marginal cost pricing were due to the markets' high concentration and a principal-agent relationship that emerged from their design. In Chapter 2, I document systematic differences between the markets' day- and hour-ahead prices. I use a high-dimensional vector moving average model to estimate the premia and conduct correct inferences. To obtain exact maximum likelihood estimates of the model, I employ the EM algorithm that I develop in Chapter 3. I uncover significant day-ahead premia, which I attribute to market design characteristics too. On the demand side, the market design established a principal-agent relationship between the markets' buyers (principal) and their supervisory authority (agent). The agent had very limited incentives to shift reserve purchases to the lower priced hour-ahead markets. On the supply side, the market design raised substantial entry barriers by precluding purely speculative trading and by introducing a complicated code of conduct that induced uncertainty about which actions were subject to regulatory scrutiny. In Chapter 3, I introduce a state-space representation for vector autoregressive moving average models that enables

  11. Effects of interruptible load program on equilibrium outcomes of electricity markets with wind power

    Energy Technology Data Exchange (ETDEWEB)

    An, Xuena; Zhang, Shaohua; Li, Xue [Shanghai Univ. (China). Key Lab. of Power Station Automation Technology

    2013-07-01

    High wind power penetration presents a lot of challenges to the flexibility and reliability of power system operation. In this environment, various demand response (DR) programs have got much attention. As an effective measure of demand response programs, interruptible load (IL) programs have been widely used in electricity markets. This paper addresses the problem of impacts of the IL programs on the equilibrium outcomes of electricity wholesale markets with wind power. A Cournot equilibrium model of wholesale markets with wind power is presented, in which IL programs is included by a market demand model. The introduction of the IL programs leads to a non-smooth equilibrium problem. To solve this equilibrium problem, a novel solution method is proposed. Numerical examples show that IL programs can lower market price and its volatility significantly, facilitate the integration of wind power.

  12. Electricity Markets, Smart Grids and Smart Buildings

    Science.gov (United States)

    Falcey, Jonathan M.

    A smart grid is an electricity network that accommodates two-way power flows, and utilizes two-way communications and increased measurement, in order to provide more information to customers and aid in the development of a more efficient electricity market. The current electrical network is outdated and has many shortcomings relating to power flows, inefficient electricity markets, generation/supply balance, a lack of information for the consumer and insufficient consumer interaction with electricity markets. Many of these challenges can be addressed with a smart grid, but there remain significant barriers to the implementation of a smart grid. This paper proposes a novel method for the development of a smart grid utilizing a bottom up approach (starting with smart buildings/campuses) with the goal of providing the framework and infrastructure necessary for a smart grid instead of the more traditional approach (installing many smart meters and hoping a smart grid emerges). This novel approach involves combining deterministic and statistical methods in order to accurately estimate building electricity use down to the device level. It provides model users with a cheaper alternative to energy audits and extensive sensor networks (the current methods of quantifying electrical use at this level) which increases their ability to modify energy consumption and respond to price signals The results of this method are promising, but they are still preliminary. As a result, there is still room for improvement. On days when there were no missing or inaccurate data, this approach has R2 of about 0.84, sometimes as high as 0.94 when compared to measured results. However, there were many days where missing data brought overall accuracy down significantly. In addition, the development and implementation of the calibration process is still underway and some functional additions must be made in order to maximize accuracy. The calibration process must be completed before a reliable

  13. Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model

    OpenAIRE

    Chuangxia Huang; Xu Gong; Xiaohong Chen; Fenghua Wen

    2013-01-01

    Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ), converting the realized Volatility (RV) into the adjusted realized volatility (ARV), and making use of the influence of momentum effect on the volatility, a new model called HAR-CJ-M is developed in this paper. At the same time, we also address, in great detail, another two models (HAR-ARV, HAR-CJ). The applications of these models to Chinese stock market show that each of the continuous sample pat...

  14. Technical analysis and market study of electric bicycles

    OpenAIRE

    Matasyan, Artur

    2015-01-01

    This thesis project was done in collaboration with a Prismattery LLC, which is based in Tallinn, Estonia and is interested in entering the market of electric bicycles. For that reason in this report a detailed study concerning the market of electrical bicycles, its current situation and trends were performed and a promising target market was indicated. The market study showed that although in different countries the specifications and preferred types of electric bicycles may vary,...

  15. Engineering interrelated electricity markets. An agent-based computational approach

    Energy Technology Data Exchange (ETDEWEB)

    Weidlich, Anke [Mannheim Univ. (Germany). Dieter Schwarz Chair of Business Administration and Information Systems

    2008-07-01

    Due to the characteristics of electricity, power markets rank among the most complex markets operated at present. The requirements of an environmentally sustainable, economically efficient, and secure energy supply have resulted in the emergence of several interrelated markets that have to be carefully engineered in order to ensure efficient market outcomes. This book presents an agent-based simulation model that facilitates electricity market research. Simulation outcomes from this model are validated against price data from German power markets. The results significantly contribute to existing research in agent-based simulation and electricity market modeling, and provide insights into the impact of the market structure and market design on electricity prices. The book addresses researchers, lecturers and students who are interested in applying agent-based simulation to power markets. It provides a thorough discussion of the methodology and helpful details for model implementation. (orig.)

  16. A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting

    Directory of Open Access Journals (Sweden)

    Leandro Maciel

    2012-09-01

    Full Text Available Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes. The model comprises both the concept of fuzzy inference systems and GJR-GARCH modeling approach in order to consider the principles of time-varying volatility, leverage effects and volatility clustering, in which changes are cataloged by similarity. Moreover, a differential evolution (DE algorithm is suggested to solve the problem of Fuzzy GJR-GARCH parameters estimation. The results indicate that the proposed method offers significant improvements in volatility forecasting performance in comparison with GARCH-type models and with a current Fuzzy-GARCH model reported in the literature. Furthermore, the DE-based algorithm aims to achieve an optimal solution with a rapid convergence rate.

  17. Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model

    Directory of Open Access Journals (Sweden)

    Chuangxia Huang

    2013-01-01

    Full Text Available Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ, converting the realized Volatility (RV into the adjusted realized volatility (ARV, and making use of the influence of momentum effect on the volatility, a new model called HAR-CJ-M is developed in this paper. At the same time, we also address, in great detail, another two models (HAR-ARV, HAR-CJ. The applications of these models to Chinese stock market show that each of the continuous sample path variation, momentum effect, and ARV has a good forecasting performance on the future ARV, while the discontinuous jump variation has a poor forecasting performance. Moreover, the HAR-CJ-M model shows obviously better forecasting performance than the other two models in forecasting the future volatility in Chinese stock market.

  18. Turkey opens electricity markets as demand grows

    Energy Technology Data Exchange (ETDEWEB)

    McKeigue, J.; Da Cunha, A.; Severino, D. [Global Business Reports (United States)

    2009-06-15

    Turkey's growing power market has attracted investors and project developers for over a decade, yet their plans have been dashed by unexpected political or financial crises or, worse, obstructed by a lengthy bureaucratic approval process. Now, with a more transparent retail electricity market, government regulators and investors are bullish on Turkey. Is Turkey ready to turn the power on? This report closely examine Turkey's plans to create a power infrastructure capable of providing the reliable electricity supplies necessary for sustained economic growth. It was compiled with on-the-ground research and extensive interview with key industrial and political figures. Today, hard coal and lignite account for 21% of Turkey's electricity generation and gas-fired plants account for 50%. The Alfin Elbistan-B lignite-fired plant has attracted criticism for its lack of desulfurization units and ash dam facilities that have tarnished the industry's image. A 1,100 MW hard-coal fired plant using supercritical technology is under construction. 9 figs., 1 tab.

  19. Long Memory in STOCK Market Volatility: the International Evidence

    Science.gov (United States)

    Yang, Chunxia; Hu, Sen; Xia, Bingying; Wang, Rui

    2012-08-01

    It is still a hot topic to catch the auto-dependence behavior of volatility. Here, based on the measurement of average volatility, under different observation window size, we investigated the dependence of successive volatility of several main stock indices and their simulated GARCH(1, 1) model, there were obvious linear auto-dependence in the logarithm of volatility under a small observation window size and nonlinear auto-dependence under a big observation. After calculating the correlation and mutual information of the logarithm of volatility for Dow Jones Industrial Average during different periods, we find that some influential events can change the correlation structure and the volatilities of different periods have distinct influence on that of the remote future. Besides, GARCH model could produce similar behavior of dependence as real data and long memory property. But our analyses show that the auto-dependence of volatility in GARCH is different from that in real data, and the long memory is undervalued by GARCH.

  20. How to obtain high returns with lower volatility in emerging markets?

    Directory of Open Access Journals (Sweden)

    Nipun Agarwal

    2014-12-01

    Full Text Available Emerging markets equity indexes are usually seen as high return with a high degree of volatility associated with them. However, this should not be the case, if you choose high-quality firms that have increasing returns and lower volatility. The intent of this paper is to introduce the risk weighted alpha (RWA indexation method that helps identify stocks that have stable increasing returns with lower volatility. In order to review this method in the context of emerging markets scenario, this paper takes the example of the Sensex index listed on the Bombay Stock Exchange (BSE that comprises India’s top 30 stocks by market capitalisation. Results show that some stocks like Hindustan Lever do show increasing returns and lower volatility. The RWA Sensex index outperforms the BSE Sensex index, while still maintaining a beta that is the same as that in the BSE Sensex index.

  1. Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market

    Directory of Open Access Journals (Sweden)

    Alex Sandro Monteiro de Moraes

    2014-03-01

    Full Text Available The models of the GARCH family, normally used for the estimates of volatility for longer periods, keep unchanged the relative weights assigned to the observations both old and new, regardless of the volatility´s forecasted horizon. The purpose of this article is to verify if the increase in relative weights assigned to the earlier observations due to the increase of the forecast horizon results in better estimates of volatility. Through the use of seven forecasting models of volatility and return series of financial markets assets, the estimates obtained in the sample (in-sample were compared with observations outside the sample (out-of-sample. Based on this comparison, it was found that the best estimates of expected volatility were obtained by the modified EGARCH model and the ARLS model. We conclude that the use of traditional forecasting models of volatility, which keep unchanged relative weights assigned to both old and new observations, was inappropriate.

  2. U.S. Renewable Electricity Market

    Science.gov (United States)

    The US green energy market is broken up into two main groups: the mandatory markets including state Renewable Portfolio Standards (RPS) and voluntary markets, also referred to as green power markets.  This page delineates this two markets.

  3. Volatility spillovers in US crude oil, ethanol, and corn futures markets

    NARCIS (Netherlands)

    Trujillo Barrera, A.A.; Mallory, M.; Garcia, P.

    2012-01-01

    This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The shares of corn and ethanol price variabi

  4. Volatility spillovers in US crude oil, ethanol, and corn futures markets

    NARCIS (Netherlands)

    Trujillo Barrera, A.A.; Mallory, M.; Garcia, P.

    2012-01-01

    This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The shares of corn and ethanol price

  5. Volatility spillovers in US crude oil, ethanol, and corn futures markets

    NARCIS (Netherlands)

    Trujillo Barrera, A.A.; Mallory, M.; Garcia, P.

    2012-01-01

    This article analyzes recent volatility spillovers in the United States from crude oil using futures prices. Crude oil spillovers to both corn and ethanol markets are somewhat similar in timing and magnitude, but moderately stronger to the ethanol market. The shares of corn and ethanol price variabi

  6. Modeling and predicting historical volatility in exchange rate markets

    Science.gov (United States)

    Lahmiri, Salim

    2017-04-01

    Volatility modeling and forecasting of currency exchange rate is an important task in several business risk management tasks; including treasury risk management, derivatives pricing, and portfolio risk evaluation. The purpose of this study is to present a simple and effective approach for predicting historical volatility of currency exchange rate. The approach is based on a limited set of technical indicators as inputs to the artificial neural networks (ANN). To show the effectiveness of the proposed approach, it was applied to forecast US/Canada and US/Euro exchange rates volatilities. The forecasting results show that our simple approach outperformed the conventional GARCH and EGARCH with different distribution assumptions, and also the hybrid GARCH and EGARCH with ANN in terms of mean absolute error, mean of squared errors, and Theil's inequality coefficient. Because of the simplicity and effectiveness of the approach, it is promising for US currency volatility prediction tasks.

  7. Operation, Investment and Hedging in Electricity Markets

    DEFF Research Database (Denmark)

    Ernstsen, Rune Ramsdal

    This thesis consists of an introduction as well as four papers. The papers concern different problems associated to future electricity markets and the topics include risk management, investment strategies, valuation and model calibration. Each paper is presented in a separate chapter and hence...... inflexible generation more than flexible generation due to the exposure to potential low prices. In Chapter 4 we study the valuation of three representative generation types, an inflexible wind turbine, a flexible gas fired power plant and a hydroelectric plant that allows for storage. We account...... for the special characteristics of each technology and include uncertainty in both price and volume through diffusion or jump diffusion models. We find explicit expressions for the expected instantaneous value of wind generation as a function of electricity price and wind speed. We include startup and shutdown...

  8. Testing the Relationship between Interest Rates Volatility and Market Capitalization: the case of Mauritius

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-12-01

    Full Text Available This paper tests the relationship between interest rates volatility and market capitalization in Mauritius. Using annual time series data sourced from the Financial Services Commission Annual Statistical Bulletin of Mauritius during the period 2006 through 2010, data of interest rates volatility and market capitalization were estimated in a non-linear model using the Vector Auto-regression technique. The study found that interest rates volatility has significant effect on the level of market capitalization although a negative effect. This implies a negative relationship between interest rates volatility and market capitalization. Thus, if market capitalization is affected by interest rates, then the economy becomes highly susceptible to volatile external distress. This indicates some dangers for the economic survival of Mauritius. It was on this note that we recommended an effective policy aimed at stabilizing macroeconomic variable like interest rates, focusing at the same time on alternative measures of promoting market capitalization if aggregate economic growth must be harnessed. Policymakers should design the optimal policy mix that would help the nation cope efficiently with the economic and social costs of the external distress accompanying higher and dwindling interest rates in Mauritius.

  9. International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

    OpenAIRE

    Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio; Spagnolo, Nicola

    2015-01-01

    This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over the period 1993:01-2012:11, and estimating a time-varying transition probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility state. ...

  10. Multifractals in Western Major STOCK Markets Historical Volatilities in Times of Financial Crisis

    Science.gov (United States)

    Lahmiri, Salim

    In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.

  11. Market data analysis and short-term price forecasting in the Iran electricity market with pay-as-bid payment mechanism

    Energy Technology Data Exchange (ETDEWEB)

    Bigdeli, N.; Afshar, K. [EE Department, IKIU, Qazvin (Iran); Amjady, N. [EE Department, Semnan University, Semnan (Iran)

    2009-06-15

    Market data analysis and short-term price forecasting in Iran electricity market as a market with pay-as-bid payment mechanism has been considered in this paper. The data analysis procedure includes both correlation and predictability analysis of the most important load and price indices. The employed data are the experimental time series from Iran electricity market in its real size and is long enough to make it possible to take properties such as non-stationarity of market into account. For predictability analysis, the bifurcation diagrams and recurrence plots of the data have been investigated. The results of these analyses indicate existence of deterministic chaos in addition to non-stationarity property of the system which implies short-term predictability. In the next step, two artificial neural networks have been developed for forecasting the two price indices in Iran's electricity market. The models' input sets are selected regarding four aspects: the correlation properties of the available data, the critiques of Iran's electricity market, a proper convergence rate in case of sudden variations in the market price behavior, and the omission of cumulative forecasting errors. The simulation results based on experimental data from Iran electricity market are representative of good performance of the developed neural networks in coping with and forecasting of the market behavior, even in the case of severe volatility in the market price indices. (author)

  12. VOLATILITY SPILLOVER EFFECTS IN THE EXTRA VIRGIN OLIVE OIL MARKETS OF THE MEDITERRANEAN

    Directory of Open Access Journals (Sweden)

    Dimitrios Panagiotou

    2015-07-01

    Full Text Available The objective of this study is to assess the existence and magnitude of volatility spillovers between the extra virgin olive oil markets of Italy, Spain and Greece. These three Mediterranean countries are responsible for 95% of olive oil production within the European Union and they account for more than 50% of olive oil exports worldwide. In order to measure the degree of volatility transmission between these countries we estimate a vector error correction model along with the BEKK parameterization of a Multivariate Generalized Conditional Autoregressive Heteroskedasticity (M-GARCH model. The empirical results reveal the presence of ARCH and GARCH effects suggesting this way the existence of volatility spillovers between the extra virgin olive oil markets of Italy, Greece and Spain. ARCH effects are the biggest in magnitude for the market between Spain and Italy. GARCH effects are the biggest in magnitude for the market between Greece and Italy.

  13. Correlation and volatility in an Indian stock market: A random matrix approach

    Science.gov (United States)

    Kulkarni, Varsha; Deo, Nivedita

    2007-11-01

    We examine the volatility of an Indian stock market in terms of correlation of stocks and quantify the volatility using the random matrix approach. First we discuss trends observed in the pattern of stock prices in the Bombay Stock Exchange for the three-year period 2000 2002. Random matrix analysis is then applied to study the relationship between the coupling of stocks and volatility. The study uses daily returns of 70 stocks for successive time windows of length 85 days for the year 2001. We compare the properties of matrix C of correlations between price fluctuations in time regimes characterized by different volatilities. Our analyses reveal that (i) the largest (deviating) eigenvalue of C correlates highly with the volatility of the index, (ii) there is a shift in the distribution of the components of the eigenvector corresponding to the largest eigenvalue across regimes of different volatilities, (iii) the inverse participation ratio for this eigenvector anti-correlates significantly with the market fluctuations and finally, (iv) this eigenvector of C can be used to set up a Correlation Index, CI whose temporal evolution is significantly correlated with the volatility of the overall market index.

  14. Experimental Economics for Teaching the Functioning of Electricity Markets

    Science.gov (United States)

    Guevara-Cedeno, J. Y.; Palma-Behnke, R.; Uribe, R.

    2012-01-01

    In the field of electricity markets, the development of training tools for engineers has been extremely useful. A novel experimental economics approach based on a computational Web platform of an electricity market is proposed here for the practical teaching of electrical engineering students. The approach is designed to diminish the gap that…

  15. Experimental Economics for Teaching the Functioning of Electricity Markets

    Science.gov (United States)

    Guevara-Cedeno, J. Y.; Palma-Behnke, R.; Uribe, R.

    2012-01-01

    In the field of electricity markets, the development of training tools for engineers has been extremely useful. A novel experimental economics approach based on a computational Web platform of an electricity market is proposed here for the practical teaching of electrical engineering students. The approach is designed to diminish the gap that…

  16. Incomplete Continuous-time Securities Markets with Stochastic Income Volatility

    DEFF Research Database (Denmark)

    Christensen, Peter Ove; Larsen, Kasper

    2014-01-01

    We derive closed-form solutions for the equilibrium interest rate and market price of risk processes in an incomplete continuous-time market with uncertainty generated by Brownian motions. The economy has a finite number of heterogeneous exponential utility investors, who receive partially...... equilibrium displays both lower interest rates and higher risk premia compared to the equilibrium in an otherwise identical complete market....

  17. Returns and volatility spillover between Asian equity markets: A wavelet approach

    Directory of Open Access Journals (Sweden)

    Kumar Anoop S.

    2017-01-01

    Full Text Available We analyse return and volatility spillover across select Asian equity markets using wavelet multiple correlation and cross-correlation. For the purpose of analysis, daily return data is taken from equity markets, viz. Bombay Stock Exchange SENSEX, Tokyo Stock Exchange NIKKEI 225, Hong Kong Shanghai Index (HSI, Amman Equity Index, Korea Composite Stock Price Index (KOSPI, and Singapore Strait Time Index (STI, from 03/01/2000 to 31/12/2013. The results show that the Asian markets are co-integrated in the long run. Further, it is found that a significant part of each market’s volatility pattern at intraweek scale can be largely explained by own shocks, but in the long run the volatility dynamics of the market changes as the extent of the spillover increases. From the wavelet multiple cross-correlation values, two developed markets, the STI and the HSI, are identified as potential leaders or followers among the group. From the analysis it is found that the volatility spillover across the studied markets is relatively low at the high frequency, implying that there is possibility of diversification at a daily to intraweek scale. The discrepancies between the markets vanish in the long run; hence a long-term diversification strategy is best avoided.

  18. Modeling and Forecasting Volatility of the Malaysian Stock Markets

    Directory of Open Access Journals (Sweden)

    Ahmed Shamiri

    2009-01-01

    Full Text Available Problem statement: One of the main purposes of modeling variance is forecasting, which is crucial in many areas of finance. Despite the burgeoning interest in and evaluation of volatility forecasts, a clear consensus on witch volatility model/or distribution specification to use has not yet been reached. Therefore, the out of-sample forecasting ability should be a natural model selection criterion for volatility models. Approach: In this study, we used high-frequency to facilitate meaningful comparison of volatility forecast models. We compared the performance of symmetric GARCH, asymmetric EGARCH and non leaner asymmetric NAGARCH models with six error distributions (normal, skew normal, student-t, skew student-t, generalized error distribution and normal inverse Gaussian. Results: The results suggested that allowing for a heavy-tailed error distribution leads to significant improvements in variance forecasts compared to using normal distribution. It was also found that allowing for skewness in the higher moments of the distribution did not further improve forecasts. Conclusion: Successful volatility model forecast depended much more heavily on the choice of error distribution than the choice of GARCH models.

  19. Risk and investment management in liberalized electricity markets

    DEFF Research Database (Denmark)

    Lemming, Jacob Kjærgaard

    2005-01-01

    Electricity markets around the world are currently undergoing a liberalization process that changes the way electricity is traded and priced as a commodity. The electricity system has unique technical characteristics and the importance of electricity as a good in today's informational society...... modelling and the development of risk measures suitable for electricity market portfolios. Risk management tools used for nancial assets have until recently largely been transferred more or less directly to electricity market portfolios which include physical assets such as power plants and retail contracts....... The hypothesis of this thesis is that the relevance of nancial tools for electricity market risk management, depends critically on the technical characteristics of electricity assets and on the demands placed by the stakeholders in the electricity sector. In many cases such technical characteristics...

  20. Modeling dependence structure between stock market volatility and sukuk yields: A nonlinear study in the case of Saudi Arabia

    Directory of Open Access Journals (Sweden)

    Nader Naifar

    2016-09-01

    Full Text Available The aim of this paper is to investigate the dependence structure between sukuk (Islamic bonds yields and stock market (returns and volatility in the case of Saudi Arabia. We consider three Archimedean copula models with different tail dependence structures namely Gumbel, Clayton, and Frank. This study shows that the sukuk yields exhibit significant dependence only with stock market volatility. In addition, the dependence structure between sukuk yields and stock market volatility are symmetric and linked with the same intensity.

  1. Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets

    Directory of Open Access Journals (Sweden)

    P. Srinivasan

    2012-12-01

    Full Text Available This study attempts to examine the price discovery process and volatility spillovers in Goldfutures and spot markets of National Commodity Derivatives Exchange (NCDEX by employingJohansen’s Vector Error Correction Model (VECM and the Bivariate ECM-EGARCH(1,1model. The empirical result confirms that the spot market of Gold plays a dominant role andserves as effective price discovery vehicle. Besides the study results show that the spillovers ofcertain information take place from spot market to futures market and the spot market of goldhave the capability to expose the all new information through the channel of its new innovation.

  2. Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria

    Directory of Open Access Journals (Sweden)

    Agya Atabani Adi

    2017-03-01

    Full Text Available The paper examined effect of passed return on current return, shocks spillover and volatility transmission between FX-Stock markets. Using result obtained from VAR-GARCH models, we also calculate the optimal weight and risk minimizing hedging ratio for FX-Stock markets and employed the newly developed bivariate GARCH framework Findings reveal evidence of short term predictability in both markets through time. One period lagged returns significantly impact current return in both markets, and impact was greater in FX market both VAR-GARCH and VAR-AGARCH models. There were evidence of bi-directional volatility transmission in both markets and uni-directional shocks spillover from stock to FX market in both models. VAR-AGARCH model showed evidence of leverage effect; bad news has more impact on volatility than positive news of the same magnitude. We showed that optimal polio of FX-Stock market should holds more foreign exchange to stocks in their asset polio. Our result showed evidence of effective hedging in FX-Stock markets in Nigerian. Hence, the inclusion of stocks in diversified polio of foreign exchange could improve it risks adjusted performance of hedging ratio.

  3. Market power in electric power markets: Indications of competitiveness in spatial prices for wholesale electricity

    Science.gov (United States)

    Denton, Michael John

    The issue of market delineation and power in the wholesale electric energy market is explored using three separate approaches: two of these are analyses of spatial pricing data to explore the functional size of the markets, and the third is a series of experimental tests of the effects of different cost structures and market mechanisms on oligopoly strength in those markets. An equilibrium model of spatial network competition is shown to yield linear relationships between spatial prices. A data set comprising two years of spatial weekly peak and off-peak prices and weather for 6 locations in the Western States Coordinating Council and the Southwest Power Pool is subjected to a pairwise cointegration analysis. The use of dummy variables to account the the flow directions is found to significantly improve model performance. The second analytical technique utilizes the extraction of principal components from a spatial price correlation matrix to identify the extent of natural markets. One year of daily price observations for eleven locations within the WSCC is compiled and eigenvectors are extracted and subjected to oblique rotation, each of which is then interpreted as representing a separate geographic market. The results show that two distinct natural markets, correlated at 84%, account for over 96% of the variation in the spatial prices in the WSSC. Together, the findings support the assertion that the wholesale electricity market in the Western U.S. is large and highly competitive. The experimental analysis utilizes a radial three node network in which suppliers located at the outer nodes sell to buyers located at the central node. The parameterization captures the salient characteristics of the existing bulk power markets, and includes cyclical demand, transmission losses, as well as fixed and avoidable fixed costs for all agents. Treatments varied the number of sellers, the avoidable fixed cost structures, and the trading mechanism. Results indicated that

  4. Price volatility, hedging and variable risk premium in the crude oil market

    Energy Technology Data Exchange (ETDEWEB)

    Ahmad Jalali-Naini [Institute for Education and Research in Management and Planning, Tehran (Iran); Maryam Kazemi Manesh [University of Mannheim (Germany)

    2006-06-15

    The crude oil price exhibits a high degree of volatility which varies significantly over time. Such characteristics imply that the oil market is a promising area for testing volatility models. Testing and predicting volatility using ARCH and GARCH models have grown in the literature. A useful application of the volatility models is in the formulation of hedging strategies. In this paper we compare the optimal hedge ratio for the crude oil using the classical minimum risk approach and use ARCH to incorporate the effect of heteroskedasticity in the residuals on the hedge ratio. In addition, we test for the existence of a variable risk premium in the crude oil market. We find that, assuming rational expectations, there is a non-zero risk premium. We test for the variability of the risk premia and find evidence in its support when we employed a multivariate GARCH model. (author)

  5. Forecasting crude oil market volatility. Further evidence using GARCH-class models

    Energy Technology Data Exchange (ETDEWEB)

    Wei, Yu; Huang, Dengshi [School of Economics and Management, Southwest Jiaotong University (China); Wang, Yudong [Antai College of Economics and Management, Shanghai Jiaotong University (China)

    2010-11-15

    This paper extends the work of Kang et al. (2009). We use a greater number of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models to capture the volatility features of two crude oil markets - Brent and West Texas Intermediate (WTI). The one-, five- and twenty-day out-of-sample volatility forecasts of the GARCH-class models are evaluated using the superior predictive ability test and with more loss functions. Unlike Kang et al. (2009), we find that no model can outperform all of the other models for either the Brent or the WTI market across different loss functions. However, in general, the nonlinear GARCH-class models, which are capable of capturing long-memory and/or asymmetric volatility, exhibit greater forecasting accuracy than the linear ones, especially in volatility forecasting over longer time horizons, such as five or twenty days. (author)

  6. Production inefficiency of electricity markets with hydro generation

    Energy Technology Data Exchange (ETDEWEB)

    Philpott, Andy; Guan, Ziming; Khazaei, Javad; Zakeri, Golbon [Electric Power Optimization Centre (EPOC), Department of Engineering Science, University of Auckland, 70 Symonds Street, Auckland (New Zealand)

    2010-12-15

    Electricity market designs that decentralize decision making for participants can lead to inefficiencies in the presence of nonconvexity or missing markets. This has been shown in the case of unit-commitment problems that can make a decentralized market equilibrium less efficient than a centrally planned solution. Less attention has been focused on systems with large amounts of hydro-electric generation. We describe the results of an empirical study of the New Zealand wholesale electricity market that attempts to quantify production efficiency losses by comparing market outcomes with a counterfactual central plan. (author)

  7. The influence of volatility spill-overs and market beta on portfolio construction

    OpenAIRE

    André Heymans; Wayne Peter Brewer

    2015-01-01

    This study adds to Modern Portfolio Theory (MPT) by providing an additional measure to market beta in constructing a more efficient investment portfolio. The additional measure analyses the volatility spill-over effects among stocks within the same portfolio. Using intraday stock returns from five top-40 listed stocks on the JSE between July 2008 and April 2010, volatility spill-over effects were estimated with a residual- based test (aggregate shock [AS] model) framework. It is shown that wh...

  8. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility

    OpenAIRE

    Escribano, Alvaro; Sucarrat, Genaro

    2016-01-01

    Electricity prices are characterised by strong autoregressive persistence, periodicity (e.g. intraday, day-of-the week and month-of-the-year effects), large spikes or jumps, GARCH and -- as evidenced by recent findings -- periodic volatility. We propose a multivariate model of volatility that decomposes volatility multiplicatively into a non-stationary (e.g. periodic) part and a stationary part with log-GARCH dynamics. Since the model belongs to the log-GARCH class, the model is robust to ...

  9. A STUDY OF THE EFFECT OF INFORMATION FLOWSON PRICE VOLATILITY IN CHINA'S STOCK MARKET

    Institute of Scientific and Technical Information of China (English)

    YuePan; ShinongWu

    2004-01-01

    By using GARCH and EGARCH models, the authors examine the relationship between price volatility and new information flow, represented by trading volume, and past information flow, represented by the ARCH effect, in the Shanghai Stock Market for the three different periods from July 1998 to December 2002: the soft period, the bull period, and the bear period. The empirical results show that: (1) there exists a 'leverage effect' in the stock market; that is, negative news had a greater impact on stock price volatility than did positive news in the soft period and bear period, but in the bull period the 'leverage effect' behaves differently; (2) there is a significantly positive relationship between trading volume and stock price volatility, and such a relationship is even more significant in the bear period; (3) it turns out that in the three periods, the relationships between stock price volatility and information flow, both past and new, are not the same; that is, in both the soft and bull periods, both the ARCH effect, reflecting 'past information flow', and trading volume,reflecting 'new information flow', explain price volatility simultaneously, but in the bear period, the ARCH effect is substantially reduced. These findings provide key evidence for understanding, explaining, and tracking the characteristics of price volatility and the changing rules of the stock market in China more comprehensively.

  10. Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey

    Directory of Open Access Journals (Sweden)

    Hakki Arda Tokat

    2013-03-01

    Full Text Available This study examines the volatility transmission mechanism among the developed and emerging CDS markets by employing multivariate GAR-CH modeling. As the globalization resulted with more integration of financial markets, it is important for market participants to know how the shocks and volatility are transmitted over time across the markets. It is also important to know if the volatility transmission changes during the times of financial crises. Significant transmission of shocks and volatility is found among different CDS markets. Contrary to previous studies showing one-way transmission of volatility from developed to emerging markets, interdependence detected among different markets indicates the presence of cross-market hedging.Este estudo examina o mecanismo de transmissão de volatilidade do mercado de CDS entre países emergentes e desenvolvidos, usando GARCH multivariado. Como a globalização resultou em uma maior integração entre os mercados financeiros, é importante para os participantes do mercado saber como os choques e a volatilidade são transmitidos entre mercados ao longo do tempo. Também é importante saber se a transmissão de volatilidade muda durante épocas de crises financeiras. Os resultados mostram significante transmissão de choques e de volatilidade entre diferentes mercados de CDS. Contrariamente a estudos anteriores mostrando transmissão de volatilidade em uma única direção dos países desenvolvidos para os emergentes, a interdependência entre diferentes mercados indica a presença de hedge cruzado entre mercados.

  11. Strategies for Charging Electric Vehicles in the Electricity Market

    DEFF Research Database (Denmark)

    Juul, Nina; Pantuso, Giovanni; Iversen, Jan Emil Banning;

    2015-01-01

    This paper analyses different charging strategies for a fleet of electric vehicles. Along with increasing the realism of the strategies, the opportunity for acting on the regulating market is also included. We test the value of a vehicle owner that can choose when and how to charge; by presenting...... a model of four alternative charging strategies. We think of them as increasing in sophistication from dumb via delayed to deterministic and stochastic model-based charging. We show that 29% of the total savings from ‘dumb’ are due to delayed charging and that substantial additional gains come charging...... optimally in response to predicted spot prices, and – in some settings – additional gains from using the up and down regulating prices. Particularly, strategies are chosen from uncontrolled charging through deterministic optimization, to modelling the charging and bidding problem with stochastic programming...

  12. Effects of Daylight Saving Time changes on stock market volatility: a reply.

    Science.gov (United States)

    Berument, Hakan; Dogan, Nukhet

    2011-12-01

    There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empirical evidence suggests that the positive relationship between return and volatility becomes negative on the Mondays following DST changes.

  13. Brokers and business cycles: Does financial market volatility cause real fluctuations?

    OpenAIRE

    Döpke, Jörg; Pierdzioch, Christian

    1998-01-01

    This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of interest and test for the impact of the conditional variance on the future stance of the business cycle and on the volatility of industrial production. The results of our empirical investigation lead ...

  14. Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US

    Directory of Open Access Journals (Sweden)

    Kanas Angelos

    2010-01-01

    Full Text Available This paper examines the short-run dynamic relationships between stock market and real activity, within a country, for the UK and the US. The Cross Correlation Function testing procedure is applied to test for causality in mean and in variance between the stock market and the real economic sector. Besides variance causation, volatility spillover effects are examined through the multivariate specification form of the Exponential GARCH model. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in the UK rather than in the US and asymmetric behavior only in the case of the UK.

  15. Market definition, market domination and market transparency in the electricity wholesale market; Marktabgrenzung, Marktbeherrschung und Markttransparenz auf dem Stromgrosshandelsmarkt

    Energy Technology Data Exchange (ETDEWEB)

    Saecker, Franz Juergen [Freie Univ. Berlin (Germany). Inst. fuer deutsches und europaeisches Wirtschafts-, Wettbewerbs- und Regulierungsrecht

    2011-04-15

    Whereas end customer markets are clearly marked by competition, in regard to wholesale markets the German Federal Cartel Office has of late held the view that E.ON and RWE have a market dominating position between them and that the four large power supply companies (RWE, E.ON, Vattenfall, EnWG) each command a market dominating position. However the market structures on which these findings were based at the time have changed markedly and in many respects, in particular through the decision of the European Commission to oblige E.ON to sell network and production capacities on the strength of Art. 9 of Council Regulation (EC) No. 1/2003. However, there is still more to be said in favour of a review of the market data which, at the time, led the cartel authorities to their assumption of a case of market domination: the development of electricity trade at the EEX exchange, with growing involvement of both domestic and foreign participants; rapid growth in the production of electricity from wind and solar energy by new competitors; and the changing market environment, as is reflected amongst other events by the Thuega merger, as a result of which E.ON sold a large part of its participations in public utilities, or by the formation of efficient electricity purchasing groups.

  16. Strategies for Charging Electric Vehicles in the Electricity Market

    Directory of Open Access Journals (Sweden)

    Nina Juul

    2015-06-01

    Full Text Available This paper analyses different charging strategies for a fleet of electric vehicles. Along with increasing the realism of the strategies, the opportunity for acting on the regulating market is also included. We test the value of a vehicle owner that can choose when and how to charge; by presenting a model of four alternative charging strategies. We think of them as increasing in sophistication from dumb via delayed to deterministic and stochastic model-based charging. We show that 29% of the total savings from ‘dumb’ are due to delayed charging and that substantial additional gains come charging optimally in response to predicted spot prices, and – in some settings – additional gains from using the up and down regulating prices. Particularly, strategies are chosen from uncontrolled charging through deterministic optimization, to modelling the charging and bidding problem with stochastic programming. We show that all vehicle owners will benefit from acting more intelligently on the energy market. Furthermore, the high value of the stochastic solution shows that, in case the regulating price differs from the expected, the solution to the deterministic problem becomes infeasible.

  17. Three essays on agricultural price volatility and the linkages between agricultural and energy markets

    Science.gov (United States)

    Wu, Feng

    This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed

  18. Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets

    Energy Technology Data Exchange (ETDEWEB)

    Chang, Chia-Lin [Department of Applied Economics National Chung Hsing University Taichung, 250 Kuo Kuang Road, National Chung Hsing University Taichung 402 (China); McAleer, Michael [Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam (Netherlands); Tinbergen Institute (Netherlands); Tansuchat, Roengchai [Faculty of Economics, Maejo University (Thailand)

    2010-11-15

    Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover and asymmetric effects across and within the four markets, using three multivariate GARCH models, namely the constant conditional correlation (CCC), vector ARMA-GARCH (VARMA-GARCH) and vector ARMA-asymmetric GARCH (VARMA-AGARCH) models. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends. Moreover, the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets. (author)

  19. Interplay between past market correlation structure changes and future volatility outbursts

    Science.gov (United States)

    Musmeci, Nicoló; Aste, Tomaso; Di Matteo, T.

    2016-11-01

    We report significant relations between past changes in the market correlation structure and future changes in the market volatility. This relation is made evident by using a measure of “correlation structure persistence” on correlation-based information filtering networks that quantifies the rate of change of the market dependence structure. We also measured changes in the correlation structure by means of a “metacorrelation” that measures a lagged correlation between correlation matrices computed over different time windows. Both methods show a deep interplay between past changes in correlation structure and future changes in volatility and we demonstrate they can anticipate market risk variations and this can be used to better forecast portfolio risk. Notably, these methods overcome the curse of dimensionality that limits the applicability of traditional econometric tools to portfolios made of a large number of assets. We report on forecasting performances and statistical significance of both methods for two different equity datasets. We also identify an optimal region of parameters in terms of True Positive and False Positive trade-off, through a ROC curve analysis. We find that this forecasting method is robust and it outperforms logistic regression predictors based on past volatility only. Moreover the temporal analysis indicates that methods based on correlation structural persistence are able to adapt to abrupt changes in the market, such as financial crises, more rapidly than methods based on past volatility.

  20. Interplay between past market correlation structure changes and future volatility outbursts

    Science.gov (United States)

    Musmeci, Nicoló; Aste, Tomaso; Di Matteo, T.

    2016-01-01

    We report significant relations between past changes in the market correlation structure and future changes in the market volatility. This relation is made evident by using a measure of “correlation structure persistence” on correlation-based information filtering networks that quantifies the rate of change of the market dependence structure. We also measured changes in the correlation structure by means of a “metacorrelation” that measures a lagged correlation between correlation matrices computed over different time windows. Both methods show a deep interplay between past changes in correlation structure and future changes in volatility and we demonstrate they can anticipate market risk variations and this can be used to better forecast portfolio risk. Notably, these methods overcome the curse of dimensionality that limits the applicability of traditional econometric tools to portfolios made of a large number of assets. We report on forecasting performances and statistical significance of both methods for two different equity datasets. We also identify an optimal region of parameters in terms of True Positive and False Positive trade-off, through a ROC curve analysis. We find that this forecasting method is robust and it outperforms logistic regression predictors based on past volatility only. Moreover the temporal analysis indicates that methods based on correlation structural persistence are able to adapt to abrupt changes in the market, such as financial crises, more rapidly than methods based on past volatility. PMID:27857144

  1. Interplay between past market correlation structure changes and future volatility outbursts.

    Science.gov (United States)

    Musmeci, Nicoló; Aste, Tomaso; Di Matteo, T

    2016-11-18

    We report significant relations between past changes in the market correlation structure and future changes in the market volatility. This relation is made evident by using a measure of "correlation structure persistence" on correlation-based information filtering networks that quantifies the rate of change of the market dependence structure. We also measured changes in the correlation structure by means of a "metacorrelation" that measures a lagged correlation between correlation matrices computed over different time windows. Both methods show a deep interplay between past changes in correlation structure and future changes in volatility and we demonstrate they can anticipate market risk variations and this can be used to better forecast portfolio risk. Notably, these methods overcome the curse of dimensionality that limits the applicability of traditional econometric tools to portfolios made of a large number of assets. We report on forecasting performances and statistical significance of both methods for two different equity datasets. We also identify an optimal region of parameters in terms of True Positive and False Positive trade-off, through a ROC curve analysis. We find that this forecasting method is robust and it outperforms logistic regression predictors based on past volatility only. Moreover the temporal analysis indicates that methods based on correlation structural persistence are able to adapt to abrupt changes in the market, such as financial crises, more rapidly than methods based on past volatility.

  2. EIA model documentation: Electricity market module - electricity fuel dispatch

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1997-01-01

    This report documents the National Energy Modeling System Electricity Fuel Dispatch Submodule (EFD), a submodule of the Electricity Market Module (EMM) as it was used for EIA`s Annual Energy Outlook 1997. It replaces previous documentation dated March 1994 and subsequent yearly update revisions. The report catalogues and describes the model assumptions, computational methodology, parameter estimation techniques, model source code, and forecast results generated through the synthesis and scenario development based on these components. This document serves four purposes. First, it is a reference document providing a detailed description of the model for reviewers and potential users of the EFD including energy experts at the Energy Information Administration (EIA), other Federal agencies, state energy agencies, private firms such as utilities and consulting firms, and non-profit groups such as consumer and environmental groups. Second, this report meets the legal requirement of the Energy Information Administration (EIA) to provide adequate documentation in support of its statistical and forecast reports. Third, it facilitates continuity in model development by providing documentation which details model enhancements that were undertaken for AE097 and since the previous documentation. Last, because the major use of the EFD is to develop forecasts, this documentation explains the calculations, major inputs and assumptions which were used to generate the AE097.

  3. Financial crises and volatility spillovers among emerging European equity markets

    OpenAIRE

    Ugur Ergun; Zehra Mahmutović

    2014-01-01

    Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical resul...

  4. Financial crises and volatility spillovers among emerging European equity markets.

    OpenAIRE

    Ugur Ergun, Zehra Mahmutović.

    2014-01-01

    Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing Generalized Autoregressive Conditional Heteroscedasticity model is employed on daily data spans from 2006 to 2012 for three transition economies which are Bosnia-Herzegovina, Croatia and Serbia. Empirical resul...

  5. 77 FR 51795 - Coordination Between Natural Gas and Electricity Markets

    Science.gov (United States)

    2012-08-27

    ...-electric coordination, in light of the different market structures and mix of resources that co-exist. The... transmission provider and its marketing function) need to be clarified or potentially revised to improve gas... coordinate studies of the natural gas and electric systems to analyze forecasted resource mix and/or...

  6. Hourly Electricity Prices in Day-Ahead Markets

    NARCIS (Netherlands)

    R. Huisman (Ronald); C. Huurman; R.J. Mahieu (Ronald)

    2007-01-01

    textabstractThis paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The d

  7. Analysis of relationships between hourly electricity price and load in deregulated real-time power markets

    Energy Technology Data Exchange (ETDEWEB)

    Lo, K.L.; Wu, Y.K. [University of Strathclyde, Glasgow (United Kingdom). Power Systems Research Group

    2004-07-01

    Risk management in the electric power industry involves measuring the risk for all instruments owned by a company. The value of many of these instruments depends directly on electricity prices. In theory, the wholesale price in a real-time market should reflect the short-run marginal cost. However, most markets are not perfectly competitive, therefore by understanding the degree of correlation between price and physical drivers, electric traders and consumers can manage their risk more effectively and efficiently. Market data from two power-pool architectures, both pre-2003 ISO-NE and Australia's NEM, have been studied. The dynamic character of electricity price is mean-reverting, and consists of intra-day and weekly variations, seasonal fluctuations, and instant jumps. Parts of them are affected by load demands. Hourly signals on both price and load are divided into deterministic and random components with a discrete Fourier transform algorithm. Next, the real-time price-load relationship for periodic and random signals is examined. In addition, time-varying volatility models are constructed on random price and random load with the GARCH model, and the correlation between them analysed. Volatility plays a critical role on evaluating option pricing and risk management. (author)

  8. Electricity hubs and market centers: A new business tool for electric utilities?

    Energy Technology Data Exchange (ETDEWEB)

    Vallen, M.A.; Sharp, L.S. [Univ. of Toledo, OH (United States)

    1995-07-01

    There are many complexities clouding the use of hubs and market centers in the electricity market, but lessons learned in the natural gas industry can save a lot of unnecessary reinvention. The bottom line: Electricity hubs and market centers will allow the markets to work most efficiently. This article will describe how regional trading hubs may function in the competitive electricity market, using the experiences of the natural gas market to illustrate the principles involved. Part I will define the typical characteristics of hubs and market centers and describe the dey success factors needed to develop a new market center. Part II will describe the types of products and services that an electricity hub or marketing center will need to offer to succeed.

  9. The Swedish-Norwegian Electricity Certificate Market - Annual Report 2012

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2013-07-01

    The first joint annual report from the Swedish Energy Agency and the Norwegian Water Resources and Energy Directorate (NVE) about the Swedish-Norwegian electricity certificate market has now been completed. With this report, we wish to present a picture of the most important events and key figures for the electricity certificate market during 2012. For further information about the electricity certificate system and the electricity certificate market, please see the web sites of either public authority. Since 1 January 2012, Sweden and Norway have had a common market for electricity certificates. It is based on the Swedish electricity certificate market, which has been in existence since 2003. The goal of the electricity certificate market is to increase the renewable electricity production in both countries combined by 26.4 TWh by the end of 2020. Sweden and Norway are responsible for financing half of the increase each, but it is up to the market to decide where and when the new production is to take place. In addition to information about fulfilment of the common goal, this report also includes a summary of approved production in the Swedish electricity certificate system up to the end of 2011 and approved plants in the Norwegian transitional settlement. The Agency and NVE are happy to receive feedback about the annual report. Please contact us if you wish to put forward your views on how to make next year's report even better.

  10. New European Electricity Market Regulations and their Impact on the Domestic Market

    Directory of Open Access Journals (Sweden)

    Henryk Majchrzak

    2015-09-01

    Full Text Available The process of building the European electricity market was initiated in the 1980s. Recently, however, significant acceleration of this process can be observed, resulting in many legal regulations determining the current and future market design. The paper discusses legal regulations shaping the energy market in Europe, both the existing ones and those still being drafted, as well as their impact on the domestic electricity market.

  11. Essays on Volatility and Time Varying Conditional Jumps in Thinly Traded African Financial Markets

    OpenAIRE

    Kuttu, Saint

    2012-01-01

    The 2008 financial crisis brought to the fore the relative resilience of emerging and frontier equity markets. This has made international investors to turn their attention to emerging and frontier equity markets to minimise their down side risk exposure. Against this backdrop, it is important for international investors to understand and appreciate the unique features such as pervasive thin trading and severe illiquidity which impact on the evolution of returns and volatility in these equity...

  12. Relation between volatility correlations in financial markets and Omori processes occurring on all scales.

    Science.gov (United States)

    Weber, Philipp; Wang, Fengzhong; Vodenska-Chitkushev, Irena; Havlin, Shlomo; Stanley, H Eugene

    2007-07-01

    We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period is characterized by the Omori law, which describes the decay in the rate of aftershocks of a given size with time t by a power law with exponent close to 1. A shock followed by such a power law decay in the rate is here called Omori process. We find self-similar features in the volatility. Specifically, within the aftercrash period there are smaller shocks that themselves constitute Omori processes on smaller scales, similar to the Omori process after the large crash. We call these smaller shocks subcrashes, which are followed by their own aftershocks. We also show that the Omori law holds not only after significant market crashes as shown by Lillo and Mantegna [Phys. Rev. E 68, 016119 (2003)], but also after "intermediate shocks." By appropriate detrending we remove the influence of the crashes and subcrashes from the data, and find that this procedure significantly reduces the memory in the records. Moreover, when studying long-term correlated fractional Brownian motion and autoregressive fractionally integrated moving average artificial models for volatilities, we find Omori-type behavior after high volatilities. Thus, our results support the hypothesis that the memory in the volatility is related to the Omori processes present on different time scales.

  13. The influence of volatility spill-overs and market beta on portfolio construction

    Directory of Open Access Journals (Sweden)

    André Heymans

    2015-05-01

    Full Text Available This study adds to Modern Portfolio Theory (MPT by providing an additional measure to market beta in constructing a more efficient investment portfolio. The additional measure analyses the volatility spill-over effects among stocks within the same portfolio. Using intraday stock returns from five top-40 listed stocks on the JSE between July 2008 and April 2010, volatility spill-over effects were estimated with a residual- based test (aggregate shock [AS] model framework. It is shown that when a particular stock attracted fewer volatility spill-over effects from the other stocks in the portfolio, the overall portfolio volatility decreased as well. In most cases market beta showcased similar results. Therefore, in order to construct a more efficient risk- adjusted portfolio, one requires both a portfolio that has a unit correlation with the market (beta-based, and stocks that showcase the least amount of volatility spill-over effects amongst one another. These results might assist portfolio managers to construct lower mean variance portfolios.

  14. Market integration of wind power in electricity system balancing

    DEFF Research Database (Denmark)

    Sorknæs, Peter; Andersen, Anders N.; Tang, Jens

    2013-01-01

    In most countries markets for electricity are divided into wholesale markets on which electricity is traded before the operation hour, and real-time balancing markets to handle the deviations from the wholesale trading. So far, wind power has been sold only on the wholesale market and has been...... known to increase the need for balancing. This article analyses whether wind turbines in the future should participate in the balancing markets and thereby play a proactive role. The analysis is based on a real-life test of proactive participation of a wind farm in West Denmark. It is found...

  15. FORECASTING ELECTRICITY PRICES IN DEREGULATED WHOLESALE SPOT ELECTRICITY MARKET - A REVIEW

    Directory of Open Access Journals (Sweden)

    Girish Godekere Panchakshara Murthy,

    2014-01-01

    Full Text Available In the new framework of competitive electricity markets, all power market participants need accurate price forecasting tools. Electricity price forecasts characterize significant information that can help captive power producer, independent power producer, power generation companies, power distribution companies or open access consumers in careful planning of their bidding strategies for maximizing their profits, benefits and utilities from long term, medium term and short term perspective. Short term spot electricity price forecasting techniques are either inspired from electrical engineering literature (i.e. load forecasting or from economics literature (i.e. game theory models and the time-series econometric models. In this study we investigate the emergence of spot electricity markets with particular emphasis on Indian electricity market which has never been done before and review selected finance and econometrics inspired literature and models for forecasting electricity spot prices in deregulated wholesale spot electricity markets.

  16. Branding of electricity in B2B markets

    OpenAIRE

    Rolanda Simenaite 1986

    2013-01-01

    Branding has gained an important role in the B2B (business-to-business) market. Liberation of the energy markets in recent years has increased competition and branding could create a competitive advantage. This thesis analyzes the branding of electricity in a business-to-business context. In depth, this thesis explores the supplier of electricity brand importance for business customers in both Icelandic and Lithuanian B2B markets. The focus of the thesis is to research how much brands matter ...

  17. [Space Weather Impact on the Electricity Market

    Science.gov (United States)

    SaintCyr, O. Chris

    2007-01-01

    Forbes & St. Cyr (2004, hereafter "FISC") have provided evidence that the electricity market can be impacted by space weather. Our analysis indicated that the estimated market impact for PJM was 3.7 % or approximately $500 million dollars over the 19 month sample period. Kappenman has taken exception to this estimate and contends that we have exaggerated the magnitude of the problem that space weather poses to PJM. There are four specific issues: (1) he claims that we have ignored relevant literature; (2) he asserts that Dst is not an appropriate proxy for GICs in PJM; (3) he charges that our findings are inconsistent with the impact of the 17 September 2000 storm; and (4) he alleges that our discussion of October 2003 storms is misleading. In our article, we have explained our methodology, multivariate regression analysis, with a particular focus on how it compares to correlation analysis. We have also explained the limitations of our analysis. We noted that "...While the Dstlprice relationship was found to be robust, the precise estimate should be treated with a relatively high degree of caution given that econometric modeling is not an exact science as well as the fact that the measure of space weather may be a poor proxy for GICs" (paragraph 96). We have also noted that additional research using local magnetometer data are needed (paragraph 97). We did not claim that that our findings for PJM are representative of the impact of space weather on other power grids. On the contrary, we noted that ... "Only analysis of other power grids will tell. " (paragraph 97). Kappenman inaccurately asserts that we have indicated that our findings . . . "imply much higher total costs are likely across the US and elsewhere in the world." He also inaccurately asserts that we have claimed that " . . . Dst is the most suited proxy for GIC in the PJM grid.. ." Moreover, he inaccurately refers to our analysis as a correlation study that uses Dst as quasi-binary indicator.

  18. Testing for time-varying long-range dependence in volatility for emerging markets

    Science.gov (United States)

    Cajueiro, Daniel O.; Tabak, Benjamin M.

    2005-02-01

    This paper tests whether volatility for equity returns for emerging markets possesses long-range dependence. Furthermore, the assertion of whether long-range dependence is time-varying is checked through a rolling sample approach. The empirical results suggest that there exists long-range dependence in emerging equity returns' volatility and also that it is time-varying. This assertion also holds true for Japan and the US, which are considered more developed markets. Moreover, these results are robust to “shuffling” the data to eliminate short-term autocorrelation. Therefore, they suggest that the class of GARCH processes, which are currently employed to analyze volatility of financial time series, is misspecified.

  19. Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

    OpenAIRE

    Buguk, Cumhur; Hudson, Darren; Hanson, Terrill R.

    2003-01-01

    Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-leve...

  20. Price and volatility transmissions between natural gas, fertilizer, and corn markets

    NARCIS (Netherlands)

    Etienne, Xiaoli Liao; Trujillo-Barrera, Andrés; Wiggins, Seth

    2016-01-01

    Purpose – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach – The authors

  1. Housing market volatility in the OECD area: Evidence from VAR based return decompositions

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    . For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have...

  2. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals

    Science.gov (United States)

    Gontis, V.; Havlin, S.; Kononovicius, A.; Podobnik, B.; Stanley, H. E.

    2016-11-01

    We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive macroscopic equations based on the microscopic herding interactions of agents and find that they are able to reproduce various stylized facts of different markets and different assets with the same set of model parameters. We show that the power-law properties and the scaling of return intervals and other financial variables have a similar origin and could be a result of a general class of non-linear stochastic differential equations derived from a master equation of an agent system that is coupled by herding interactions. Specifically, we find that this approach enables us to recover the volatility return interval statistics as well as volatility probability and spectral densities for the NYSE and FOREX markets, for different assets, and for different time-scales. We find also that the historical S&P500 monthly series exhibits the same volatility return interval properties recovered by our proposed model. Our statistical results suggest that human herding is so strong that it persists even when other evolving fluctuations perturbate the financial system.

  3. Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain

    NARCIS (Netherlands)

    Assefa, Tsion Taye; Meuwissen, Miranda P.M.; Gardebroek, Koos; Oude Lansink, Alfons G.J.M.

    2017-01-01

    We investigate the relationship between the transmission of price volatility and market power in the German fresh pork supply chain. We use a theoretical model underpinning this relationship followed by an empirical application that uses monthly farm, slaughterhouse and retail pork price data for

  4. E-laboratories : agent-based modeling of electricity markets.

    Energy Technology Data Exchange (ETDEWEB)

    North, M.; Conzelmann, G.; Koritarov, V.; Macal, C.; Thimmapuram, P.; Veselka, T.

    2002-05-03

    Electricity markets are complex adaptive systems that operate under a wide range of rules that span a variety of time scales. These rules are imposed both from above by society and below by physics. Many electricity markets are undergoing or are about to undergo a transition from centrally regulated systems to decentralized markets. Furthermore, several electricity markets have recently undergone this transition with extremely unsatisfactory results, most notably in California. These high stakes transitions require the introduction of largely untested regulatory structures. Suitable laboratories that can be used to test regulatory structures before they are applied to real systems are needed. Agent-based models can provide such electronic laboratories or ''e-laboratories.'' To better understand the requirements of an electricity market e-laboratory, a live electricity market simulation was created. This experience helped to shape the development of the Electricity Market Complex Adaptive Systems (EMCAS) model. To explore EMCAS' potential as an e-laboratory, several variations of the live simulation were created. These variations probed the possible effects of changing power plant outages and price setting rules on electricity market prices.

  5. An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market

    Directory of Open Access Journals (Sweden)

    Lei Dai

    2015-10-01

    Full Text Available Global dry bulk shipping market is an important element of global economy and trade. Since newbuilding and secondhand vessels are often traded as assets and the freight rate is the key determinant of vessel price, it is important for shipping market participants to understand the market dynamics and price transmission mechanism over time to make suitable strategic decisions. To address this issue, a multi-variate GARCH model was applied in this paper to explore the volatility spillover effects across the vessel markets (including newbuilding and secondhand vessel markets and freight market. Specifically, the BEKK parameterization of the multi-variate GARCH model (BEKK GARCH was proposed to capture the volatility transmission effect from the freight market, newbuilding and secondhand vessel markets in the global dry bulk shipping industry. Empirical results reveal that significant volatility transmission effects exist in each market sector, i.e. capesize, panamax, handymax and handysize. Besides, the market volatility transmission mechanism varies among different vessel types. Moreover, some bilateral effects are found in the dry bulk shipping market, showing that lagged variances could affect the current variance in a counterpart market, regardless of the volatility transmission. A simple ratio is proposed to guide investors optimizing their portfolio allocations. The findings in this paper could provide unique insights for investors to understand the market and hedge their portfolios well.

  6. Análisis de combustibles fósiles en el mercado de generación de energía eléctrica en Colombia: un contraste entre modelos de volatilidad // Analysis of Fossil Fuels in the Market for Electricity Generation in Colombia: A Contrast between Models of Volatility

    Directory of Open Access Journals (Sweden)

    Mónica Andrea Arango A.

    2016-12-01

    Full Text Available La importancia del sector eléctrico en el crecimiento de las economías incentiva el estudio sobre las variables que determinan la ejecución de nuevos proyectos de inversión en el sector. Las barreras en la disponibilidad de los combustibles se traducen en un incremento de la incertidumbre, convirtiéndose en un aspecto fundamental en la toma de decisiones en los mercados de generación de energía. Ante esto, se realiza un contraste entre un modelo de volatilidad determinística y dos modelos de volatilidad estocástica paramétrica GARCH y EWMA, aplicados en el precio de los combustibles fósiles, con el fin de identificar trade off, entre costos y riesgo, enfrentado por los generadores en una matriz energética conformada por tecnologías basadas en carbón, gas y petróleo. Los tres modelos permiten contrastar los resultados empíricos de las covarianzas obtenidas a través de la metodología de Pearson, EWMA y Vech. La evidencia sugiere que en un contexto en el que sea necesario seleccionar uno de los combustibles, el carbón presenta menor exposición al riesgo y menor variación en su precio, implicando un menor egreso en los mercados de generación. Sin embargo, contar con la matriz energética conformada por los tres combustibles fósiles permite una menor exposición al riesgo para el mercado global. ------------------------------------ The importance of the electricity sector in the growth of economies encourages the study of the variables that determine the implementation of new investment projects in the sector. The barriers in the availability of fuels result in increased uncertainty, becoming a key issue in making decisions in the markets for power generation. Regarding this, a contrast is performed between a deterministic volatility model and two parametric stochastic volatility models, GARCH and EWMA, applied to the price of fossil fuels, in order to identify trade off between cost and risk faced by generators in an energy

  7. Analysis of the Reinsurance Market Situation under Conditions of Volatility of the World Economy

    Directory of Open Access Journals (Sweden)

    Bozhenko Andriy S.

    2013-12-01

    Full Text Available The article conducts analysis of the modern state and prospects of further development of the reinsurance market through identification of prerequisites of establishment and systematisation of main stages of formation of this market situation. It studies main parameters of formation of the studies economic category: volume of the global market of reinsurance, factors of interaction of demand and supply; interconnection of participants of this market under conditions of volatility of the world economy. Results of the study, stated in this article, give a possibility to affirm that analysis and process of formation of the reinsurance market situation is a complex and multi-sided topic for conducting further studies. Using the obtained data, one can forecast future behaviour of the market participants when unfavourable situations occur and find the most optimal ways of their solution.

  8. Market definition and dominance in electricity markets; Marktabgrenzung und Marktbeherrschung auf Elektrizitaetsmaerkten

    Energy Technology Data Exchange (ETDEWEB)

    Gleave, Sandro [Bundeskartellamt, Bonn (Germany). 8. Beschlussabteilung; Hochschule Bonn-Rhein-Sieg, Rheinbach (Germany). Lehrgebiet Mikrooekonomie

    2010-06-15

    This article presents the current market definition in the different electricity markets as applied by the Bundeskartellamt (Federal Cartel Office). The market definition has been modified recently due to an increasing intensity of competition. The main focus is on the definition of the relevant product and geographic markets at the end consumer level. Moreover, the article considers implications of the market definition for competition policy. (orig.)

  9. Market Power in the Nordic Wholesale Electricity Market: A Survey of the Empirical Evidence

    OpenAIRE

    Fridolfsson, Sven-Olof; Tangerås, Thomas

    2008-01-01

    We review the recent empirical research concerning market power on the Nordic wholesale market for electricity, Nord Pool. There is no evidence of blatant and systematic exploitation of system level market power on Nord Pool. However, generation companies seem from time to time able to take advantage of capacity constraints in transmission to wield regional market power. Market power can manifest itself in a number of ways which have so far escaped empirical scrutiny. We discuss investment in...

  10. Adaptive Portfolio Optimization for Multiple Electricity Markets Participation.

    Science.gov (United States)

    Pinto, Tiago; Morais, Hugo; Sousa, Tiago M; Sousa, Tiago; Vale, Zita; Praca, Isabel; Faia, Ricardo; Pires, Eduardo Jose Solteiro

    2016-08-01

    The increase of distributed energy resources, mainly based on renewable sources, requires new solutions that are able to deal with this type of resources' particular characteristics (namely, the renewable energy sources intermittent nature). The smart grid concept is increasing its consensus as the most suitable solution to facilitate the small players' participation in electric power negotiations while improving energy efficiency. The opportunity for players' participation in multiple energy negotiation environments (smart grid negotiation in addition to the already implemented market types, such as day-ahead spot markets, balancing markets, intraday negotiations, bilateral contracts, forward and futures negotiations, and among other) requires players to take suitable decisions on whether to, and how to participate in each market type. This paper proposes a portfolio optimization methodology, which provides the best investment profile for a market player, considering different market opportunities. The amount of power that each supported player should negotiate in each available market type in order to maximize its profits, considers the prices that are expected to be achieved in each market, in different contexts. The price forecasts are performed using artificial neural networks, providing a specific database with the expected prices in the different market types, at each time. This database is then used as input by an evolutionary particle swarm optimization process, which originates the most advantage participation portfolio for the market player. The proposed approach is tested and validated with simulations performed in multiagent simulator of competitive electricity markets, using real electricity markets data from the Iberian operator-MIBEL.

  11. Engineering Electricity Markets for a Decarbonized Energy System

    DEFF Research Database (Denmark)

    Jenle, Rasmus Ploug; Pallesen, Trine

    Decarbonization of the Danish electricity sector has recently been sought achieved through the introduction of a novel retail electricity market, named EcoGrid, designed to create price responsive consumers. By following the market design process undertaken by engineers at the Technical University...... of Denmark, the analysis addresses the question: how do engineers make markets? The answer to this question as presented here is: engineers design control systems. By tracing the origins of EcoGrid, this paper documents the governing of electricity consumers through a ‘synthetic market’, i.e. a market...... artifact devised to attain specified objectives within a specific task environment. It is shown that EcoGrid has been designed by modelling a retail electricity market on three different concepts from control systems engineering. These findings are used as a springboard to discuss the implications...

  12. Decomposition of Market Clearing Price in Electricity Markets

    Science.gov (United States)

    Wachi, Tsunehisa; Fukutome, Suguru; Chen, Luonan; Makino, Yoshinori

    This paper aims to develop a novel methodology to decompose MCP (market clearing price) in a single price auction market with AC transmission network. Specifically, we first formulate the auction market as a nonlinear optimization problem, and then propose an algorithm to decompose MCP into various factors, such as bidding curves, generations, transmission congestion, voltage limitations and other constraints. Several numerical simulations have been used to demonstrate the effectiveness of our approach.

  13. Intensity of Price and Volatility Spillover Effects in Asia-Pacific Basin Equity Markets

    Directory of Open Access Journals (Sweden)

    Sazali Abidin

    2014-12-01

    Full Text Available This paper investigates the intensity of price and volatility spillover effects in five major stock markets within the Asia Pacific basin region with a particular emphasis in the spillover effects between Australia and China. VAR(5 model is used for measuring the return spillover while AR/VAR model with exogenous variables is employed for measuring the effects of same day returns on return spillover. .In modelling the volatility spillover, we employ AR/GARCH model which also incorporates the same day effects. Results of both return and volatility spillover provide evidence that there are significant spillover effects across different markets in the Asia-Pacific region and as well as between Australia and China. This study also provides support to the view that a market is most affected by other markets that opens/closes just before it. The main contribution of this paper is the confirmation of spillover effects between markets in the region, in particular, the interdependence between Australia and China which may have evolved only recently and thus have received relatively little research attention to date.

  14. The effect of parallel OTC-DVP bond market introduction on yield curve volatility

    Directory of Open Access Journals (Sweden)

    Andraž Grum

    2006-05-01

    Full Text Available The goal of this paper is to analyze the effect of OTC-DVP (over the counter delivery versus payment fixed income market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward interest rates. For the purpose of the analysis Slovenian zero coupon and forward curves were estimated. The model used for yield curve estimation was Nelson-Siegel model as it proved to be superior in terms of goodness of fit, to other statistical methods of yield curve estimation, namely: Svensson model, B-splines model, smoothing B-splines model and Merrill Lynch exponential splines model. Results of analysis show that OTC-DVP bond market introduction (as parallel bond market has improved the information content of bond prices for term structure estimation purpose. The volatility of spot and forward rates for mid and long remind maturities has fallen with the highest density on the longest maturity segment.

  15. The dynamic conditional relationship between stock market returns and implied volatility

    Science.gov (United States)

    Park, Sung Y.; Ryu, Doojin; Song, Jeongseok

    2017-09-01

    Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.

  16. Assessment of emission trading impacts on competitive electricity market price

    DEFF Research Database (Denmark)

    Singh, S.N.; Saxena, D.; Østergaard, Jacob

    2011-01-01

    analyzes the impact of electricity prices in the competitive electricity markets having a uniform market clearing price mechanism. Findings - It is found that the electricity prices depend on the system loading, generation mix, etc. at a particular hour. Various emission trading instruments are discussed...... side emission trading impact on electricity prices in the competitive power market. Design/methodology/approach - Various schemes are suggested and are being implemented to achieve this objective. It is expected that electricity price will increase due to imposition of emission taxes. This paper...... with a special emphasis on the European market. Research limitations/implications - Block bidding of the suppliers is considered whereas the demand is assumed to be inelastic. Originality/value - The emission trading impacts are analyzed on a simple example....

  17. Measuring the relationship between intraday returns, volatility spill-overs and market beta during financial distress / Wayne Peter Brewer

    OpenAIRE

    Brewer, Wayne Peter

    2013-01-01

    The modelling of volatility has long been seminal to finance and risk management in general, as it provides information on the spread of portfolio returns. In order to reduce the overall volatility of a stock portfolio, modern portfolio theory (MPT), within an efficient market hypothesis (EMH) framework, dictates that a well-diversified portfolio should have a market beta of one (thereafter adjusted for risk preference), and thus move in sync with a benchmark market portfolio. Such a stock po...

  18. Asymmetric Effect of Monetary Policy on Stock Market Volatility in ASEAN5

    Directory of Open Access Journals (Sweden)

    Trung Thanh BUI

    2015-05-01

    Full Text Available Among many channels, stock market directly transmits the effect of monetary policy decisions because it quickly responds to policy news. The primary objective of this paper is to clarify the asymmetric effect of monetary policy on stock market volatility, which is believed to have adverse effects on the economy recovery, over its bull and bear period. We performed empirical research in a panel setting in which monthly data of ASEAN5 (Vietnam, Thailand, Philippines, Malaysia, and Indonesia was collected from January 2006 to June 2013. To reduce identification and endogeneity problem, we used short-term interest rate as a proxy for the stance of monetary policy. The Markov switching model was used to identify the bull and bear periods of stock market. We employed feasible GLS estimator to examine the possible asymmetry. The empirical results have demonstrated the existence of the asymmetry in the monetary policy effect on the stock market volatility over stock market cycle in ASEAN5. The findings have suggested that monetary policy is more effective in bear market and that a tight monetary policy increases the probability of shifting stock market from bullish to bearish state.

  19. The Interval Stability of an Electricity Market Model

    Directory of Open Access Journals (Sweden)

    Weijuan Wang

    2014-01-01

    Full Text Available Combined with the electric power market dynamic model put forward by Alvarado, an interval model of electricity markets is established and investigated in this paper pertaining to the range of demand elasticity with suppliers and consumers. The stability of an electricity market framework with demand elasticity interval is analyzed. The conclusions characterizing the interval model provided are derived by constructing a suitable Lyapunov function and using the theory of interval dynamical system in differential equations and matrix inequality theory and so forth. Applying the corollary obtained can judge the system stability by available data about demand elasticity. The obtained results are validated and illustrated by a case example.

  20. Adaptive Portfolio Optimization for Multiple Electricity Markets Participation

    DEFF Research Database (Denmark)

    Pinto, Tiago; Morais, Hugo; Sousa, Tiago M.

    2016-01-01

    , such as day-ahead spot markets, balancing markets, intraday negotiations, bilateral contracts, forward and futures negotiations, and among other) requires players to take suitable decisions on whether to, and how to participate in each market type. This paper proposes a portfolio optimization methodology......, in different contexts. The price forecasts are performed using artificial neural networks, providing a specific database with the expected prices in the different market types, at each time. This database is then used as input by an evolutionary particle swarm optimization process, which originates the most...... advantage participation portfolio for the market player. The proposed approach is tested and validated with simulations performed in multiagent simulator of competitive electricity markets, using real electricity markets data from the Iberian operator-MIBEL....

  1. Bidding in sequential electricity markets: The Nordic case

    DEFF Research Database (Denmark)

    Boomsma, Trine Krogh; Juul, Nina; Fleten, Stein-Erik

    2014-01-01

    For electricity market participants trading in sequential markets with differences in price levels and risk exposure, coordinated bidding is highly relevant. We consider a Nordic power producer who engages in the day-ahead spot market and the near real-time balancing market. In both markets......, clearing prices and dispatched volumes are unknown at the time of bidding. However, in the balancing market, the agent faces an additional risk of not being dispatched. Taking into account the sequential clearing of these markets and the gradual realization of market prices, we formulate the bidding...... problem as a multi-stage stochastic program. We investigate whether higher risk exposure can explain the hesitation, often observed in practice, to bid into the balancing market, even in cases of higher expected price levels. Furthermore, we quantify the gain from coordinated bidding, and by deriving...

  2. Demand response in experimental electricity markets

    Directory of Open Access Journals (Sweden)

    Barreda-Tarrazona, Iván

    2012-03-01

    Full Text Available We study consumers’ behavior in an experimental electricity market. Subjects make decisions concerning the quantity of electric energy they want to consume in three different pricing environments. In the baseline framework, they decide under a system of fixed prices, invariant to consumption schedule as well as to network restrictions. The other two environments correspond to dynamic pricing systems combined with incentives that aim at cutting energy consumption in a number of selected situations characterized by high network congestion. In such situations, in the first environment subjects get a bonus if they reduce their peak consumption below a certain level, while in the second one, consumers are sanctioned for consuming in peak times. From a social welfare perspective, our experimental data confirm that a dynamic system for prices is more efficient than a fixed one. Moreover, a dynamic scheme with sanctions, although less preferred by consumers, is more effective than the one with bonuses in order to reduce peak consumption. Dynamic pricing with bonuses reaches a good balance between efficiency and consumer acceptance.

    Estudiamos el comportamiento de los consumidores en un mercado de electricidad diseñado en el laboratorio. Los sujetos experimentales toman decisiones sobre la cantidad de electricidad que desean consumir en tres contextos diferentes. En el tratamiento base, los consumidores deciden bajo un sistema de precios fijos, en el que el precio es invariable tanto a la franja horaria de consumo como a las restricciones de la red. Los otros dos contextos corresponden a sistemas dinámicos de precios combinados con incentivos cuyo objetivo es la reducción del consumo en algunas situaciones seleccionadas caracterizadas por una alta congestión de la red. En estas situaciones, en el primer contexto, se bonifica la reducción del consumo en la hora punta por debajo de cierto nivel, mientras que en el segundo, los consumidores

  3. Optimal charging of electric drive vehicles in a market environment

    DEFF Research Database (Denmark)

    Kristoffersen, Trine Krogh; Capion, Karsten Emil; Meibom, Peter

    2011-01-01

    With a potential to facilitate the integration of renewable energy into the electricity system, electric drive vehicles may offer a considerable flexibility by allowing for charging and discharging when desired. This paper takes the perspective of an aggregator that manages the electricity market...... participation of a vehicle fleet and presents a framework for optimizing charging and discharging of the electric drive vehicles, given the driving patterns of the fleet and the variations in market prices of electricity. When the aggregator is a price-taker the optimization can be stated in terms of linear...... programming whereas a quadratic programming formulation is required when he/she has market power. A Danish case study illustrates the construction of representative driving patterns through clustering of survey data from Western Denmark and the prediction of electricity price variations through regression...

  4. Operation of Modern Distribution Power Systems in Competitive Electricity Markets

    DEFF Research Database (Denmark)

    Hu, Weihao

    In this dissertation, the characteristics of a distribution system under a dynamic electricity-pricing, load management system and under a large number of power electronic interfaced distributed generation units are investigated. The operation characteristics of a power system with wind turbines......, DG units, loads and electricity price are studied. Further, the effect of energy storage systems will be considered, and an optimal operation strategy for energy storage devices in a large scale wind power system in the electricity market is proposed. The western Danish power system, which has large...... penetrations of variable wind power production and may represent the future electricity markets in some ways, is chosen as the studied power system. 10 year actual data from the Danish competitive electricity market are collected and analyzed. The relationship among the electricity price, the consumption...

  5. Equilibrium pricing in electricity markets with wind power

    Science.gov (United States)

    Rubin, Ofir David

    Estimates from the World Wind Energy Association assert that world total wind power installed capacity climbed from 18 Gigawatt (GW) to 152 GW from 2000 to 2009. Moreover, according to their predictions, by the end of 2010 global wind power capacity will reach 190 GW. Since electricity is a unique commodity, this remarkable expansion brings forward several key economic questions regarding the integration of significant amount of wind power capacity into deregulated electricity markets. The overall dissertation objective is to develop a comprehensive theoretical framework that enables the modeling of the performance and outcome of wind-integrated electricity markets. This is relevant because the state of knowledge of modeling electricity markets is insufficient for the purpose of wind power considerations. First, there is a need to decide about a consistent representation of deregulated electricity markets. Surprisingly, the related body of literature does not agree on the very economic basics of modeling electricity markets. That is important since we need to capture the fundamentals of electricity markets before we introduce wind power to our study. For example, the structure of the electric industry is a key. If market power is present, the integration of wind power has large consequences on welfare distribution. Since wind power uncertainty changes the dynamics of information it also impacts the ability to manipulate market prices. This is because the quantity supplied by wind energy is not a decision variable. Second, the intermittent spatial nature of wind over a geographical region is important because the market value of wind power capacity is derived from its statistical properties. Once integrated into the market, the distribution of wind will impact the price of electricity produced from conventional sources of energy. Third, although wind power forecasting has improved in recent years, at the time of trading short-term electricity forwards, forecasting

  6. An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

    Directory of Open Access Journals (Sweden)

    Hanlei Hu

    2017-01-01

    Full Text Available In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed to follow a geometric G-Brownian motion rather than a classical Brownian motion. The concept of arbitrage is used to deal with this complex situation and we consider stock price dynamics with no-arbitrage opportunities. For general European contingent claims, we deduce the interval of no-arbitrage price and the clear results are derived in the Markovian case.

  7. An integrated ant colony optimization approach to compare strategies of clearing market in electricity markets. Agent-based simulation

    Energy Technology Data Exchange (ETDEWEB)

    Azadeh, A.; Maleki-Shoja, B. [Department of Industrial Engineering and Center of Excellence for Intelligent Experimental Mechanics, College of Engineering, University of Tehran (Iran); Skandari, M.R. [Department of Industrial Engineering, University of Florida, Gainesville (United States)

    2010-10-15

    In this paper, an innovative model of agent based simulation, based on Ant Colony Optimization (ACO) algorithm is proposed in order to compare three available strategies of clearing wholesale electricity markets, i.e. uniform, pay-as-bid, and generalized Vickrey rules. The supply side actors of the power market are modeled as adaptive agents who learn how to bid strategically to optimize their profit through indirect interaction with other actors of the market. The proposed model is proper for bidding functions with high number of dimensions and enables modelers to avoid curse of dimensionality as dimension grows. Test systems are then used to study the behavior of each pricing rule under different degrees of competition and heterogeneity. Finally, the pricing rules are comprehensively compared using different economic criteria such as average cleared price, efficiency of allocation, and price volatility. Also, principle component analysis (PCA) is used to rank and select the best price rule. To the knowledge of the authors, this is the first study that uses ACO for assessing strategies of wholesale electricity market. (author)

  8. An integrated ant colony optimization approach to compare strategies of clearing market in electricity markets: Agent-based simulation

    Energy Technology Data Exchange (ETDEWEB)

    Azadeh, A., E-mail: aazadeh@ut.ac.i [Department of Industrial Engineering and Center of Excellence for Intelligent Experimental Mechanics, College of Engineering, University of Tehran (Iran, Islamic Republic of); Skandari, M.R. [Department of Industrial Engineering, University of Florida, Gainesville (United States); Maleki-Shoja, B. [Department of Industrial Engineering and Center of Excellence for Intelligent Experimental Mechanics, College of Engineering, University of Tehran (Iran, Islamic Republic of)

    2010-10-15

    In this paper, an innovative model of agent based simulation, based on Ant Colony Optimization (ACO) algorithm is proposed in order to compare three available strategies of clearing wholesale electricity markets, i.e. uniform, pay-as-bid, and generalized Vickrey rules. The supply side actors of the power market are modeled as adaptive agents who learn how to bid strategically to optimize their profit through indirect interaction with other actors of the market. The proposed model is proper for bidding functions with high number of dimensions and enables modelers to avoid curse of dimensionality as dimension grows. Test systems are then used to study the behavior of each pricing rule under different degrees of competition and heterogeneity. Finally, the pricing rules are comprehensively compared using different economic criteria such as average cleared price, efficiency of allocation, and price volatility. Also, principle component analysis (PCA) is used to rank and select the best price rule. To the knowledge of the authors, this is the first study that uses ACO for assessing strategies of wholesale electricity market.

  9. Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States

    Directory of Open Access Journals (Sweden)

    Hassan Mohammadi

    2015-04-01

    Full Text Available Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen over 2 January 2001 to 8 February 2013 suggest: (1 evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 evidence of unidirectional ARCH and GARCH effects from the U.S. to the other three markets; (3 correlations of returns vary across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the U.S. and China’s two markets; thus, international investors may benefit by allocating their assets in China’s markets; (4 the patterns of dynamic conditional correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent financial crisis of 2007.

  10. Economic-efficiency considerations in restructuring electric markets

    Energy Technology Data Exchange (ETDEWEB)

    Hill, L.J.

    1996-12-01

    In response to the Energy Policy Act of 1992 and the Federal Energy Regulatory Commission`s subsequent rulemaking on transmission access, many states are exploring options to restructure their electric industries. In their deliberations on restructuring, policymakers should consider (1) the reliability of the electric system; (2) income-distribution effects on ratepayers and utilities; (3) social consequences such as effects on energy conservation, renewable energy, and the environment; and (4) economic efficiency. We address economic-efficiency considerations in this study. Economic efficiency is important because it is one of the primary reasons that policymakers should consider restructuring in the first place: improving the electric-industry`s efficiency lowers costs and, hence, electric prices. In this study, we look at the sources of (in)efficiency in existing and proposed electric markets with the objective of guiding policymakers to design efficient electric markets. The advantages of a competitive market are well known: it leads to lower costs for the utility, lower prices for consumers, more product choices, better customer service, and often the need for less regulation by federal and state agencies. In the short run, firms who cannot produce at the market-clearing price are forced to leave the industry, ensuring that customers have the lowest price possible. In the long run, competition promotes innovation and lower costs. The physical and institutional characteristics of the U.S. electric industry, however, could be impediments to attaining efficiently run, competitive markets. Because of these characteristics, there are multiple sources of efficiencies and inefficiencies in existing electric markets, and there will be multiple sources in restructured ones. The objective of policymakers should not be to trade one set of inefficiencies in existing electric markets for another set in restructured markets.

  11. Regulation of consumer participation on the electricity market; Anreizregulierung der Teilnahme von Kunden am Strommarkt

    Energy Technology Data Exchange (ETDEWEB)

    Ahner, Michaela [NTB Technoservice Berlin (Germany); Buchholz, Bernd Michael [VDE, Pyrbaum (Germany). ETG; Ruhland, Johannes [Jena Univ. (Germany)

    2011-07-01

    One of the functions of Smart Grids is the seamless integration of significant shares of renewable and volatile energy sources into the reliable grid operations. In this context, the slogan ''The load follows the generation'' is frequently used. However, this sentence insinuates that we will lose the current convenience of an unlimited supply of electricity whenever requested. The concent is thus better described by ''Incentives to the market participation of the electricity consumers'' which may happen through three channels: - in-house generation by the consumer; - direct load control through remote switching with compensation paid as Reserve Power (Demand side management - DSM); - indirect influence on demand through highly dynamic tariffs and on-line visualization of tariff forecasts, demand and costs (Demand side response - DSR). In Germany high legal barriers hamper a real market participation of the consumers. Many studies have proposed recommendations on how to adapt the regulations. They will be considered in detail. A successful impact on market participation requires the simultaneous adaptation of many acts and regulations, without which Smart Grids will not have any chance of market success. This paper closes with a vision of the electricity market in 2030 with 50% renewable energy shares per annum. (orig.)

  12. Competitive Electricity Market Regulation in the United States: A Primer

    Energy Technology Data Exchange (ETDEWEB)

    Flores-Espino, Francisco [National Renewable Energy Lab. (NREL), Golden, CO (United States); Tian, Tian [National Renewable Energy Lab. (NREL), Golden, CO (United States); Chernyakhovskiy, Ilya [National Renewable Energy Lab. (NREL), Golden, CO (United States); Chernyakhovskiy, Ilya [National Renewable Energy Lab. (NREL), Golden, CO (United States); Miller, Mackay [National Grid, Warwick (United Kingdom)

    2016-12-01

    The electricity system in the United States is a complex mechanism where different technologies, jurisdictions and regulatory designs interact. Today, two major models for electricity commercialization operate in the United States. One is the regulated monopoly model, in which vertically integrated electricity providers are regulated by state commissions. The other is the competitive model, in which power producers can openly access transmission infrastructure and participate in wholesale electricity markets. This paper describes the origins, evolution, and current status of the regulations that enable competitive markets in the United States.

  13. Ethanol, Corn, and Soybean Price Relations in a Volatile Vehicle-Fuels Market

    Directory of Open Access Journals (Sweden)

    Cesar Escalante

    2009-06-01

    Full Text Available The rapid upward shift in ethanol demand has raised concerns about ethanol’s impact on the price level and volatility of agricultural commodities. The popular press attributes much of this volatility in commodity prices to a price bubble in ethanol fuel and recent deflation. Market economics predicts not only a softening of demand to high commodity prices but also a positive supply response. This volatility in ethanol and commodity prices are investigated using cointegration, vector error corrections (VECM, and multivariate generalized autoregressive conditional heteroskedascity (MGARCH models. In terms of derived demand theory, results support ethanol and oil demands as derived demands from vehicle-fuel production. Gasoline prices directly influence the prices of ethanol and oil. However, of greater significance for the fuel versus food security issue, results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibriums after a demand or supply event (shock. Such shocks may in the short-run increase agricultural commodity prices, but decentralized freely operating markets will mitigate the persistence of these shocks. Results indicate in recent years there are no long-run relations among fuel (ethanol, oil and gasoline prices and agricultural commodity (corn and soybean prices.

  14. Optimization Under Uncertainty for Management of Renewables in Electricity Markets

    DEFF Research Database (Denmark)

    Zugno, Marco

    -by-price. In a similar setup, the optimal trading (and pricing) problem for a retailer connected to flexible consumers is considered. Finally, market and system operators are challenged by the increasing penetration of renewables, which put stress on markets that were designed to accommodate a generation mix largely......This thesis deals with the development and application of models for decision-making under uncertainty to support the participation of renewables in electricity markets. The output of most renewable sources, e.g., wind, is intermittent and, furthermore, it can only be predicted with a limited...... accuracy. As a result of their non-dispatchable and stochastic nature, the management of renewables poses new challenges as compared to conventional sources of electricity. Focusing in particular on short-term electricity markets, both the trading activities of market participants (producers, retailers...

  15. Elspot: Nord Pool Spot Integration in MASCEM Electricity Market Simulator

    DEFF Research Database (Denmark)

    Fernandes, Ricardo; Santos, Gabriel; Praca, Isabel

    2014-01-01

    The energy sector in industrialized countries has been restructured in the last years, with the purpose of decreasing electricity prices through the increase in competition, and facilitating the integration of distributed energy resources. However, the restructuring process increased the complexi...... from the already implemented markets, and it is a reference electricity market in Europe (the one with the larger amount of traded power).......The energy sector in industrialized countries has been restructured in the last years, with the purpose of decreasing electricity prices through the increase in competition, and facilitating the integration of distributed energy resources. However, the restructuring process increased the complexity...... in market players' interactions and generated emerging problems and new issues to be addressed. In order to provide players with competitive advantage in the market, decision support tools that facilitate the study and understanding of these markets become extremely useful. In this context arises MASCEM...

  16. Electricity in Central Asia: Market and investment opportunity report

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2007-09-15

    This WEC report examines the vast interdependent electricity systems of the Central Asian states; Kazakhstan, Kyrgyzstan (Kyrgyz Republic), Tajikistan, Turkmenistan, and Uzbekistan. The report outlines the progress of market reform in this region and identifies the potential for investment opportunities.

  17. Energy efficiency and performance indicators of European electricity market

    National Research Council Canada - National Science Library

    Constantin Duguleana; Liliana Duguleana

    2015-01-01

    ... characterizing the performance level of power distribution systems. The paper analyzes the evolution of quality indicators of power distribution systems both for countries' level and for population on European market of electricity.

  18. Electricity market reforms: Institutional developments, investment dynamics and game modeling

    Science.gov (United States)

    Pineau, Pierre-Olivier

    The reform trend of the 1990's in electricity markets recreates, to some extent, the institutional framework from which they developed one century ago. Although these reforms do not endeavor to completely remove regulation, the basic objectives of deregulation dwell on limiting central and governmental control over the industry in order to promote free competition at all possible levels. To assess whether the electricity industry is or is not moving back to a 19th century structure is not the goal of this thesis. We will rather try to understand on what grounds deregulation reforms stand and review how different countries and large utilities have reacted to this trend. The special nature of electricity (non-storable basic good, centrally produced) creates different obstacles in the restructuring of electricity markets, compared to other industries like the airline or telecommunication ones. For example, the dominant positions of some utilities, the production structure and the importance of electricity in modern life could transform these reforms in a threatening move for consumers. Another specific issue arising from deregulation, now that national energy policy goals no longer rule the behavior of utilities, is how investment will be coordinated in the new market. A key element to keep in sight is the competition level targeted by these reforms. To which extent full competition can really occur in electricity markets remains an unanswered question. Indeed, the oligopolistic structure of the market could prevent such an outcome. An investigation of the investment dynamics in such a context seems therefore appropriate, and this will be an important theme of the thesis. This work offers an analysis of deregulated electricity markets and studies the oligopolistic market dynamics that could prevail in the new structure. Two complementary approaches are used for these purposes. The first is institutional and presents a thorough illustration of the economic arguments

  19. Market power analysis in the EEX electricity market : an agent-based simulation approach.

    Energy Technology Data Exchange (ETDEWEB)

    Wang, J.; Botterud, A.; Conzelmann, G.; Koritarov, V.; Decision and Information Sciences

    2008-01-01

    In this paper, an agent-based modeling and simulation (ABMS) approach is used to model the German wholesale electricity market. The spot market prices in the European Energy Exchange (EEX) are studied as the wholesale market prices. Each participant in the market is modeled as an individual rationality-bounded agent whose objective is to maximize its own profit. By simulating the market clearing process, the interaction among agents is captured. The market clearing price formed by agentspsila production cost bidding is regarded as the reference marginal cost. The gap between the marginal cost and the real market price is measured as an indicator of possible market power exertion. Various bidding strategies such as physical withholding and economic withholding can be simulated to represent strategic bidding behaviors of the market participants. The preliminary simulation results show that some generation companies (GenCos) are in the position of exerting market power by strategic bidding.

  20. Implications of Climate Volatility for Agricultural Commodity Markets in the Presence of Biofuel Mandates

    Science.gov (United States)

    Verma, M.; Diffenbaugh, N. S.; Hertel, T. W.; Beckman, J.

    2011-12-01

    In presence of bio-fuels, link between energy and agricultural commodity markets has become more complex. An increase in ethanol production to minimum 15bn gallons a year - Renewable Fuel Standard (RFS) and current technically permissible maximum 10% blending limit - Blend Wall (BW); make the link even stronger. If oil prices in future do not rise significantly from their current levels, this minimum production requirement would likely be binding. In such a scenario any fluctuation in crop production will have to be absorbed by the non-ethanol usage of the crop and would translate into crop prices adjusting to clear the markets and therefore the commodity prices will be more volatile. At high oil prices it is possible that the BW may become binding, severing the link between oil prices and commodity prices as well, potentially leading to higher price volatility. Hertel and Beckman (2010) find that, with both RFS and BW simultaneously binding, corn price volatility due to supply side shocks (which could arise from extreme climate events) could be more than 50% as large as in the absence of bio-fuel policies. So energy markets are important determinants of agricultural commodity price volatility. This proposal intends to introduce the increased supply side volatility on account of climate change and volatility, in the framework. Global warming on account of increased GHG concentrations is expected to increase the intensity and frequency of hot extremes in US (Diffenbaugh et al. 2008) and therefore affect corn yields. With supply shocks expected to increase, binding RFS and BW will exacerbate the volatility, while if they are non-binding then the price changes could be cushioned. We propose to model the impacts of climate changes and volatility on commodity prices by linking three main components - a. Projections for change in temperature and precipitation using climate model b. A statistical model to predict impacts of change in climate variable on corn yields in US

  1. Response Asymmetry in Spillover Volatility: An Empirical Study in the Indonesia and Singapore Stock Market

    Directory of Open Access Journals (Sweden)

    Siti Saadah

    2013-07-01

    Full Text Available Normal 0 false false false EN-US X-NONE X-NONE Following the blueprint of the ASEAN integration 2015, the integration of the financial markets in this region will increase. This study investigates the existence of a volatility spillover from the Singaporean stock market into Indonesia, including its transmission pattern. Singapore, as an advanced country in the ASEAN region, has played an important role as the information leader in the market of this region, so that it is very possible that the shocks in the Singapore’s stock market will be transmitted to another stock market in this region. Using TGARCH (1,1 model specification regarding the data of the daily return of the Indonesia market index (IHSG for the period of January 2008 – August 2012, it is observed that the shock that took place in the Singapore stock market is immediately transmitted to the Indonesia stock market with two important asymmetric patterns. The transmission of the shock from the Singapore stock exchange becomes stronger when this market (1 experiences a negative return, and (2 is in the bearish phase.  Normal 0 false false false EN-US X-NONE X-NONE Lateral electric-field-driven non-volatile four-state memory in multiferroic heterostructures

    Science.gov (United States)

    Zhou, Cai; Zhang, Chao; Yao, Jinli; Jiang, Changjun

    2016-09-01

    A non-volatile four-state memory is formed using an in-plane side-polarization configuration in a Co/(011) Pb(Mg1/3Nb2/3)O3-PbTiO3 (Co/PMN-PT) heterostructure. The resistivity vs. electric field behavior shows a change from volatile butterfly to looplike to non-volatile butterfly characteristics when the temperature decreases from 290 K to 83 K under an electric field of 10 kV/cm and then increases back to 290 K; this behavior is attributed to the strain-mediated magnetoelectric effect. In addition, the in-plane resistivity of Co film, which was measured using the four-probe technique, can be controlled both electrically and magnetically. Specifically, a non-volatile resistivity is gained by the application of electric field pulses. Additionally, a four-state memory is obtained by co-mediation of the magnetic field and electric field pulses, compared with the two different states achieved under the application of the electric field only, which indicates that our results are highly important for multi-state memory and spintronic devices applications.

  2. Volatility Discovery

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis

    The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show...... that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity...

  3. Operation of Modern Distribution Power Systems in Competitive Electricity Markets

    DEFF Research Database (Denmark)

    Hu, Weihao

    strategy for trading wind power in the Danish short-term electricity market in order to minimize the imbalance costs for regulation. A load optimization method based on spot price for demand side management in Denmark is proposed in order to save the energy costs for 3 types of typical Danish consumers......In this dissertation, the characteristics of a distribution system under a dynamic electricity-pricing, load management system and under a large number of power electronic interfaced distributed generation units are investigated. The operation characteristics of a power system with wind turbines...... penetrations of variable wind power production and may represent the future electricity markets in some ways, is chosen as the studied power system. 10 year actual data from the Danish competitive electricity market are collected and analyzed. The relationship among the electricity price, the consumption...

  4. Electricity Market Stochastic Dynamic Model and Its Mean Stability Analysis

    Directory of Open Access Journals (Sweden)

    Zhanhui Lu

    2014-01-01

    Full Text Available Based on the deterministic dynamic model of electricity market proposed by Alvarado, a stochastic electricity market model, considering the random nature of demand sides, is presented in this paper on the assumption that generator cost function and consumer utility function are quadratic functions. The stochastic electricity market model is a generalization of the deterministic dynamic model. Using the theory of stochastic differential equations, stochastic process theory, and eigenvalue techniques, the determining conditions of the mean stability for this electricity market model under small Gauss type random excitation are provided and testified theoretically. That is, if the demand elasticity of suppliers is nonnegative and the demand elasticity of consumers is negative, then the stochastic electricity market model is mean stable. It implies that the stability can be judged directly by initial data without any computation. Taking deterministic electricity market data combined with small Gauss type random excitation as numerical samples to interpret random phenomena from a statistical perspective, the results indicate the conclusions above are correct, valid, and practical.

  5. Generation Capacity Investments in Electricity Markets : Perfect Competition

    NARCIS (Netherlands)

    Gürkan, G.; Ozdemir, O.; Smeers, Y.

    2013-01-01

    Abstract: In competitive electricity markets, markets designs based on power exchanges where supply bidding (barring demand-side bidding) is at the sole short run marginal cost may not guarantee resource adequacy. As alternative ways to remedy the resource adequacy problem, we focus on three differe

  6. Bid-Ask Spreads, Trading Volume and Return Volatility: Intraday Evidence from Indian Stock Market

    Directory of Open Access Journals (Sweden)

    Rashmi Ranjan Paital

    2016-01-01

    Full Text Available This paper empirically examines the relationship between stock return volatility, trading volume and bid-ask spread within the scope of mixture of distribution hypothesis (MDH and sequential information arrival hypothesis (SIAH in the Indian stock market using high frequency 5-minute data set over the period of 2 July 2012 to 31 December 2012. This is the first kind of study in India using bid-ask spread as an additional information variable along with trading volume to investigate the relationship with stock return volatility. Our empirical findings provide evidence of a positive contemporaneous relationship between return volatility and trading volume, and also between return volatility and bid-ask spread. Moreover, the results of Granger causality test show that the information content of trading volume and bid-ask spread are useful for predicting stock return volatility. Our results indicate that information arrival to investors tends to follow a sequential rather than a simultaneous process. This finding is consistent with the sequential information arrival hypothesis and contradicts the mixture of distribution hypothesis.

  7. Day Of The Week Effects In Intra-Day Volatility Patterns Of Equity Markets: A Study Of US And European Stock Markets

    National Research Council Canada - National Science Library

    Deniz Ozenbas; Zaman Zamanian

    2011-01-01

    .... Using intra-day data from the New York Stock Exchange, London Stock Exchange, Deutsche Boerse and Euronext Paris stock markets we show that Monday openings are consistently more volatile than opening...

  8. Information Acquisition and Excessive Risk: Impact of Policy Rate and Market Volatility

    Directory of Open Access Journals (Sweden)

    Volha Audzei

    2015-12-01

    Full Text Available Excessive risk-taking of financial agents drew a lot of attention in the aftermath of the financial crisis. Low interest rates and subdued market volatility during the Great Moderation are sometimes blamed for stimulating risk-taking and leading to the recent financial crisis. In recent years, with many central banks around the world conducting the policy of low interest rates and mitigating market risks, it has been debatable whether this policy contributes to the building up of another credit boom. This paper addresses this issue by focusing on information acquisition by the financial agents. We build a theoretical model which captures excessive risk taking in response to changes in policy rate and market volatility. This excessive risk takes the form of an increased risk appetite of the agents, but also of decreased incentives to acquire information about risky assets. As a result, with market risk being reduced, agents tend to acquire more risk in their portfolios then they would with the higher market risk. The same forces increase portfolio risk when the safe interest rate is falling. The robustness of the results is considered with different learning rules.

  9. Price discovery in restructured electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Dempster, Gregory [Hampden-Sydney College, Box 132, Hampden-Sydney, VA 23943 (United States); Isaacs, Justin [Hampden-Sydney College, Hampden-Sydney, VA 23943 (United States); Smith, Narin [Southern Company (United States)

    2008-05-15

    We empirically investigate the degree of integration that existed prior to the cost increases that caused emergency conditions in the Western Systems Coordinating Council (WSCC), particularly California, during the summer of 2000. Evidence from Granger causality tests and common features analysis over the period from December 1994 to September 1999 indicates a moderate degree of integration among these markets. However, price effects throughout the region were often only unidirectional, did not exhibit the characteristics of perfect substitutability, and were significantly influenced by institutional changes in the California market. Most importantly, our research suggests that these markets were not as highly integrated as earlier research had indicated. (author)

  10. PV Solar Electricity: From a Niche Market to One of the Most Important Mainstream Markets for Electricity

    Science.gov (United States)

    Hoffmann, W.; Waldmann, L.

    PV solar electricity is seen as one of the few booming markets, today and in the coming decades. This market has grown globally at a rate of about 40% per year over the past 10 years. Related industries have realized a two-digit, billion-dollar (U.S.) turnover worldwide. PV solar electricity is a high-tech industry with high performance potential in the coming decades, leaving even the electronics industries behind and approaching the automotive industry.

  11. The electricity markets around the Baltic Sea; Elmarknaderna runt Oestersjoen

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1995-12-01

    A thorough description of the electric power markets in the countries surrounding the Baltic sea is given in this book. Environmental problems and regulations and nuclear power are surveyed. Factors that may affect an expanded trade of electricity between the countries are analyzed

  12. Security-Constrained Resource Planning in Electricity Market

    Energy Technology Data Exchange (ETDEWEB)

    Roh, Jae Hyung; Shahidehpour, Mohammad; Yong Fu [Illinois Institute of Technology (United States)

    2007-06-15

    We propose a market-based competitive generation resource planning model in electricity markets. The objective of the model is to introduce the impact of transmission security in a multi-GENCO generation resource planning. The proposed approach is based on effective decomposition and coordination strategies. Lagrangian relaxation and Benders decomposition like structure are applied to the model. Locational price signal and capacity signal are defined for the simulation of competition among GENCOs and the coordination of security between GENCOs and the regulatory body (ISO). The numerical examples exhibit the effectiveness of the proposed generation planning model in electricity markets.

  13. Agent-based simulation of electricity markets. A literature review

    Energy Technology Data Exchange (ETDEWEB)

    Sensfuss, F.; Ragwitz, M. [Fraunhofer-Institut fuer Systemtechnik und Innovationsforschung (ISI), Karlsruhe (Germany); Genoese, M.; Moest, D. [Karlsruhe Univ. (T.H.) (Germany). Inst. fuer Industriebetriebslehre und Industrielle Produktion

    2007-07-01

    Liberalisation, climate policy and promotion of renewable energy are challenges to players of the electricity sector in many countries. Policy makers have to con-sider issues like market power, bounded rationality of players and the appear-ance of fluctuating energy sources in order to provide adequate legislation. Fur-thermore the interactions between markets and environmental policy instru-ments become an issue of increasing importance. A promising approach for the scientific analysis of these developments is the field of agent-based simulation. The goal of this article is to provide an overview of the current work applying this methodology to the analysis of electricity markets. (orig.)

  14. Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models

    Directory of Open Access Journals (Sweden)

    Z. Rasouli Birami

    2016-10-01

    Full Text Available Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major agricultural products faced accelerated price increases and then rapidly decreased. This paper focused on the price volatility of major commodities related to three market levels of Iran’s meat market, including hay (the input level, calf and sheep (the wholesale level and beef and mutton (the retail level. In particular, efforts will made to find more appropriate models for explaining the behavior of volatility of the return series and to identify which return series are more volatile. The effects of good and bad news on the volatility of prices in each return series will also be studied. Materials and Methods: Different GARCH type models have been considered the best for modeling volatility of return series. Nonlinear GARCH models were introduced to capture the effect of good and bad news separately. The paper uses some GARCH type models including GARCH, Exponential GARCH (EGARCH, GJR-GARCH, Threshold GARCH (TGARCH, Simple Asymmetric GARCH (SAGARCH, Power GARCH (PGARCH, Non-linear GARCH (NGARCH, Asymmetric Power GARCH (APGARCH and Non-linear Power GARCH (NPGARCH to model the volatility of hay, calf, sheep, beef and mutton return series. The data on hay, calf, sheep, and beef and mutton monthly prices are published by Iran’s livestock support firm. The paper uses monthly data over the sample period of the May 1992 to the March 2014. Results and Discussion: Descriptive statistics of the studied return series show evidence of skewness and kurtosis. The results here show that all the series has fat tails. The significant p-values for the Ljung-Box Q-statistics mean that the auto-correlation exists in the squared residuals. The presence of unit roots in the return series is confirmed by the

  15. The European Electricity Market and Cross-Border Transmission

    Directory of Open Access Journals (Sweden)

    M. Adamec

    2008-01-01

    Full Text Available This paper deals with basic characteristics and features of trading in electricity, especially in cross-border trading. First, the most important features of electricity as a commodity are explained, with the consequences for electricity trading. Then characteristics and changes in the electricity market after liberalization are discussed. This liberalization has taken place throughout Europe, and the consequences of this revolutionary change are still visible. The main features of electricity trading are mentioned in general. Then cross-border trade in Europe is discussed in greater detail. In this context the basic principles of the allocation of cross-border transmission capacities are explained.The next part of the paper considers the characteristics of the European electricity market from the trader’s point of view. Liquidity as a very important index is introduced here.Finally the most visible trends in cross-border trade and the most probable future development in this area are presented. 

  16. Sharing wind power forecasts in electricity markets: A numerical analysis

    DEFF Research Database (Denmark)

    Exizidis, Lazaros; Pinson, Pierre; Kazempour, Jalal

    2016-01-01

    In an electricity pool with significant share of wind power, all generators including conventional and wind power units are generally scheduled in a day-ahead market based on wind power forecasts. Then, a real-time market is cleared given the updated wind power forecast and fixed day......-ahead decisions to adjust power imbalances. This sequential market-clearing process may cope with serious operational challenges such as severe power shortage in real-time due to erroneous wind power forecasts in day-ahead market. To overcome such situations, several solutions can be considered such as adding...... flexible resources to the system. In this paper, we address another potential solution based on information sharing in which market players share their own wind power forecasts with others in day-ahead market. This solution may improve the functioning of sequential market-clearing process through making...

  17. Economic market design and planning for electric power systems

    CERN Document Server

    Mili, Lamine

    2010-01-01

    Discover cutting-edge developments in electric power systems. Stemming from cutting-edge research and education activities in the field of electric power systems, this book brings together the knowledge of a panel of experts in economics, the social sciences, and electric power systems. In ten concise and comprehensible chapters, the book provides unprecedented coverage of the operation, control, planning, and design of electric power systems. It also discusses:. A framework for interdisciplinary research and education;. Modeling electricity markets;. Alternative economic criteria and proactiv.

  18. Incorporating weather uncertainty in demand forecasts for electricity market planning

    Science.gov (United States)

    Ziser, C. J.; Dong, Z. Y.; Wong, K. P.

    2012-07-01

    A major component of electricity network planning is to ensure supply capability into the future, through generation and transmission development. Accurate forecasts of maximum demand are a crucial component of this process, with future weather conditions having a large impact on forecast accuracy. This article presents an improved methodology for the consideration of weather uncertainty in electricity demand forecasts. Case studies based on the Australian national electricity market are used to validate the proposed methodology.

  19. Research in power systems: power quality and electricity market

    OpenAIRE

    Amarís Duarte, Hortensia; Usaola, Julio

    2008-01-01

    The research group REDES from UC3M has experience on electricity market, grid integration of wind energy and power quality. The group may offer consulting activities with a high component of research. We are looking for the collaboration of companies devoted to the consulting related to electricity markets, the integration of wind power in the electricity network, and with power quality. Contrato Programa de Comercialización e Internacionalización. Sistema Regional de Investigación Científ...

  1. Price-elastic demand in deregulated electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Siddiqui, Afzal S.

    2003-05-01

    The degree to which any deregulated market functions efficiently often depends on the ability of market agents to respond quickly to fluctuating conditions. Many restructured electricity markets, however, experience high prices caused by supply shortages and little demand-side response. We examine the implications for market operations when a risk-averse retailer's end-use consumers are allowed to perceive real-time variations in the electricity spot price. Using a market-equilibrium model, we find that price elasticity both increases the retailers revenue risk exposure and decreases the spot price. Since the latter induces the retailer to reduce forward electricity purchases, while the former has the opposite effect, the overall impact of price responsive demand on the relative magnitudes of its risk exposure and end-user price elasticity. Nevertheless, price elasticity decreases cumulative electricity consumption. By extending the analysis to allow for early settlement of demand, we find that forward stage end-user price responsiveness decreases the electricity forward price relative to the case with price-elastic demand only in real time. Moreover, we find that only if forward stage end-user demand is price elastic will the equilibrium electricity forward price be reduced.

  2. The Impacts of Inflation Dynamics and Global Financial Crises on Stock Market Returns and Volatility: Evidence from Nigeria

    OpenAIRE

    C.G Amaefula; B.K. Asare

    2014-01-01

    The paper investigates the impacts of inflation dynamics and global financial crises on Stock market returns and volatility in Nigeria.The data sets on monthly All Shares Index Prices of NSE, and consumers’ price index (CPI) cover the period of January, 1985 to December, 2010. The GARCH (1, 1) model with multivariate regressors were adopted and the result shows that in the conditional mean equation; inflation exerts insignificant positive impact on stock market returns, inflation volatility e...

  3. Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis

    OpenAIRE

    Marie D. Racine; Lucy F. Ackert

    1998-01-01

    We use a multivariate generalized autoregressive heteroskedasticity model (M-GARCH) to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, Standard and Poor's 500, and Toronto 35. The North American context is significant because markets in Canada and the United States share similar structures and regulatory environments. Our model allows examination of dependence in volatility as it captures time variation in volatility and cross-market inf...

  4. The Nordic electricity market and how it can be improved

    Energy Technology Data Exchange (ETDEWEB)

    Togeby, M.

    2012-05-15

    The Nordic electricity market is acknowledged worldwide as being successful. However, the market is not perfect. In this report we emphasise the consumer perspective of the electricity market - it seems clear that further development is required here. Challenges to the Nordic electricity market include: 1) Efficient involvement of the consumer in the market and consumer trust in the market. 2) Efficient integration of large scale renewable energy - e.g. 15,000 MW wind power in 2020. 3) Limited competition in peak load situations, in situations with little hydro availability and in situations with congestions in the transmission system. This analysis recommends three areas as focus points for future market development: 4) Ways to radically increase the volume of demand response. 5) Ways to improve the system of default suppliers. 6) Ways to improve the regulation of distribution companies. The issues related to these three focus points differ from country to country, but the overarching issues are relevant in all market areas. (Author)

  5. Economic Assessment of Hydrogen Technologies Participating in California Electricity Markets

    Energy Technology Data Exchange (ETDEWEB)

    Eichman, Joshua [National Renewable Energy Lab. (NREL), Golden, CO (United States); Townsend, Aaron [National Renewable Energy Lab. (NREL), Golden, CO (United States); Melaina, Marc [National Renewable Energy Lab. (NREL), Golden, CO (United States)

    2016-02-19

    As the electric sector evolves and increasing amounts of variable renewable generation are installed on the system, there are greater needs for system flexibility and sufficient capacity, and greater concern for overgeneration from renewable sources not well matched in time with electric loads. Hydrogen systems have the potential to support the grid in each of these areas. However, limited information is available about the economic competitiveness of hydrogen system configurations. This paper quantifies the value for hydrogen energy storage and demand response systems to participate in select California wholesale electricity markets using 2012 data. For hydrogen systems and conventional storage systems (e.g., pumped hydro, batteries), the yearly revenues from energy, ancillary service, and capacity markets are compared to the yearly cost to establish economic competitiveness. Hydrogen systems can present a positive value proposition for current markets. Three main findings include: (1) For hydrogen systems participating in California electricity markets, producing and selling hydrogen was found to be much more valuable than producing and storing hydrogen to later produce electricity; therefore systems should focus on producing and selling hydrogen and opportunistically providing ancillary services and arbitrage. (2) Tighter integration with electricity markets generates greater revenues (i.e., systems that participate in multiple markets receive the highest revenue). (3) More storage capacity, in excess of what is required to provide diurnal shifting, does not increase competitiveness in current California wholesale energy markets. As more variable renewable generation is installed, the importance of long duration storage may become apparent in the energy price or through additional markets, but currently, there is not a sufficiently large price differential between days to generate enough revenue to offset the cost of additional storage. Future work will involve

  6. Capacity investment and competition in decentralized electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Fehr, Nils-Henrik von der; Harbord, David Cameron

    1997-11-01

    With particular reference to the recently deregulated and market-based electricity industries in Norway, the UK and elsewhere the report analyses oligopoly entry and capacity investment decisions as a non-cooperative game in a decentralized electricity market. A two-stage game is considered, with multiple capacity types and uncertain demand, in which capacity decisions are made prior to spot-market, or price competition. Equilibrium outcomes for different pricing mechanisms or regulatory regimes are analysed. The following questions are dealt with in particular: Will industry capacity be sufficient to ensure adequate supply security? Does imperfect competition in the spot-market lead to an inefficient mix of base-load and peak-load technologies? How do different regulatory policies affect the market outcomes? 24 refs., 2 figs., 1 tab.

  7. Market integration of wind power in electricity system balancing

    DEFF Research Database (Denmark)

    Sorknæs, Peter; Andersen, Anders N.; Tang, Jens

    2013-01-01

    In most countries markets for electricity are divided into wholesale markets on which electricity is traded before the operation hour, and real-time balancing markets to handle the deviations from the wholesale trading. So far, wind power has been sold only on the wholesale market and has been...... known to increase the need for balancing. This article analyses whether wind turbines in the future should participate in the balancing markets and thereby play a proactive role. The analysis is based on a real-life test of proactive participation of a wind farm in West Denmark. It is found...... that the wind farm is able to play a proactive role regarding downward regulation and thereby increase profits....

  8. Electric retail market options: The customer perspective

    Energy Technology Data Exchange (ETDEWEB)

    Hadley, S.W.; Hillsman, E.L.

    1995-07-01

    This report describes various options that are now available for retail electric customers, or that may become available during the next few years as the electric utility industry restructures. These options include different ways of meeting demand for energy services, different providers of service or points of contact with providers, and different pricing structures for purchased services. Purpose of this document is to examine these options from the customer`s perspective: how might being a retail electric customer in 5--10 years differ from now? Seizing opportunities to reduce cost of electric service is likely to entail working with different service providers; thus, transaction costs are involved. Some of the options considered are speculative. Some transitional options include relocation, customer-built/operated transmission lines, municipalization, self-generation, and long-term contracts with suppliers. All these may change or diminish in a restructured industry. Brokers seem likely to become more common unless restructuring takes the form of mandatory poolcos (wholesale). Some options appear robust, ie, they are likely to become more common regardless of how restructuring is accomplished: increased competition among energy carriers (gas vs electric), real-time pricing, etc. This report identified some of the qualitative differences among the various options. For customers using large amounts of electricity, different alternatives are likely to affect greatly service price, transaction costs, tailoring service to customer preferences, and risks for customer. For retail customers using small amounts of electricity, there may be little difference among the options except service price.

  9. Market Incentive Index for Studying Equilibrium Between Vertically Linked Oligopolistic Electricity and Fuel Markets

    Institute of Scientific and Technical Information of China (English)

    YongLU; DeqiangGAN; DiWU; JohnNJIANG

    2015-01-01

    A new index,called the market incentive index is proposed for studying the equilibrium between fuel and electricity markets.Firstly,a game theoretic model with a monopolistic upstream fuel market and an oligopolistic downstream electricity market is introduced.It is a simple model that can represent strategic interactions between the two vertically linked markets.Secondly,the market equilibrium is studied for deriving out the index,in which interaction relationships between the two markets are explained analytically with three lemmas and demonstrated with numerical examples.Based on the three preceding lemmas,the market equilibrium is further studied by the index.The study shows that,even for the very complicated interactions between fuel producers and electricity producers,some insights on the market equilibrium can be developed with the index.The index-based method can be used as a very intuitionistic way to study the impact of fuel price on the market equilibrium.Thus,it is a new useful method for analysis of strategic behaviors in the equilibrium.

  10. How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?

    Directory of Open Access Journals (Sweden)

    Faten Ben Slimane

    2013-08-01

    Full Text Available The spread of the global financial crisis of 2008/2009 was rapid, and impacted the functioning and the performance of financial markets. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behavior and interdependence through the study of the intraday volatility transmission. This paper investigates the patterns of linkage dynamics among three European stock markets—France, Germany, and the UK—during the global financial crisis, by analyzing the intraday dynamics of linkages among these markets during both calm and turmoil phases. We apply a VAR-EGARCH (Vector Autoregressive Exponential General Autoregressive Conditional Heteroscedasticity framework to high frequency five-minute intraday returns on selected representative stock indices. We find evidence that interrelationship among European markets increased substantially during the period of crisis, pointing to an amplification of spillovers. In addition, during this period, French and UK markets herded around German market, possibly explained by behavior factors influencing the stock markets on or near dates of extreme events. Germany was identified as the hub of financial and economic activity in Europe during the period of study. These findings have important implications for both policymakers and investors by contributing to better understanding the transmission of financial shocks in Europe.

  11. Sufficient Flexibility and Capacity in Electricity Markets with Renewables: A Review of Innovative Market Mechanisms

    DEFF Research Database (Denmark)

    Sekamane, Jonas Khubute; Katz, Jonas; Skytte, Klaus

    2017-01-01

    This review of the literature collects innovative market mechanisms that tend to get overlooked in the discussion of whether unassisted energy-only markets can ensure sufficient capacity or if capacity remuneration mechanisms are required. The paper complements existing literature reviews and pin...... and pinpoints advantageous research areas relating to the market design of electricity systems with high shares of variable renewable energy......This review of the literature collects innovative market mechanisms that tend to get overlooked in the discussion of whether unassisted energy-only markets can ensure sufficient capacity or if capacity remuneration mechanisms are required. The paper complements existing literature reviews...

  12. 75 FR 38514 - Application to Export Electric Energy; Brookfield Energy Marketing LP

    Science.gov (United States)

    2010-07-02

    ... Application to Export Electric Energy; Brookfield Energy Marketing LP AGENCY: Office of Electricity Delivery and Energy Reliability, DOE. ACTION: Notice of application. SUMMARY: Brookfield Energy Marketing LP... power marketing agencies and other entities within the United States. The existing...

  13. U.S. Electricity Grid & Markets

    Science.gov (United States)

    Renewable Energy Certificates (RECs), are tradable, non-tangible energy commodities in the United States that represent proof that 1 megawatt-hour (MWh) of electricity was generated from an eligible renewable energy resource.

  14. The Volatility of Indonesia Shari’ah Capital Market Stock Price Toward Macro Economics Variable

    Directory of Open Access Journals (Sweden)

    Helma Malini

    2014-08-01

    Full Text Available Shari’ah stock market is also affected by many highly interrelated economic, social, political andother factor, same as the conventional stock market, the interaction between macroeconomic variablesand Shari’ah stock market creating volatility in the stock price as a response towards severalshocks. The sensitivity of Shari’ah stock market towards shocks happened related with the futureexpectation of micro and macro factor in one country which can be predict or unpredictable.There are six macroeconomic variables that used in this research; inflation, exchange rate, interestrate, dow jones index, crude oil palm price, and FED rate. Using vector error correction model(VECM, the result shows that domestic macroeconomic variables that significantly affect IndonesiaShari’ah compliance for long term, while for international macroeconomic variables the selectedvariable such as FED rate and Dow Jones Index are not significantly affected Indonesia Shari’ahcompliance both in short term and long term. Keywords: Indonesia Shari’ah compliance, Macro Economic Indicators, Impulse Response Function,Stock Price Volatility

  15. Market incompleteness in regional electricity transmission. Part I: the forward market

    OpenAIRE

    Smeers, Yves

    2002-01-01

    The paper analyses various proposals for the organization of regional electricity transmission in terms of the market incompleteness that they may implicitly assume. Elementary notions of variational inequalities constitute the analytical tool used throughout the paper. The discussion is conducted with reference to the flowgate debate in the US and European proposals for the organization of cross border electricity trade. This first part of the paper discusses market incompleteness in the ...

  16. State policy change: Revenue decoupling in the electricity market

    Science.gov (United States)

    McNeil, Kytson L.

    The study seeks to answer the question, why are states adopting revenue decoupling in the electricity market, by investigating the relationship between policy adoption and attributes of the electricity market, the structure of the state utility commissions, and the political climate of the state. The study examines the period 1978-2008. Two econometric models, the marginal risk set model and the conditional risk set model, are estimated to predict the influence of covariates on the probability of the state adopting revenue decoupling in the electricity market. The models are both variants of the Cox proportional hazard model and use different underlying assumptions about the nature of adoption of revenue decoupling and when the states are considered to be at risk of adoption. Results suggest that market attributes, such as the source of electricity generation in the state, state energy intensity, and the distribution of non-public and public utilities, significantly influence the adoption of the policy. Also, the method of selecting commissioners and the party affiliation of elected officials in the state are important factors. The study concludes by suggestions to improve the implementation and evaluation of revenue decoupling in the electricity markets.

  17. Spread, volatility, and volume relationship in financial markets and market making profit optimization

    OpenAIRE

    Sarkissian, Jack

    2016-01-01

    We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve price accuracy and reduce spread, but after some point additional liquidity begins to deteriorate price. The model allows to connect the bid-ask spread and high-low bars to measurable microstructural parameters and express their dependence on trading volume, v...

  18. Enabling demand response by extending the European electricity markets with a real-time market

    NARCIS (Netherlands)

    Nyeng, P.; Kok, K.; Pineda, S.; Grande, O.; Sprooten, J.; Hebb, B.; Nieuwenhout, F.

    2013-01-01

    The EcoGrid concept proposes to extend the current wholesale electricity market to allow participation of Distributed Energy Resources (DERs) and domestic end-consumers in system balancing. Taking advantage of the smart grid technology, the EcoGrid market publishes the real-time prices that entail a

  19. Electricity spot price forecasting in free power market

    Energy Technology Data Exchange (ETDEWEB)

    Lilleberg, J.; Laitinen, E.K. [Vaasa Univ. (Finland)

    1998-08-01

    Deregulation has brought many changes to the electricity market. Freedom of choice has been granted to both the consumers and the utilities. Consumers may choose the seller of their energy. Utilities have a wider array of sources to acquire their electricity from. Also the types of sales contracts used are changing to fill the needs of this new situation. The consumers` right to choose has introduced a new risk uncertainty of volume, which was not true during the times of monopoly. As sold volume is unsure and the energy is not sold on same terms as it is bought, a price risk has to be dealt with also. The electric utility has to realize this, select a risk level that suits its business strategy and optimize its actions according to the selected risk level. The number of participants will grow as the electricity market integrates into a common market for Scandinavia and even Europe. Big customers are also taking a more active role in the market, further increasing the number of participants. This makes old bilateral arrangements outdated. New tools are needed to control the new business environment. The goal of this project has been to develop a theoretical model to predict the price in the Finnish electricity exchange, El-Ex Oy. An extensive literature review was conducted in order to (1) examine the solutions in deregulation of electricity markets in other countries, esp. in Norway and UK, (2) find similarities and differences in electricity exchange and exchanges generally and (3) find major sources of problems and inefficiency in the market

  20. Sweeping changes at Hydro-Quebec : the new electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Carpentier, J-M.

    2001-10-01

    Recent changes in the organization and policies of Hydro-Quebec, which could place the utility giant in front and centre of a possible North American energy common market, are discussed. In this context, the discussion covers the development of the La Grange hydroelectric development in the 1970s and 1980s, the subsequent signing of long-term export contracts with large power grids in the United States, and the more recent developments in opening up of electricity markets. Some implications of these changes, such as the marketing of electricity on electronic stock exchanges at prices that move in step with supply and demand (spot pricing), the establishment of separate generating, transmission and distribution divisions, and the introduction of new operating procedures designed to satisfy the new rules of reciprocity between liberalized electricity markets, are also described. As part of this new set of marketing tools Hydro-Quebec is planning to construct a $185-million power line between Connecticut and Long Island through its subsidiary, TransEnergy US, to boost transmission capacity, which will be allocated by secondary transmission rights. These rights can be sold and traded in financial markets, the first such undertaking in the United States. Unlimited access to US markets for Hydro-Quebec will be also facilitated by Bill 116, enacted by the Quebec Legislature in June 2000, which will give US utilities access to the Quebec wholesale market. These, and other changes of similar magnitude will radically change the energy supply landscape and open up the electricity market in the province to the outside world more than ever in the past. 5 photos.

  1. Optimal Operation of Electric Vehicles in Competitive Electricity Markets and Its Impact on Distribution Power Systems

    DEFF Research Database (Denmark)

    Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

    2011-01-01

    operation strategy for a Plug-In Electric Vehicle (PEV) in relation to the hourly electricity price in order to achieve minimum energy costs of the PEV. The western Danish power system, which is currently the grid area in the world that has the largest share of wind power in its generation profiles and may...... represent the future of electricity markets in some ways, is chosen as the studied power system in this paper. The impact of the optimal operation strategy for electric vehicles together with the optimal load response to spot market price on the distribution power system with high wind power penetrations......Since the hourly spot market price is available one day ahead in Denmark, the electricity price could be transferred to the consumers and they may make some optimal charge and discharge schedules for their electric vehicles in order to minimize their energy costs. This paper presents an optimal...

  2. Optimal Operation of Electric Vehicles in Competitive Electricity Markets and Its Impact on Distribution Power Systems

    DEFF Research Database (Denmark)

    Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

    2011-01-01

    Since the hourly spot market price is available one day ahead in Denmark, the electricity price could be transferred to the consumers and they may make some optimal charge and discharge schedules for their electric vehicles in order to minimize their energy costs. This paper presents an optimal...... operation strategy for a Plug-In Electric Vehicle (PEV) in relation to the hourly electricity price in order to achieve minimum energy costs of the PEV. The western Danish power system, which is currently the grid area in the world that has the largest share of wind power in its generation profiles and may...... represent the future of electricity markets in some ways, is chosen as the studied power system in this paper. The impact of the optimal operation strategy for electric vehicles together with the optimal load response to spot market price on the distribution power system with high wind power penetrations...

  3. Using Laboratory Experiments to Design Efficient Market Institutions: The case of wholesale electricity markets

    OpenAIRE

    Staropoli, Carine; Jullien, Celine

    2006-01-01

    International audience; This paper assesses the contribution of laboratory experiments to the economics of design applied to the electricity industry. The analysis is dedicated to wholesale markets, and reviews the results accumulated to date concerning both the general architecture of power markets and the very details of the market rules or institution, that is the auction rule. We argue that these experimental results contribute to a better understanding of the performances properties and ...

  4. Are volatility correlations in financial markets related to Omori processes occurring on all scales?

    CERN Document Server

    Weber, P; Stanley, H E; Vodenska-Chitkushev, I; Wang, F; Havlin, Shlomo; Vodenska-Chitkushev, Irena; Wang, Fengzhong; Weber, Philipp

    2006-01-01

    We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period is characterized by the Omori law, which describes the decay in the rate of aftershocks of a given size with time t by a power law with exponent close to 1. A shock followed by such a power law decay in the rate is here called Omori process. Studying several aftercrash time series, we show that the Omori law holds not only after significant market crashes, but also after ``intermediate shocks''. Moreover, we find self-similar features in the volatility. Specifically, within the aftercrash period there are smaller shocks that themselves constitute Omori processes on smaller scales, similar to the Omori process after the large crash. We call these smaller shocks subcrashes, which are followed by their own aftershocks. We also find similar Omori processes after intermediate cra...

  5. Climate change: impacts on electricity markets in Western Europe.

    Science.gov (United States)

    Golombek, Rolf; Kittelsen, Sverre A C; Haddeland, Ingjerd

    This paper studies some impacts of climate change on electricity markets, focusing on three climate effects. First, demand for electricity is affected because of changes in the temperature. Second, changes in precipitation and temperature have impact on supply of hydro electric production through a shift in the inflow of water. Third, plant efficiency for thermal generation will decrease because the temperature of water used to cool equipment increases. To find the magnitude of these partial effects, as well as the overall effects, on Western European energy markets, we use the multi-market equilibrium model LIBEMOD. We find that each of the three partial effects changes the average electricity producer price by less than 2%, while the net effect is an increase of only 1%. The partial effects on total electricity supply are small, and the net effect is a decrease of 4%. The greatest effects are found for Nordic countries with a large market share for reservoir hydro. In these countries, annual production of electricity increases by 8%, reflecting more inflow of water, while net exports doubles. In addition, because of lower inflow in summer and higher in winter, the reservoir filling needed to transfer water from summer to winter is drastically reduced in the Nordic countries.

  6. Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie

    We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to r...

  7. Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie

    We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to r...

  8. Electricity Market Optimization of Heat Pump Portfolio

    DEFF Research Database (Denmark)

    Biegel, Benjamin; Andersen, Palle; Pedersen, Tom S.

    2013-01-01

    We consider a portfolio of domestic heat pumps controlled by an aggregator. The aggregator is able to adjust the consumption of the heat pumps without affecting the comfort in the houses and uses this ability to shift the main consumption to hours with low electricity prices. Further, the aggrega......We consider a portfolio of domestic heat pumps controlled by an aggregator. The aggregator is able to adjust the consumption of the heat pumps without affecting the comfort in the houses and uses this ability to shift the main consumption to hours with low electricity prices. Further...

  9. Operation, Investment and Hedging in Electricity Markets

    DEFF Research Database (Denmark)

    Ernstsen, Rune Ramsdal

    in the payoff distribution. In Chapter 3 we consider an investment problem for a strategic investor and a social planner with the opportunity to invest in inflexible and flexible generation. We study the impact of market power and conjectured market changes with a simple price model based on linear demand...... inflexible generation more than flexible generation due to the exposure to potential low prices. In Chapter 4 we study the valuation of three representative generation types, an inflexible wind turbine, a flexible gas fired power plant and a hydroelectric plant that allows for storage. We account...... costs for the gas fired power plant determine the startup and shutdown triggers as well as the value of the plant by maximizing the value of shutting down. This is done analytically in the diffusion models and numerically in the jump diffusion model. For the hydroelectric power plant we relax storage...

  10. Electric vehicle integration in a real-time market

    DEFF Research Database (Denmark)

    Pedersen, Anders Bro; Østergaard, Jacob; Poulsen, Bjarne

    ” are needed at the device level. In order for this market to work, however, the proper ICTnetwork- and server-infrastructure has to be developed. The primary goal of this PhD project, has been to investigate the scope of this ICT infrastructure, required to realise price-signal based charging of electric......This project is rooted in the EDISON project, which dealt with Electrical Vehicle (EV) integration into the existing power grid, as well as with the infrastructure needed to facilitate the ever increasing penetration of fluctuating renewable energy resources like e.g. wind turbines. In the EDISON...... the distributed energy resources registered with it, in order to make them appear as a single producer in the eyes of the market. Although the concept of a VPP is used within the EcoGrid EU project, the idea of more individual control is introduced through a new proposed real-time electricity market, where...

  11. Competition in electricity spot markets. Economic theory and international experience

    Energy Technology Data Exchange (ETDEWEB)

    Fehr, Nils-Henrik von der; Harbord, David

    1998-09-01

    This publication gives a survey of economic theory and international experience connected to electricity spot markets. The main purpose is to consider the attempts that have been made to apply economic theory and empirical methods to the analysis of electricity markets, and to evaluate them in light of theoretical considerations and empirical evidence. The publication describes in simple terms the basic pool pricing mechanism, and experience with pools in a number of countries. It is worth emphasizing that it is not the purpose to treat in extensive detail the structure of electricity pools around the world. Key factors of the markets in England and Wales, Norway and Australia are described in order to allow for a comparison of design issues and evaluation of competitive performance. 80 refs., 14 figs., 15 tabs.

  12. Analysis of the impact of imbalance settlement design on market behaviour in electricity balancing markets

    NARCIS (Netherlands)

    Van der Veen, R.A.C.; Abbasy, A.; Hakvoort, R.A.

    2010-01-01

    The imbalance settlement design is the part of an electricity balancing market design that stimulates so-called Balance Responsible Parties (BRPs) to balance their electricity production and consumption portfolio and to stick to their energy schedules by penalizing any deviations from these schedule

  13. Misconceptions of Electric Propulsion Aircraft and Their Emergent Aviation Markets

    Science.gov (United States)

    Moore, Mark D.; Fredericks, Bill

    2014-01-01

    Over the past several years there have been aircraft conceptual design and system studies that have reached conflicting conclusions relating to the feasibility of full and hybrid electric aircraft. Some studies and propulsion discipline experts have claimed that battery technologies will need to improve by 10 to 20 times before electric aircraft can effectively compete with reciprocating or turbine engines. However, such studies have approached comparative assessments without understanding the compelling differences that electric propulsion offers, how these technologies will fundamentally alter the way propulsion integration is approached, or how these new technologies can not only compete but far exceed existing propulsion solutions in many ways at battery specific energy densities of only 400 watt hours per kilogram. Electric propulsion characteristics offer the opportunity to achieve 4 to 8 time improvements in energy costs with dramatically lower total operating costs, while dramatically improving efficiency, community noise, propulsion system reliability and safety through redundancy, as well as life cycle Green House Gas emissions. Integration of electric propulsion will involve far greater degrees of distribution than existing propulsion solutions due to their compact and scale-free nature to achieve multi-disciplinary coupling and synergistic integration with the aerodynamics, highlift system, acoustics, vehicle control, balance, and aeroelasticity. Appropriate metrics of comparison and differences in analysis/design tools are discussed while comparing electric propulsion to other disruptive technologies. For several initial applications, battery energy density is already sufficient for competitive products, and for many additional markets energy densities will likely be adequate within the next 7 years for vibrant introduction. Market evolution and early adopter markets are discussed, along with the investment areas that will fill technology gaps and

  14. Models for electricity market efficiency and bidding strategy analysis

    Science.gov (United States)

    Niu, Hui

    This dissertation studies models for the analysis of market efficiency and bidding behaviors of market participants in electricity markets. Simulation models are developed to estimate how transmission and operational constraints affect the competitive benchmark and market prices based on submitted bids. This research contributes to the literature in three aspects. First, transmission and operational constraints, which have been neglected in most empirical literature, are considered in the competitive benchmark estimation model. Second, the effects of operational and transmission constraints on market prices are estimated through two models based on the submitted bids of market participants. Third, these models are applied to analyze the efficiency of the Electric Reliability Council Of Texas (ERCOT) real-time energy market by simulating its operations for the time period from January 2002 to April 2003. The characteristics and available information for the ERCOT market are considered. In electricity markets, electric firms compete through both spot market bidding and bilateral contract trading. A linear asymmetric supply function equilibrium (SFE) model with transmission constraints is proposed in this dissertation to analyze the bidding strategies with forward contracts. The research contributes to the literature in several aspects. First, we combine forward contracts, transmission constraints, and multi-period strategy (an obligation for firms to bid consistently over an extended time horizon such as a day or an hour) into the linear asymmetric supply function equilibrium framework. As an ex-ante model, it can provide qualitative insights into firms' behaviors. Second, the bidding strategies related to Transmission Congestion Rights (TCRs) are discussed by interpreting TCRs as linear combination of forwards. Third, the model is a general one in the sense that there is no limitation on the number of firms and scale of the transmission network, which can have

  15. Energy Market Transparency: Analyzing the Impacts of Constraint Relaxation and Out-of-Market Correction Practices in Electric Energy Markets

    Science.gov (United States)

    Al-Abdullah, Yousef Mohammad

    This work presents research on practices in the day-ahead electric energy market, including replication practices and reliability coordinators used by some market operators to demonstrate the impact these practices have on market outcomes. The practice of constraint relaxations similar to those an Independent System Operator (ISO) might perform in day-ahead market models is implemented. The benefits of these practices are well understood by the industry; however, the implications these practices have on market outcomes and system security have not been thoroughly investigated. By solving a day-ahead market model with and without select constraint relaxations and comparing the resulting market outcomes and possible effects on system security, the effect of these constraint relaxation practices is demonstrated. Proposed market solutions are often infeasible because constraint relaxation practices and approximations that are incorporated into market models. Therefore, the dispatch solution must be corrected to ensure its feasibility. The practice of correcting the proposed dispatch solution after the market is solved is known as out-of-market corrections (OMCs), defined as any action an operator takes that modifies a proposed day-ahead dispatch solution to ensure operating and reliability requirements. The way in which OMCs affect market outcomes is illustrated through the use of different corrective procedures. The objective of the work presented is to demonstrate the implications of these industry practices and assess the impact these practices have on market outcomes.

  16. Volatility forecasting and value-at-risk estimation in emerging markets: the case of the stock market index portfolio in South Africa

    Directory of Open Access Journals (Sweden)

    Lumengo Bonga-Bonga

    2011-04-01

    Full Text Available Accurate modelling of volatility is important as it relates to the forecasting of Value-at-Risk (VaR. The RiskMetrics model to forecast volatility is the benchmark in the financial sector. In an important regulatory innovation, the Basel Committee has proposed the use of an internal method for modelling VaR instead of the strict use of the benchmark model. The aim of this paper is to evaluate the performance of RiskMetrics in comparison to other models of volatility forecasting, such as some family classes of the Generalised Auto Regressive Conditional Heteroscedasticity models, in forecasting the VaR in emerging markets. This paper makes use of the stock market index portfolio, the All-Share Index, as a case study to evaluate the market risk in emerging markets. The paper underlines the importance of asymmetric behaviour for VaR forecasting in emerging markets’ economies.

  17. Optimal contracts for wind power producers in electricity markets

    KAUST Repository

    Bitar, E.

    2010-12-01

    This paper is focused on optimal contracts for an independent wind power producer in conventional electricity markets. Starting with a simple model of the uncertainty in the production of power from a wind turbine farm and a model for the electric energy market, we derive analytical expressions for optimal contract size and corresponding expected optimal profit. We also address problems involving overproduction penalties, cost of reserves, and utility of additional sensor information. We obtain analytical expressions for marginal profits from investing in local generation and energy storage. ©2010 IEEE.

  18. Incentive-based demand response programs designed by asset-light retail electricity providers for the day-ahead market

    DEFF Research Database (Denmark)

    Fotouhi Ghazvini, Mohammad Ali; Faria, Pedro; Ramos, Sergio

    2015-01-01

    spikes, volatile loads and the potential for market power exertion by GENCO (generation companies). A REP can manage the market risks by employing the DR (demand response) programs and using its' generation and storage assets at the distribution network to serve the customers. The proposed model suggests...... how a REP with light physical assets, such as DG (distributed generation) units and ESS (energy storage systems), can survive in a competitive retail market. The paper discusses the effective risk management strategies for the REPs to deal with the uncertainties of the DAM (day-ahead market) and how...... to hedge the financial losses in the market. A two-stage stochastic programming problem is formulated. It aims to establish the financial incentive-based DR programs and the optimal dispatch of the DG units and ESSs. The uncertainty of the forecasted day-ahead load demand and electricity price is also...

  19. Basic Studies on Chaotic Characteristics of Electric Power Market Price

    Science.gov (United States)

    Takeuchi, Yuya; Miyauchi, Hajime; Kita, Toshihiro

    Recently, deregulation and reform of electric power utilities have been progressing in many parts of the world. In Japan, partial deregulation has been started from generation sector since 1995 and partial deregulation of retail sector is executed through twice law revisions. Through the deregulation, because electric power is traded in the market and its price is always fluctuated, it is important for the electric power business to analyze and predict the price. Although the price data of the electric power market is time series data, it is not always proper to analyze by the linear model such as ARMA because the price sometimes changes suddenly. Therefore, in this paper, we apply the methods of chaotic time series analysis, one of non-linear analysis methods, and investigate the chaotic characteristics of the system price of JEPX.

  20. Pricing of American Put Option under a Jump Diffusion Process with Stochastic Volatility in an Incomplete Market

    Directory of Open Access Journals (Sweden)

    Shuang Li

    2014-01-01

    Full Text Available We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym derivative for the minimal martingale measure and consequently a linear complementarity problem (LCP for American option price. An iterative method is then established to solve the LCP problem for American put option price. Our numerical results show that the model and numerical scheme are robust in capturing the feature of incomplete finance market, particularly the influence of market volatility on the price of American options.

  1. Opportunities for Price Manipulation by Aggregators in Electricity Markets

    CERN Document Server

    Ruhi, Navid Azizan; Chen, Niangjun; Wierman, Adam

    2016-01-01

    Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and regulate, raising concerns about potential market manipulation by aggregators. In this paper, we study this issue by quantifying the profit an aggregator can obtain through strategic curtailment of generation in an electricity market. We show that, while the problem of maximizing the benefit from curtailment is hard in general, efficient algorithms exist when the topology of the network is radial (acyclic). Further, we highlight that significant increases in profit are possible via strategic curtailment in practical settings.

  2. Designing an Incentive Contract Menu for Sustaining the Electricity Market

    OpenAIRE

    Ying Yu; Tongdan Jin; Chunjie Zhong

    2015-01-01

    This paper designs an incentive contract menu to achieve long-term stability for electricity prices in a day-ahead electricity market. A bi-level Stackelberg game model is proposed to search for the optimal incentive mechanism under a one-leader and multi-followers gaming framework. A multi-agent simulation platform was developed to investigate the effectiveness of the incentive mechanism using an independent system operator (ISO) and multiple power generating companies (GenCos). Further, a Q...

  3. Are households better off in liberalized electricity markets

    DEFF Research Database (Denmark)

    Olsen, Ole Jess; Johnsen, Tor Arnt; Pakkanen, Merja

    and Swedish households are actively using the new market opportunities whereas Danish and Finnish have been much more passive. The experience with respect to regulation and prices is mixed. In none of the countries have important public values been sacrificed as a consequence of liberalization....... wholesale market. Norway was first (1991), then came Finland and Sweden (1996) and Denmark was last (2000). Together with the UK the Nordic countries are now considered the avantgarde with respect to implementation of the European electricity market directives. The purpose of liberalization is to increase...... to small customers. Do Nordic households actively use the new options for switching supplier and choosing a market contract that fits their preferences? How has liberalization influenced their supply costs? This is a question of market prices as well as of charges for using the distribution...

  4. Are households better off in liberalized electricity markets

    DEFF Research Database (Denmark)

    Olsen, Ole Jess; Johnsen, Tor Arnt; Pakkanen, Merja

    and Swedish households are actively using the new market opportunities whereas Danish and Finnish have been much more passive. The experience with respect to regulation and prices is mixed. In none of the countries have important public values been sacrificed as a consequence of liberalization....... wholesale market. Norway was first (1991), then came Finland and Sweden (1996) and Denmark was last (2000). Together with the UK the Nordic countries are now considered the avantgarde with respect to implementation of the European electricity market directives. The purpose of liberalization is to increase...... to small customers. Do Nordic households actively use the new options for switching supplier and choosing a market contract that fits their preferences? How has liberalization influenced their supply costs? This is a question of market prices as well as of charges for using the distribution...

  5. Model documentation: Electricity market module, electricity finance and pricing submodule

    Energy Technology Data Exchange (ETDEWEB)

    1994-04-07

    The purpose of this report is to define the objectives of the model, describe its basic approach, and provide detail on how it works. The EFP is a regulatory accounting model that projects electricity prices. The model first solves for revenue requirements by building up a rate base, calculating a return on rate base, and adding the allowed expenses. Average revenues (prices) are calculated based on assumptions regarding regulator lag and customer cost allocation methods. The model then solves for the internal cash flow and analyzes the need for external financing to meet necessary capital expenditures. Finally, the EFP builds up the financial statements. The EFP is used in conjunction with the National Energy Modeling System (NEMS). Inputs to the EFP include the forecast generating capacity expansion plans, operating costs, regulator environment, and financial data. The outputs include forecasts of income statements, balance sheets, revenue requirements, and electricity prices.

  6. PREDICTABLE AND PRICE VOLATILITY RISK IN THE BRAZILIAN MARKET INTEGRATION OF SHRIMP

    Directory of Open Access Journals (Sweden)

    Israel José dos Santos Felipe

    2015-12-01

    Full Text Available The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. It´s presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Society of General Warehouses of São Paulo (CEAGESP.The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of "One Step Ahead" with 12 periods horizon , proved to be statistically more robust. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread.

  7. Long-range dependence in returns and volatility of global gold market amid financial crises

    Science.gov (United States)

    Omane-Adjepong, Maurice; Boako, Gideon

    2017-04-01

    Using sampled historical daily gold market data from 07-03-1985 to 06-01-2015, and building on a related work by Bentes (2016), this paper examines the presence of long-range dependence (LRD) in the world's gold market returns and volatility, accounting for structural breaks. The sampled gold market data was divided into subsamples based on four global crises: the September 1992 collapse of the European Exchange Rate Mechanism (ERM), the Asian financial crisis of mid-1997, the Subprime meltdown of 2007, and the recent European sovereign debt crisis, which hit the world's market with varying effects. LRD test was carried-out on the full-sample and subsample periods using three semiparametric methods-before and after adjusting for structural breaks. The results show insignificant evidence of LRD in gold returns. However, very diminutive evidence is found for periods characterized by financial/economic shocks, with no significant detections for post-shock periods. Collectively, this is indicative that the gold market is less speculative, and hence could be somehow less risky for hedging and portfolio diversification.

  8. Market-oriented ethanol and corn-trade policies can reduce climate-induced US corn price volatility

    Science.gov (United States)

    Verma, Monika; Hertel, Thomas; Diffenbaugh, Noah

    2014-05-01

    Agriculture is closely affected by climate. Over the past decade, biofuels have emerged as another important factor shaping the agricultural sector. We ask whether the presence of the US ethanol sector can play a role in moderating increases in US corn price variability, projected to occur in response to near-term global warming. Our findings suggest that the answer to this question depends heavily on the underlying forces shaping the ethanol industry. If mandate-driven, there is little doubt that the presence of the corn-ethanol sector will exacerbate price volatility. However, if market-driven, then the emergence of the corn-ethanol sector can be a double-edged sword for corn price volatility, possibly cushioning the impact of increased climate driven supply volatility, but also inheriting volatility from the newly integrated energy markets via crude oil price fluctuations. We find that empirically the former effect dominates, reducing price volatility by 27%. In contrast, mandates on ethanol production increase future price volatility by 54% in under future climate after 2020. We also consider the potential for liberalized international corn trade to cushion corn price volatility in the US. Our results suggest that allowing corn to move freely internationally serves to reduce the impact of near-term climate change on US corn price volatility by 8%.

  9. Market power and price structure in the electricity market; Markedsmakt og prisstruktur i kraftmarkedet

    Energy Technology Data Exchange (ETDEWEB)

    Halseth, Arve

    1998-12-01

    This report evaluates the importance of market power on price formation and price structure in the Norwegian electricity market. A simple oligopoly model is used to show how the equilibrium is affected by demand, distribution of capacity between two major suppliers, and marginal production costs, given that the suppliers do not cooperate. Two important conclusions can be drawn from the calculations: (1) a high concentration on the supply side does not necessarily lead to essential market power, and (2) market power may contribute to increased stability and predictability. The main conclusion is that market power can be positive for society and it is not uniquely associated with a high concentration on the supply side. If emphasis is placed on stability and predictability, market power should not be defined as deviation from prices under free competition but rather should be related to the requirement that the suppliers should not obtain unreasonably high profit with unreasonably little utilization of capacity. 10 refs., 11 figs.

  10. Structure of the Skandinavian electricity market; Struktur des skandinavischen Elektrizitaetsmarktes

    Energy Technology Data Exchange (ETDEWEB)

    Schulz, E.; Baumann, R. [VDEW, Frankfurt am Main (Germany). Abteilung Energiewirtschaft, Energiepolitik und Internationale Angelegenheiten; Krieger, S. [VDEW, Frankfurt am Main (Germany). Abteilung Energiewirtschaft, Energiepolitik und Internationale Angelegenheiten]|[VDEW, Frankfurt am Main (Germany). Abteilung Recht

    1998-08-24

    In contrast to Continental Europe, Scandinavia has significant experience with deregulated electricity markets. A new energy law entered into force in Norway in 1991, in Finland in 1995 and in Sweden in 1996. Load measurement as well as market access to different supply levels is designed differently in these three countries. For network prices a stamp tariff applies. The Nordic Power Pool `Nord Pool` was founded at the beginning of 1996. Power trading, especially financial power trading is highly prevalent and its significance will continue to grow. Electricity companies are expanding their marketing departments at the expense of technical ones. Until now price has been a decisive element in a competitive electricity market. In the future other marketing tools will gain increasing significance. (orig.) [Deutsch] Skandinavien hat im Unterschied zu Kontinental-Europa nennenswerte Erfahrungen mit der Deregulierung von Elektrizitaetsmaerkten. Norwegen verabschiedete Anfang 1991 ein neues Energiegesetz, 1995 folgte Finnland, 1996 Schweden. Anfang 1996 wurde die nordische Stromboerse Nord Pool gegruendet. Die Bedeutung des Stromhandels, besonders des finanziellen Stromhandels, ist bereits jetzt hoch und waechst staendig weiter. Eindeutig ist festzustellen, dass der Marketingbereich zu Lasten anderer, besonders der technischen Bereiche, stark ausgebaut wird. (orig.)

  11. An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

    Directory of Open Access Journals (Sweden)

    Okičić Jasmina

    2015-04-01

    Full Text Available The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE, focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.

  12. An analysis of the South East Europe electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Majstrovic, G.; Tot, M. [Energy Inst. Hrvoje Pozar, Zagreb (Croatia); Medic, I. [Univ. of Split, Split (Croatia). Faculty of Electrical Engineering, Mechanical Engineering and Naval Architecture

    2006-07-01

    Until October 2004, the South East European (SEE) power system had never been connected in unified parallel operation. For the first time in history, all of continental Europe became a single synchronous electricity area with 450 million people in 22 countries. At the Union for the Co-ordination of Transmission of Electricity (UCTE), regional countries in the SEE agreed to create a stable common regulatory and market framework capable of attracting investment in gas networks, power generation and transmission networks, so that all countries would have access to the stable and continuous gas and electricity supply that is essential for economic development and social stability. This paper provided an overview of the electricity market in the SEE and discussed the advantages and disadvantages of the regional market. A brief description of each relevant country in the context of power issues was presented. It also provided some results of a long term generation and transmission development planning Geographic Information system study for the SEE region and analysed the influence on regional security of supply. In this regard, investment opportunities were identified. It was concluded that the main disadvantages in regional energy market establishing include differences in levels of economy; production and consumption structure; energy prices; purchasing power parity; energy sector organization; transmission bottlenecks; power plant aging, low efficiency and problems in environmental protection. The main advantages should cover lower total development expense and system operation as well as higher supply security. 4 tabs., 3 figs., 8 refs.

  13. 76 FR 10492 - Credit Reforms in Organized Wholesale Electric Markets

    Science.gov (United States)

    2011-02-25

    ..., reasonable, and not unduly discriminatory or preferential. The management of risk and credit requires a... Energy Regulatory Commission 18 CFR Part 35 Credit Reforms in Organized Wholesale Electric Markets AGENCY... on rehearing, the Commission reaffirms in part its determinations in Credit Reforms in...

  14. User-Aware Electricity Price Optimization for the Competitive Market

    Directory of Open Access Journals (Sweden)

    Allegra De Filippo

    2017-09-01

    Full Text Available Demand response mechanisms and load control in the electricity market represent an important area of research at the international level: the trend towards competition and market liberalization has led to the development of methodologies and tools to support energy providers. Demand side management helps energy suppliers to reduce the peak demand and remodel load profiles. This work is intended to support energy suppliers and policy makers in developing strategies to act on the behavior of energy consumers, with the aim to make a more efficient use of energy. We develop a non-linear optimization model for the dynamics of the electricity market, which can be used to obtain tariff recommendations or for setting the goals of a sensibilization campaign. The model comes in two variants: a stochastic version, designed for residential electricity consumption, and a deterministic version, suitable for large electricity users (e.g., public buildings, industrial users. We have tested our model on data from the Italian energy market and performed an extensive analysis of different scenarios. We also tested the optimization model in a real setting in the context of the FP7 DAREED project (http://www.dareed.eu/, where the model has been employed to provide tariff recommendations or to help the identification of goals for local policies.

  15. The Future of Centrally-Organized Wholesale Electricity Markets

    Energy Technology Data Exchange (ETDEWEB)

    Glazer, Craig [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Morrison, Jay [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Breakman, Paul [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Clements, Allison [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Schwartz, Lisa [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2017-06-21

    The electricity grid in the United States is organized around a network of large, centralized power plants and high voltage transmission lines that transport electricity, sometimes over large distances, before it is delivered to the customer through a local distribution grid. This network of centralized generation and high voltage transmission lines is called the “bulk power system.” Costs relating to bulk power generation typically account for more than half of a customer’s electric bill.1 For this reason, the structure and functioning of wholesale electricity markets have major impacts on costs and economic value for consumers, as well as energy security and national security. Diverse arrangements for bulk power wholesale markets have evolved over the last several decades. The Southeast and Western United States outside of California have a “bilateral-based” bulk power system where market participants enter into long-term bilateral agreements — using competitive procurements through power marketers, direct arrangements among utilities or with other generation owners, and auctions and exchanges.

  16. Information Uncertainty in Electricity Markets: Introducing Probabilistic Offers

    DEFF Research Database (Denmark)

    Papakonstantinou, Athanasios; Pinson, Pierre

    2016-01-01

    We propose a shift from the current paradigm of electricity markets treating stochastic producers similarly to conventional ones in terms of their offers. We argue that the producers’ offers should be probabilistic to reflect the limited predictability of renewable energy generation, while we...

  17. Testing for long memory in volatility in the Indian Forex market

    Directory of Open Access Journals (Sweden)

    Kumar Anoop S.

    2014-01-01

    Full Text Available This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013. In the first part of the analysis the presence of long-term dependence is confirmed in the return series as well as in two measures of unconditional volatility (absolute returns and squared returns by employing three measures of long memory. Next, the presence of long memory in conditional volatility is tested using ARMA-FIGARCH and ARMA-FIAPARCH models under various distributional assumptions. The results confirm the presence of long memory in conditional variance for two models. In the last part, the presence of long memory in conditional mean and conditional variance is verified using ARFIMA-FIGARCH and ARFIMA-FIAPARCH models. It is also found that long-memory models fare well compared to short-memory models in sample forecast performance.

  18. Independent Electricity Market Operator integration management participant technical reference manual

    Energy Technology Data Exchange (ETDEWEB)

    Anon.

    1999-11-15

    The document provides potential participants with the essential technical information to permit them to participate in the IMO-administered markets, and is not intended to be a complete technical reference manual for all issues within the realm of electricity production, distribution, or consumption. Written for the participants, it provides only that information which is relevant to the participant for interfacing with the IMO and participating in the market. Written as a generic guide, all the information contained within it may not be relevant to all the participants. The document's intent is to provide participants with a description of the various facilities and interfaces required by market participants to take part in the IMO-administered markets. The document supplements the market rules and provides installation, set-up, and configuration information for the various tools and facilities that will be required for market participation as a supplier, carrier/delivery (transmitter/distributer), generator, or consumer in the market. Aspects considered include: participant workstation specifications, dispatch workstation specification, message exchange, remote terminal unit specification, AGC operational RTU specification, real time network connection specification, telephone connection specification, revenue administration specification, funds administration specification, data catalogues, market information, power grid connection requirements, and appendices.

  19. The Relationship Between Electricity Price and Wind Power Generation in Danish Electricity Markets

    DEFF Research Database (Denmark)

    Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

    2010-01-01

    The western Danish power system is currently the grid area in the world that has the largest share of wind power in its generation profiles, with more than 20% of its annual consumption generated by wind turbines. In this paper, the western Danish power system, which may represent the future...... of competitive electricity markets in some ways, is chosen as the studied power system. The relationship between the electricity price (both the spot price and the regulation price) and the wind power generation in an electricity market is investigated in this paper. The spot price, the down regulation price...

  20. Generation adequacy and transmission interconnection in regional electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Cepeda, Mauricio [EDF R and D Division and LARSEN, 27 Avenue Lombart, 92260 Fontenay-aux-Roses (France); Saguan, Marcelo [University of Paris XI-GRJM Group, 27 Avenue Lombart, 92260 Fontenay-aux-Roses (France); Finon, Dominique [CIRED and CNRS, 45 bis avenue de La Belle Gabrielle, 94736 Nogent sur Marne-cedex (France); Pignon, Virginie [EDF R and D Division, 2 avenue du General de Gaulle, 92127 Clamart-cedex (France)

    2009-12-15

    The power system capacity adequacy has public good features that cannot be entirely solved by electricity markets. Regulatory intervention is then necessary and established methods have been used to assess adequacy and help regulators to fix this market failure. In regional electricity markets, transmission interconnections play an important role in contributing to adequacy. However, the adequacy problem and related policy are typically considered at a national level. This paper presents a simple model to study how the interconnection capacity interacts with generation adequacy. First results indicate that increasing interconnection capacity between systems improves adequacy up to a certain level; further increases do not procure additional adequacy improvements. Furthermore, besides adequacy improvement, increasing transmission capacity under asymmetric adequacy criteria or national system characteristics could create several concerns about externalities. These results imply that regional coordination of national adequacy policies is essential to internalise adequacy of cross-border effects. (author)

  1. Essays on carbon abatement and electricity markets

    Science.gov (United States)

    Taber, John Timothy

    In the first chapter of this dissertation, I study the effects of a number of policies which affect the electric grid using the SuperOPF, a full AC optimization/simulation framework with optimal investment developed at Cornell University. A 36-node model of the Northeast Power Coordinating Council is used to test policies that aim to reduce CO2, other emissions, or otherwise impact the operation of the electric grid: a base case, with no new environmental legislation; enactment of the Kerry-Lieberman CO2 allowance proposal in 2012; following Fukishima, a retirement of all US nuclear plants by 2022 with and without Kerry-Lieberman; marginal damages from SO2 and NOX emissions charged to coal, gas and oil-fired generation; plug-in hybrid electric vehicle load filling; wind incentives in place; and two cases which combine these. The cases suggest that alternative policies may have very different outcomes in terms of electricity prices, emissions, and health outcomes. In all cases, however, the optimal strategy for future investment is investment in new natural gas combined cycle plants. Policies can change how much new generation is built, whether other plants are built, or what types of plants are retired. The second chapter of my dissertation utilizes the SuperOPF and the model of the Northeast Power Coordinating Council to analyze the issue of carbon leakage. I analyze the effects of a regionally-limited carbon cap and trade program, the Regional Greenhouse Initiative (RGGI), when additional generating assets in non-affected states are included in the analysis. In the face of different carbon prices on generating assets in covered and non-covered states, generation is expected to shift from states bound by RGGI to states outside of RGGI. This carbon leakage may undermine some or all of the benefits of RGGI while simultaneously increasing prices for customers in the area. Even though carbon prices under RGGI are very low, some leakage is occurring, and this leakage

  2. Electricity market equilibrium model with resource constraint and transmission congestion

    Energy Technology Data Exchange (ETDEWEB)

    Gao, F. [ABB, Inc., Santa Clara, CA 95050 (United States); Sheble, G.B. [Portland State University, Portland, OR 97207 (United States)

    2010-01-15

    Electricity market equilibrium model not only helps Independent System Operator/Regulator analyze market performance and market power, but also provides Market Participants the ability to build optimal bidding strategies based on Microeconomics analysis. Supply Function Equilibrium (SFE) is attractive compared to traditional models and many efforts have been made on it before. However, most past research focused on a single-period, single-market model and did not address the fact that GENCOs hold a portfolio of assets in both electricity and fuel markets. This paper first identifies a proper SFE model, which can be applied to a multiple-period situation. Then the paper develops the equilibrium condition using discrete time optimal control considering fuel resource constraints. Finally, the paper discusses the issues of multiple equilibria caused by transmission network and shows that a transmission constrained equilibrium may exist, however the shadow price may not be zero. Additionally, an advantage from the proposed model for merchant transmission planning is discussed. (author)

  3. Multi-agent simulation of competitive electricity markets: Autonomous systems cooperation for European market modeling

    DEFF Research Database (Denmark)

    Santos, Gabriel; Pinto, Tiago; Morais, Hugo

    2015-01-01

    , respecting to the reality of different countries. This integration is done through the development of an upper ontology which integrates the essential concepts necessary to interpret all the available information. The continuous development of Multi-Agent System for Competitive Electricity Markets platform......The electricity market restructuring, and its worldwide evolution into regional and even continental scales, along with the increasing necessity for an adequate integration of renewable energy sources, is resulting in a rising complexity in power systems operation. Several power system simulators...... have been developed in recent years with the purpose of helping operators, regulators, and involved players to understand and deal with this complex and constantly changing environment. The main contribution of this paper is given by the integration of several electricity market and power system models...

  4. Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence

    Directory of Open Access Journals (Sweden)

    Radosław Kurach

    2013-06-01

    Full Text Available The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM in its international context (ICAPM using the monthly equity returns for 26 countries (18 developed and 8 emerging markets between July 1996 and June 2011 and adopting the US investor’s perspective. We verify the beta-return trade-off employing two approaches: the unconditional trade-off and the conditional relationship. In this latter case, we find the country beta to be a significant variable explaining the cross-country variation of returns. Next, we test the degree of market integration in the light of the ICAPM. The results of this test indicate that country-idiosyncratic risks are generally not priced. In the subsidiary outcomes of our verification procedure, we argue that country betas are time-varying and that currently, global factors are the dominant source of equity market volatility. Consequently, the opinion regarding emerging market assets and their role in global portfolio management should be reconsidered. The results of the entire study may provide essential implications for fund managers because the decreasing international diversification gains have been identified.

  5. Risk assessment and stock market volatility in the Eurozone: 1986-2014

    Science.gov (United States)

    Menezes, Rui; Oliveira, Álvaro

    2015-04-01

    This paper studies the stock market return's volatility in the Eurozone as an input for evaluating the market risk. Stock market returns are endogenously determined by long-term interest rate changes and so is the return's conditional variance. The conditional variance is the time-dependent variance of the underlying variable. In other words, it is the variance of the returns measured at each moment t, so it changes through time depending on the specific market structure at each time observation. Thus, a multivariate EGARCH model is proposed to capture the complex nature of this network. By network, in this context, we mean the chain of stock exchanges that co-move and interact in such a way that a shock in one of them propagates up to the other ones (contagion). Previous studies provide evidence that the Eurozone stock exchanges are deeply integrated. The results indicate that asymmetry and leverage effects exist along with fat tails and endogeneity. In-sample and out-of-sample forecasting tests provide clear evidence that the multivariate EGARCH model performs better than the univariate counterpart to predict the behavior of returns both before and after the 2008 crisis.

  6. The future of stationary electricity storages - niche market or multi-billion Euro business?; Stationaere Stromspeicher - zukuenftiger Nischenmarkt oder Milliardengeschaeft?

    Energy Technology Data Exchange (ETDEWEB)

    Gatzen, Christoph [Frontier Economics Ltd., Koeln (Germany); Riechmann, Christoph [Frontier Economics Ltd, London (United Kingdom)

    2011-03-15

    The transformation process from conventional electricity production to a sustainable power generation system based on renewable energy confronts market protagonists and lawmakers with huge technical and economic challenges. The rapid proliferation of wind power and photovoltaic plants in particular will raise electricity price volatility and require large investments in the expansion of transmission and distribution networks. It will also place high demands on the flexibility of the remaining electricity network, which will have to smoothen both the long and short-term fluctuations in supply from wind and photovoltaic energy. In view of the growing signs of delay in network expansion, the political leadership has taken to welcoming electricity storages as the ultimate solution to numerous challenges, as we read for example in the Energy Concept of the German Federal Government. While there may be reason for optimism, it is equally right to critically question the role that electricity storages might realistically play in the future given the need for reasonable price levels.

  7. Impact of Derivative Trading On Stock Market Volatility in India: A Study of S&P CNX Nifty

    Directory of Open Access Journals (Sweden)

    Ruchika GAHLOT

    2010-11-01

    Full Text Available The Purpose of the study is to examine the impact of derivative trading on stock market volatility. The sample data consist of closing prices of S&P CNX Nifty as well as closing prices of five derivative stocks and five non derivative stocks from April 1, 2002 to March 31, 2005. The study uses GARCH model to capture nature of volatility over time and volatility clustering phenomenon of data. The evidences suggest that there is no significant change in the volatility of S &P CNX Nifty, but the structure of volatility has changed to some extent. However, results show mixed effect in case of 10 individual stocks. These results can assist investors in making investment decision. It also helps to identify need for regulation.

  8. Mid-Term Electricity Market Clearing Price Forecasting with Sparse Data: A Case in Newly-Reformed Yunnan Electricity Market

    Directory of Open Access Journals (Sweden)

    Chuntian Cheng

    2016-10-01

    Full Text Available For the power systems, for which few data are available for mid-term electricity market clearing price (MCP forecasting at the early stage of market reform, a novel grey prediction model (defined as interval GM(0, N model is proposed in this paper. Over the traditional GM(0, N model, three major improvements of the proposed model are: (i the lower and upper bounds are firstly identified to give an interval estimation of the forecasting value; (ii a novel whitenization method is then established to determine the definite forecasting value from the forecasting interval; and (iii the model parameters are identified by an improved particle swarm optimization (PSO instead of the least square method (LSM for the limitation of LSM. Finally, a newly-reformed electricity market in Yunnan province of China is studied, and input variables are contrapuntally selected. The accuracy of the proposed model is validated by observed data. Compared with the multiple linear regression (MLR model, the traditional GM(0, N model and the artificial neural network (ANN model, the proposed model gives a better performance and its superiority is further ensured by the use of the modified Diebold–Mariano (MDM test, suggesting that it is suitable for mid-term electricity MCP forecasting in a data-sparse electricity market.

  9. Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach

    Directory of Open Access Journals (Sweden)

    Dahiru A. Bala

    2017-03-01

    Full Text Available This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs using multivariate-GARCH (MGARCH models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009 on stock market volatility interactions and modify the BEKK-MGARCH-type models by including financial crisis dummies to assess their impact on volatilities and spillovers. Major findings reveal that correlations among emerging markets (EMs are lower compared with correlations among DMs and increase during financial crises. Furthermore, we detect evidence of volatility spillovers and observe that own-volatility spillovers are higher than cross-volatility spillovers for EMs suggesting that shocks have not been substantially transmitted among EMs compared to DMs. We also find significant asymmetric behaviour in DMs while weak evidence is detected for EMs. Finally, the DCC-with-skewed-t density model provided improved diagnostics compared to other models partly due to its taking into account fat tails and skewed features often present in financial returns.

  10. Dynamic Interaction between Cap & Trade and Electricity Markets

    Science.gov (United States)

    Jeev, Kumar

    Greenhouse Gases (GHG), such as Carbon-Dioxide (CO2), which is released in the atmosphere due to anthropogenic activities like power production, are now accepted as the main culprits for global warming. The Regional Greenhouse Gas Initiative (RGGI), an initiative of the North East and Mid-Atlantic States of the United States (US) for limiting the emission of GHG, has developed a regional cap-and-trade program for CO2 emissions for power plants. Existing cap-and-trade programs in US and Europe for Greenhouse Gases have recently been plagued by over-allocation. Carbon prices recently collapsed in all these markets during the global recession. Since then, there have been significant policy changes, which have resulted in the adoption of aggressive emission cap targets by most major carbon emission markets. This is expected to make carbon emissions availability more restrictive, raising the prices of these credits. These emissions markets are expected to have a major impact on the wholesale electricity markets. Two models to study the interaction of these two markets are presented. These models assess the impact of the emissions market on wholesale electricity prices. The first model characterizes the competition between two types of power plants (coal and gas) in both the electricity and emissions markets as a dynamic game using the Cournot approximation. Under this approximation, we find that in the Nash equilibrium the plants increase their permit allocation to high-demand periods and the marginal value of each credit for a plant is identical in all periods under their optimal equilibrium strategy. The second numerical model allows us to explicitly evaluate the closed loop equilibrium of the dynamic interaction of two competitors in these markets. We find that plants often try to corner the market and push prices all the way to the price cap. Power plants derive most of their profits from these extreme price regimes. In the experiments where trading is allowed

  11. A long-term risk management tool for electricity markets using swarm intelligence

    Energy Technology Data Exchange (ETDEWEB)

    Azevedo, F.; Vale, Z.A.; Khodr, H.M. [GECAD - Knowledge Engineering and Decision-Support Research Center of the Polytechnic Institute of Porto (ISEP/IPP), Rua Dr. Antonio Bernardino de Almeida 431, 4200-072 Porto (Portugal); Oliveira, P.B. Moura [University of Tras-os-Montes e Alto Douro, Vila Real (Portugal)

    2010-04-15

    This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn. (author)

  12. Analyses of demand response in Denmark[Electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Moeller Andersen, F.; Grenaa Jensen, S.; Larsen, Helge V.; Meibom, P.; Ravn, H.; Skytte, K.; Togeby, M.

    2006-10-15

    Due to characteristics of the power system, costs of producing electricity vary considerably over short time intervals. Yet, many consumers do not experience corresponding variations in the price they pay for consuming electricity. The topic of this report is: are consumers willing and able to respond to short-term variations in electricity prices, and if so, what is the social benefit of consumers doing so? Taking Denmark and the Nord Pool market as a case, the report focuses on what is known as short-term consumer flexibility or demand response in the electricity market. With focus on market efficiency, efficient allocation of resources and security of supply, the report describes demand response from a micro-economic perspective and provides empirical observations and case studies. The report aims at evaluating benefits from demand response. However, only elements contributing to an overall value are presented. In addition, the analyses are limited to benefits for society, and costs of obtaining demand response are not considered. (au)

  13. Analyses of demand response in Denmark[Electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Moeller Andersen, F.; Grenaa Jensen, S.; Larsen, Helge V.; Meibom, P.; Ravn, H.; Skytte, K.; Togeby, M.

    2006-10-15

    Due to characteristics of the power system, costs of producing electricity vary considerably over short time intervals. Yet, many consumers do not experience corresponding variations in the price they pay for consuming electricity. The topic of this report is: are consumers willing and able to respond to short-term variations in electricity prices, and if so, what is the social benefit of consumers doing so? Taking Denmark and the Nord Pool market as a case, the report focuses on what is known as short-term consumer flexibility or demand response in the electricity market. With focus on market efficiency, efficient allocation of resources and security of supply, the report describes demand response from a micro-economic perspective and provides empirical observations and case studies. The report aims at evaluating benefits from demand response. However, only elements contributing to an overall value are presented. In addition, the analyses are limited to benefits for society, and costs of obtaining demand response are not considered. (au)

  14. Competitive electricity markets, prices and generator entry and exit

    Science.gov (United States)

    Ethier, Robert George

    The electric power industry in the United States is quickly being deregulated and restructured. In the past, new electric generation capacity was added by regulated utilities to meet forecasted demand levels and maintain reserve margins. With competitive wholesale generation, investment will be the responsibility of independent private investors. Electricity prices will assume the coordinating function which has until recently been the responsibility of regulatory agencies. Competitive prices will provide the entry and exit signals for generators in the future. Competitive electricity markets have a distinctive price formation process, and thus require a specialized price model. A mean-reverting price process with stochastic jumps is proposed as an appropriate long-run price process for annual electricity prices. This price process is used to develop an analytic real options model for private investment decisions. The required recursive infinite series solutions have not been widely used for real option models. Entry thresholds and asset values for competitive wholesale electricity markets, and exit decisions for plants with significant retirement costs (i.e. nuclear power plants), are examined. The proposed model results in significantly lower trigger prices for both entry and exit decisions, and higher asset values, when compared with other standard models. The model is used to show that the incentives for retiring a nuclear plant are very sensitive to the treatment of decommissioning costs (e.g. if plant owners do not face full decommissioning costs, retirement decisions may be economically premature.) An econometric model of short-run price behavior is estimated by the method of maximum likelihood using daily electricity prices from markets in the USA and Australia. The model specifies two mean reverting price processes with stochastic Markov switching between the regimes, which allows discontinuous jumps in electricity prices. Econometric tests show that a two

  15. An Economic Evalution of Demand-side Energy Storage Systems by using a Multi-agent based Electricity Market

    Science.gov (United States)

    Furusawa, Ken; Sugihara, Hideharu; Tsuji, Kiichiro

    Opened wholesale electric power market in April 2005, deregulation of electric power industry in Japan has faced a new competitive environment. In the new environment, Independent Power Producer (: IPP), Power Producer and Supplier (: PPS), Load Service Entity (: LSE) and electric utility can trade electric energy through both bilateral contracts and single-price auction at the electricity market. In general, the market clearing price (: MCP) is largely changed by amount of total load demand in the market. The influence may cause price spike, and consequently the volatility of MCP will make LSEs and their customers to face a risk of revenue and cost. DSM is attracted as a means of load leveling, and has effect on decreasing MCP at peak load period. Introducing Energy Storage systems (: ES) is one of DSM in order to change demand profile at customer-side. In case that customers decrease their own demand at jumped MCP, a bidding strategy of generating companies may be changed their strategy. As a result, MCP is changed through such complex mechanism. In this paper the authors evaluate MCP by multi-agent. It is considered that customer-side ES has an effect on MCP fluctuation. Through numerical examples, this paper evaluates the influence on MCP by controlling customer-side ES corresponding to variation of MCP.

  16. Optimal Bidding Strategies for Wind Power Producers in the Day-ahead Electricity Market

    Directory of Open Access Journals (Sweden)

    Xiaolin Liu

    2012-11-01

    Full Text Available Wind Power Producers (WPPs seek to maximize profit and minimize the imbalance costs when bidding into the day-ahead market, but uncertainties in the hourly available wind and forecasting errors make the bidding risky. This paper assumes that hourly wind power output given by the forecast follows a normal distribution, and proposes three different bidding strategies, i.e., the expected profit-maximization strategy (EPS, the chance-constrained programming-based strategy (CPS and the multi-objective bidding strategy (ECPS. Analytical solutions under the three strategies are obtained. Comparisons among the three strategies are conducted on a hypothetical wind farm which follows the Spanish market rules. Results show that bid under the EPS is highly dependent on market clearing price, imbalance prices, and also the mean value and standard deviation of wind forecast, and that bid under the CPS is largely driven by risk parameters and the mean value and standard deviation of the wind forecast. The ECPS combining both EPS and CPS tends to choose a compromise bid. Furthermore, the ECPS can effectively control the tradeoff between expected profit and target profit for WPPs operating in volatile electricity markets.

  17. Stratum Electricity Markets: Toward Multi-temporal Distributed Risk Management for Sustainable Electricity Provision

    Science.gov (United States)

    Wu, Zhiyong (Richard)

    Motivated by the overall challenge of ensuring long-term sustainable electricity service, we view this challenge as a long-term decision making problem under uncertainties. We start by recognizing that, independent of the industry organization, the uncertainties are enormous and often exogenous to the energy service providers. They are multi-dimensional and are result of fundamental drivers, ranging from the supply side, through the demand side, to the regulatory and policy sides. The basic contribution of this thesis comes from the recognition that long-term investments for ensuring reliable and stable electricity service critically depend on how these uncertainties are perceived, valued and managed by the different stakeholders within the complex industry organization such as the electric power industry. We explain several reasons why price signals obtained from current short-term electricity markets alone are not sufficient enough for long-term sustainable provision. Some enhancements are presented in the thesis to improve the short-term electricity market price signals to reflect the true cost of operation. New market mechanisms and instruments are needed to facilitate the stakeholders to better deal with long-term risks. The problems of ensuring long-term stable reliable service in the sense of the traditional resource adequacy requirements are revisited in both the restructuring industry and regulated industry. We introduce a so-called Stratum Electricity Market (SEM) design as the basic market mechanism for solving the problem of long-term reliable electricity service through a series of interactive multi-lateral market exchange platforms for risks communication, management and evaluations over various time horizons and by the different groups of stakeholders. In other words, our proposed SEM is a basic IT-enabled framework for the decision making processes by various parties over different time. Because of the uniqueness of electricity as a commodity, the

  18. Fast Change Point Detection for Electricity Market Analysis

    Energy Technology Data Exchange (ETDEWEB)

    Berkeley, UC; Gu, William; Choi, Jaesik; Gu, Ming; Simon, Horst; Wu, Kesheng

    2013-08-25

    Electricity is a vital part of our daily life; therefore it is important to avoid irregularities such as the California Electricity Crisis of 2000 and 2001. In this work, we seek to predict anomalies using advanced machine learning algorithms. These algorithms are effective, but computationally expensive, especially if we plan to apply them on hourly electricity market data covering a number of years. To address this challenge, we significantly accelerate the computation of the Gaussian Process (GP) for time series data. In the context of a Change Point Detection (CPD) algorithm, we reduce its computational complexity from O($n^{5}$) to O($n^{2}$). Our efficient algorithm makes it possible to compute the Change Points using the hourly price data from the California Electricity Crisis. By comparing the detected Change Points with known events, we show that the Change Point Detection algorithm is indeed effective in detecting signals preceding major events.

  19. Bidding Strategy for Aggregators of Electric Vehicles in Day-Ahead Electricity Markets

    Directory of Open Access Journals (Sweden)

    Yunpeng Guo

    2017-01-01

    Full Text Available To make full use of the flexible charging and discharging capabilities of the growing number of electric vehicles (EVs, a bidding strategy for EV aggregators to participate in a day-ahead electricity energy market is proposed in this work. The proposed bidding strategy is able to reduce the operating cost of the EV aggregators and to handle the uncertainties of day-ahead market prices properly at the same time. Agreements between the EV owners and the aggregators are discussed, and a hierarchical market structure is proposed. While assuming the aggregators as economic rational entities, the bidding strategy is established based on the market prices, extra battery charging/discharging costs and the expected profits. The bidding clearing system will display the current/temporal market clearance results of the day-ahead market before the final clearance, and hence the market participants can revise their bids and mitigate the risks, to some extent, of forecasted market price forecast errors. Numerical results with a modified IEEE 30-bus system have demonstrated the feasibility and effectiveness of the proposed strategy.

  20. 75 FR 45111 - Electric Quarterly Reports; Strategic Energy Management Corp.; Solaro Energy Marketing...

    Science.gov (United States)

    2010-08-02

    ...] Electric Quarterly Reports; Strategic Energy Management Corp.; Solaro Energy Marketing Corporation; Notice... Order, the Commission directed Strategic Energy Management Corp. and Solaro Energy Marketing Corporation... Energy Management Corp. and Solaro Energy Marketing Corporation) have failed to file their...

  1. CONTEXT MATTERS: THE IMPORTANCE OF MARKET CHARACTERISTICS IN THE VOLATILITY OF FEEDSTOCK COSTS FOR BIOGAS PLANTS.

    Science.gov (United States)

    Mertens, A; Van Meensel, J; Mondelaers, K; Buysse, J

    2015-01-01

    Recently, biogas plant managers in Flanders face increased financial uncertainty. Between 2011 and 2012, 20% of the Flemish biogas plants went bankrupt. Difficulties in obtaining feedstock at stable and affordable prices is one reason why the biogas sector struggles. In literature, contracting is often proposed as a way to decrease the volatility of the feedstock costs. However, these studies generally do not consider the context in which the biogas plant manager needs to buy the feedstock. Yet, this context could be of specific importance when biogas plant managers are in competition with other users of the same biomass type. Silage maize is an example of such a feedstock, as it is both used by dairy farmers and biogas plant managers. Using a combination of qualitative research and agent-based modelling, we investigated the effect of specific characteristics of the silage maize market on the acquisition of local silage maize by biogas plant managers. This paper details the institutional arrangements of the silage maize market in Flanders and the results of a scenario analysis, simulating three different scenarios. As shown by the results, the time of entry into the market, as well as the different institutional arrangements used by the biogas plant managers as opposed to dairy farmers could explain the difficulties in obtaining a stable supply of local silage maize by biogas plants. Our findings can help to develop mitigation strategies addressing these difficulties.

  2. Staff Report to the Secretary on Electricity Markets and Reliability

    Energy Technology Data Exchange (ETDEWEB)

    None

    2017-08-01

    Energy Secretary Rick Perry issued a memo in April of 2017 requesting a study and directing his staff to develop a report to include an assessment of the reliability and resilience of the electric grid and an overview of the evolution of electricity markets. Various factors have emerged over the past 15 years which have impacted power supply and demand in different ways. This study, prepared by experts throughout the Department, contains a comprehensive analysis of these factors and the corresponding data, and presents a series of recommendations meant to inform and guide policy makers, regulators, and the general public. Potential areas for further research are also presented.

  3. Markets and policy measures in the evolution of electric mobility

    CERN Document Server

    Hülsmann, Michael

    2016-01-01

    This edited monograph collects theoretical, empirical and political contributions from different fields, focusing on the commercial launch of electric mobility, and intending to shed more light on the complexity of supply and demand. It is an ongoing discussion, both in the public as well as in academia, whether or not electric mobility is capable of gaining a considerable market share in the near future. The target audience primarily comprises researchers and practitioners in the field, but the book may also be beneficial for graduate students.

  4. Lithium Battery Power Delivers Electric Vehicles to Market

    Science.gov (United States)

    2008-01-01

    Hybrid Technologies Inc., a manufacturer and marketer of lithium-ion battery electric vehicles, based in Las Vegas, Nevada, and with research and manufacturing facilities in Mooresville, North Carolina, entered into a Space Act Agreement with Kennedy Space Center to determine the utility of lithium-powered fleet vehicles. NASA contributed engineering expertise for the car's advanced battery management system and tested a fleet of zero-emission vehicles on the Kennedy campus. Hybrid Technologies now offers a series of purpose-built lithium electric vehicles dubbed the LiV series, aimed at the urban and commuter environments.

  5. Post-neoliberal electricity market 're-reforms' in Argentina: Diverging from market prescriptions?

    Energy Technology Data Exchange (ETDEWEB)

    Haselip, James, E-mail: j.haselip@reading.ac.u [Department of Geography, School of Human and Environmental Sciences, University of Reading, Whiteknights, PO Box 227, Reading, Berkshire RG6 6AB (United Kingdom); Potter, Clive [Centre for Environmental Policy (CEP), Imperial College, Faculty of Natural Sciences, Imperial College London, South Kensington campus, London SW7 2AZ (United Kingdom)

    2010-02-15

    This paper focuses upon the policy and institutional change that has taken place within the Argentine electricity market since the country's economic and social crisis of 2001/2. As one of the first less developed countries (LDCs) to liberalise and privatise its electricity industry, Argentina has since moved away from the orthodox market model after consumer prices were frozen by the Government in early 2002 when the national currency was devalued by 70%. Although its reforms were widely praised during the 1990s, the electricity market has undergone a number of interventions, ostensibly to keep consumer prices low and to avert the much-discussed energy 'crisis' caused by a dearth of new investment combined with rising demand levels. This paper explores how the economic crisis and its consequences have both enabled and legitimised these policy and institutional amendments, while drawing upon the specifics of the post-neoliberal market 're-reforms' to consider the extent to which the Government appears to be moving away from market-based prescriptions. In addition, this paper contributes to sector-specific understandings of how, despite these changes, neoliberal ideas and assumptions continue to dominate Argentine public policy well beyond the postcrisis era.

  6. Post-neoliberal electricity market 're-reforms' in Argentina. Diverging from market prescriptions?

    Energy Technology Data Exchange (ETDEWEB)

    Haselip, James [Department of Geography, School of Human and Environmental Sciences, University of Reading, Whiteknights, PO Box 227, Reading, Berkshire RG6 6AB (United Kingdom); Potter, Clive [Centre for Environmental Policy (CEP), Imperial College, Faculty of Natural Sciences, Imperial College London, South Kensington campus, London SW7 2AZ (United Kingdom)

    2010-02-15

    This paper focuses upon the policy and institutional change that has taken place within the Argentine electricity market since the country's economic and social crisis of 2001/2. As one of the first less developed countries (LDCs) to liberalise and privatise its electricity industry, Argentina has since moved away from the orthodox market model after consumer prices were frozen by the Government in early 2002 when the national currency was devalued by 70%. Although its reforms were widely praised during the 1990s, the electricity market has undergone a number of interventions, ostensibly to keep consumer prices low and to avert the much-discussed energy 'crisis' caused by a dearth of new investment combined with rising demand levels. This paper explores how the economic crisis and its consequences have both enabled and legitimised these policy and institutional amendments, while drawing upon the specifics of the post-neoliberal market 're-reforms' to consider the extent to which the Government appears to be moving away from market-based prescriptions. In addition, this paper contributes to sector-specific understandings of how, despite these changes, neoliberal ideas and assumptions continue to dominate Argentine public policy well beyond the postcrisis era. (author)

  7. Electric-field triggered controlled release of bioactive volatiles from imine-based liquid crystalline phases.

    Science.gov (United States)

    Herrmann, Andreas; Giuseppone, Nicolas; Lehn, Jean-Marie

    2009-01-01

    Application of an electric field to liquid crystalline film forming imines with negative dielectric anisotropy, such as N-(4-methoxybenzylidene)-4-butylaniline (MBBA, 1), results in the expulsion of compounds that do not participate in the formation of the liquid crystalline phase. Furthermore, amines and aromatic aldehydes undergo component exchange with the imine by generating constitutional dynamic libraries. The strength of the electric field and the duration of its application to the liquid crystalline film influence the release rate of the expelled compounds and, at the same time, modulate the equilibration of the dynamic libraries. The controlled release of volatile organic molecules with different chemical functionalities from the film was quantified by dynamic headspace analysis. In all cases, higher headspace concentrations were detected in the presence of an electric field. These results point to the possibility of using imine-based liquid crystalline films to build devices for the controlled release of a broad variety of bioactive volatiles as a direct response to an external electric signal.

  8. A game theoretic model of the Northwestern European electricity market-market power and the environment

    NARCIS (Netherlands)

    Lise, W.; Linderhof, V.G.M.; Kuik, O.; Kemfert, C.; Ostling, R.; Heinzow, T.

    2006-01-01

    This paper develops a static computational game theoretic model. Illustrative results for the liberalising European electricity market are given to demonstrate the type of economic and environmental results that can be generated with the model. The model is empirically calibrated to eight

  9. A game theoretic model of the Northwestern European electricity market-market power and the environment

    NARCIS (Netherlands)

    Lise, W.; Linderhof, V.G.M.; Kuik, O.; Kemfert, C.; Ostling, R.; Heinzow, T.

    2006-01-01

    This paper develops a static computational game theoretic model. Illustrative results for the liberalising European electricity market are given to demonstrate the type of economic and environmental results that can be generated with the model. The model is empirically calibrated to eight Northweste

  10. 77 FR 11515 - Application to Export Electric Energy; NRG Power Marketing LLC

    Science.gov (United States)

    2012-02-27

    ... Application to Export Electric Energy; NRG Power Marketing LLC AGENCY: Office of Electricity Delivery and Energy Reliability, DOE. ] ACTION: Notice of application. SUMMARY: NRG Power Marketing LLC (NRGPML) has... would be surplus energy purchased from electric utilities and Federal power marketing agencies...

  11. The Swedish electricity market. From monopoly to competition

    Energy Technology Data Exchange (ETDEWEB)

    Lublin, Z.G.; Swartling, K.; Fritz, P.

    1992-12-31

    The possibilities to open the Swedish electricity market for competition have been investigated in a study commissioned by the government. The study is the first one to penetrate most aspects of the Swedish power market. However, the report does not give an actual program for the reformations. The main conclusion of the study is that the electric power transmission lines must be kept open for all producers, not only the owners. A possible system of rules for the operation of such open networks are presented in the report. The main transmission lines should be owned and operated by a government public utility to assure openess and impartiality. Several changes to Swedish law must be made to accomodate for the suggested new structures. The changes are reviewed in the report. (Original swedish language report indexed as database item 92-87352) (8 figs., 35 tabs.).

  12. 2008 Annual Report of SGCC on Electricity Market Transactions

    Institute of Scientific and Technical Information of China (English)

    Released by Electricity Transaction Center,State Grid Corporation of China; Zhang Sufang

    2009-01-01

    @@ Demand of electricity market Electricity market environment Domestic economy has maintained considerable rapid growth,but the growth rate slowed down continuously.In 2008,the global financial crisis increasingly affected the economy entities and the growth rate of domestic economy started to wane quarter by quarter.In the first quarter,the year-on-year growth of GDP was 10.6%,while in the first half of the year,it was 10.4%,and it was lessened to 9.9% if the first three quarters are taken into account.The economic growth throughout the whole year was 9.0%,dipping below double digits for the very first time in the past six years and dropped by 2.9% on year-on-year bases.

  13. Modeling and Analysis of Wholesale Competitive Electricity Markets: A Case For Zambia

    OpenAIRE

    E. Moyo,; B. R. Pokhrel

    2015-01-01

    Electricity markets all over the world are moving towards greater reliance on competition and this has become a global trend as a method of best practice. However, before competition is introduced in electricity markets it is imperative to model and assess the behavior of the market. The assessment includes calculating the market performance indices to determine the levels of market power exploitation by the Generating Companies (GenCos) that will participate in the market. This p...

  14. Reliability-based generation resource planning in electricity markets

    OpenAIRE

    Moghaddam, Maziar Mirhosseini; Javidi, Mohammad Hossein

    2014-01-01

    This paper proposes a reliability-based competitive generation resource planning model in electricity markets. The Monte Carlo simulation method is applied to consider random outages of generation units and transmission lines as well as load uncertainty. In order to determine the optimal plan for installation of candidate generating units, the decisions of generation companies (GenCos) and the independent system operators (ISOs) are investigated. The method is based on an iterative pro...

  15. Optimal control of an electric vehicle’s charging schedule under electricity markets

    DEFF Research Database (Denmark)

    Lan, Tian; Hu, Junjie; Kang, Qi

    2013-01-01

    As increasing numbers of electric vehicles (EVs) enter into the society, the charging behavior of EVs has got lots of attention due to its economical difference within the electricity market. The charging cost for EVs generally differ from each other in choosing the charging time interval (hourly......), since the hourly electricity prices are different in the market. In this paper, the problem is formulated into an optimal control one and solved by dynamic programming. Optimization aims to find the economically optimal charging solution for each vehicle. In this paper, a nonlinear battery model...... is characterized and presented, and a given future electricity prices is assumed and utilized. Simulation results indicate that daily charing cost is reduced by smart charing....

  16. Multi-agent simulation of generation expansion in electricity markets.

    Energy Technology Data Exchange (ETDEWEB)

    Botterud, A; Mahalik, M. R.; Veselka, T. D.; Ryu, H.-S.; Sohn, K.-W.; Decision and Information Sciences; Korea Power Exchange

    2007-06-01

    We present a new multi-agent model of generation expansion in electricity markets. The model simulates generation investment decisions of decentralized generating companies (GenCos) interacting in a complex, multidimensional environment. A probabilistic dispatch algorithm calculates prices and profits for new candidate units in different future states of the system. Uncertainties in future load, hydropower conditions, and competitors actions are represented in a scenario tree, and decision analysis is used to identify the optimal expansion decision for each individual GenCo. We test the model using real data for the Korea power system under different assumptions about market design, market concentration, and GenCo's assumed expectations about their competitors investment decisions.

  17. Hierarchical energy management mechanisms for an electricity market with microgrids

    Directory of Open Access Journals (Sweden)

    Hong-Tzer Yang

    2014-08-01

    Full Text Available This study addresses a micro-grid electricity market (MGEM with day-ahead (DA and real-time market mechanisms integrated. The bidding mechanisms for the market are described in this study, considering the generation cost of different distributed energy resources (DERs, like distributed generator, energy storage system and demand response. Including load and renewable generation forecasting systems and a fuzzy decision supporting system, a hierarchical micro-grid energy management system (MG-EMS is then proposed to ensure the benefits of involved micro-grid central controller, DER owners and customers. To verify the feasibility of the proposed system, the whole-year historical pricing and load data for New England independent system operator are employed. The numerical results show that the proposed MG-EMS is promising and effective for the operations of MGEM.

  18. Electricity market clearing with improved dispatch of stochastic production

    DEFF Research Database (Denmark)

    Morales González, Juan Miguel; Zugno, Marco; Pineda, Salvador;

    2014-01-01

    In this paper, we consider an electricity market that consists of a day-ahead and a balancing settlement, and includes a number of stochastic producers. We first introduce two reference procedures for scheduling and pricing energy in the day-ahead market: on the one hand, a conventional network......-constrained auction purely based on the least-cost merit order, where stochastic generation enters with its expected production and a low marginal cost; on the other, a counterfactual auction that also accounts for the projected balancing costs using stochastic programming. Although the stochastic clearing procedure...... attains higher market efficiency in expectation than the conventional day-ahead auction, it suffers from fundamental drawbacks with a view to its practical implementation. In particular, it requires flexible producers (those that make up for the lack or surplus of stochastic generation) to accept losses...

  19. Volatile organic compounds and trace metal level in some beers collected from Romanian market

    Science.gov (United States)

    Voica, Cezara; Kovacs, Melinda; Vadan, Marius

    2013-11-01

    Beer is one of the most popular beverages at worldwide level. Through this study fifteen different types of beer collected from Romanian market were analysed in order to evaluate their mineral, trace element as well the their organic content. Importance of such characterization of beer samples is supported by the fact that their chemical composition can affect both taste and stability of beer, as well the consumer health. Minerals and trace elements analysis were performed on ICP-MS while organic compounds analysis was done through GC-MS. Through ICP-MS analysis, elements as Ca, Na, K and Mg were evidenced at mgṡkg-1 order while elements as Cr, Ba, Co, Ni were detected at lower level. After GC-MS analysis the major volatile compounds that were detected belong to alcohols namely ethanol, propanol, isobutanol, isoamyl alcohol and linalool. Selected fatty acids and esters were evidenced also in the studied beer samples.

  20. A COMPARISON OF FORECASTING MODELS OF THE VOLATILITY IN SHENZHEN STOCK MARKET

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    Based on the weekly closing price of Shenzhen Integrated Index, this article studies the volatility of Shenzhen Stock Market using three different models: Logistic,AR(1) and AR(2). The time-variable parameters of Logistic regression model is estimated by using both the index smoothing method and the time-variable parameter estimation method. And both the AR(1) model and the AR(2) model of zero-mean series of the weekly closing price and its zero-mean series of volatility rate are established based on the analysis results of zero-mean series of the weekly closing price. Six common statistical methods for error prediction are used to test the predicting results. These methods are:mean error (ME), mean absolute error (MAE), root mean squared error (RMSE), mean absolute percentage error (MAPE), Akaike's information criterion (AIC), and Bayesian information criterion (BIC). The investigation shows that AR(1) model exhibits the best predicting result, whereas AR(2) model exhibits predicting results that is intermediate between AR(l) model and the Logistic regression model.

  1. Thermal energy storage for electricity-driven space heating in a day-ahead electricity market

    DEFF Research Database (Denmark)

    Pensini, Alessandro

    2012-01-01

    Thermal Energy Storage (TES) in a space heating (SH) application was investigated. The study aimed to determine the economic benefits of introducing TES into an electricity-driven SH system under a day-ahead electricity market. The performance of the TES was assessed by comparing the cost...... of electricity in a system with a TES unit to the case where no storage is in use and the entire heat requirement is fulfilled by purchasing electricity according to the actual load. The study had two goals: 1. Determining how the size – in terms of electricity input (Pmax) and energy capacity (Emax......) – of the TES unit influences the savings. For this purpose, a reference price signal was used. Results show that it is possible to save up to approximately 14% of the electricity costs. In general, savings increase with Pmax and Emax. However, the benefit of increasing these two values ceases when certain...

  2. Essays on microgrids, asymmetric pricing and market power in electricity markets

    Science.gov (United States)

    Lo Prete, Chiara

    This dissertation presents four studies of the electricity industry. The first and second essays use economic-engineering models to assess different aspects of microgrid penetration in regional electricity markets, while the last two studies contain empirical analyses aimed at evaluating the performance of wholesale electricity markets. Chapter 2 develops a framework to quantify economic, environmental, efficiency and reliability impacts of different power production scenarios in a regional system, focusing on the interaction of microgrids with the existing transmission and distribution grid. The setting is the regional network formed by Belgium, France, Germany and the Netherlands. The study presents simulations of power market outcomes under various policies and levels of microgrid penetration, and evaluates them using a diverse set of metrics. Chapter 3 studies the interaction between a microgrid and a regulated electric utility in a regional electricity market. I consider the interaction among the utility, the microgrid developer and consumers in the framework of cooperative game theory (assuming exchangeable utility), and use regional market models to simulate scenarios in which microgrid introduction may or may not be socially beneficial. Under the assumptions of this chapter, customer participation is essential to the development of socially beneficial microgrids, while the utility has little or no gain from it. Discussed incentives to avoid that utilities block microgrid entry include additional revenue drivers related to microgrid connection, decoupling and performance-based mechanisms targeted at service quality. When prices are below marginal costs of utility provided power, microgrid development may be socially beneficial, but unprofitable for microgrid customers and its developer. By imposing lower charges and higher remuneration for its services, the regulator could ensure that microgrid value is positive, without adversely impacting the utility

  3. Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets

    Science.gov (United States)

    Cao, Guangxi; Zhang, Minjia; Li, Qingchen

    2017-04-01

    This study focuses on multifractal detrended cross-correlation analysis of the different volatility intervals of Mainland China, US, and Hong Kong stock markets. A volatility-constrained multifractal detrended cross-correlation analysis (VC-MF-DCCA) method is proposed to study the volatility conductivity of Mainland China, US, and Hong Kong stock markets. Empirical results indicate that fluctuation may be related to important activities in real markets. The Hang Seng Index (HSI) stock market is more influential than the Shanghai Composite Index (SCI) stock market. Furthermore, the SCI stock market is more influential than the Dow Jones Industrial Average stock market. The conductivity between the HSI and SCI stock markets is the strongest. HSI was the most influential market in the large fluctuation interval of 1991 to 2014. The autoregressive fractionally integrated moving average method is used to verify the validity of VC-MF-DCCA. Results show that VC-MF-DCCA is effective.

  4. 75 FR 12737 - Applications To Export Electric Energy; Noble Energy Marketing and Trade Corp.

    Science.gov (United States)

    2010-03-17

    ... Applications To Export Electric Energy; Noble Energy Marketing and Trade Corp. AGENCY: Office of Electricity... applications, Noble Energy Marketing and Trade Corp. (NEMT) has applied for authority to transmit electric... electric energy from the United States to Mexico and from the United States to Canada as a power...

  5. 76 FR 19069 - Application to Export Electric Energy; Cargill Power Markets, LLC

    Science.gov (United States)

    2011-04-06

    ... Application to Export Electric Energy; Cargill Power Markets, LLC AGENCY: Office of Electricity Delivery and... applied to renew its authority to transmit electric energy from the United States to Canada pursuant to... authorized CPM to transmit electric energy from the United States to Canada as a power marketer for a...

  6. Tesla''s Strategic Analysis in Electric Vehicle Market

    Institute of Scientific and Technical Information of China (English)

    王菲

    2016-01-01

    With the advent of new energy era, automobile industry is undergoing a major change of the power transmission. Electric vehicle (EV) with its green technology overwhelms those gasolines combustion vehicles through emission control. As one category of EV, battery electric vehicle (BEV) access the mass market rapidly with its merit of zero emission and generous grants from government. Tesla Motors (Tesla) is an American automobile company, its primary sales revenue come from selling fully electric powered vehicles. This report aims to give an overall look on Tesla and explore its competitive strategies in response to different environments. Porter''s five forces analysis tool, SWOT, strategic group mapping and key financial ratios are used in this report.

  7. Market vs. policy failures. How governments affect electricity markets and what they should do

    Energy Technology Data Exchange (ETDEWEB)

    Jus, Darko

    2013-11-06

    This dissertation analyzes four key aspects related to the development of renewable energy. Firstly, in the presence of a climate change externality, a first-best allocation on the electricity market generally cannot be achieved with a renewable energy subsidy, thus highlighting its imperfectness in replacing a correct pricing of carbon dioxide emissions (Chapter 2). Secondly, supposing the existence of an emission trading system, this dissertation investigates the effects of additionally supporting renewable energy. Surprisingly, when considering a one-country model, the market participant who loses rents due to the introduction of a levy-financing subsidy scheme, such as the case of Germany, proves to be the fossil electricity producers rather than the electricity consumers (Chapter 3). Thirdly, considering a more realistic two-country framework, it becomes more likely that domestic electricity consumers have to accept a higher electricity price, while rents are shifted to foreign electricity consumers as a consequence of unilateral renewable energy support (Chapter 4). Fourthly, this dissertation studies reasons for employing technology-specific feed-in tariffs, and in contrast to usual intuition, finds them to be (static) efficiency improving when policy has committed to achieving a strong renewable energy target (Chapter 5).

  8. Demand Response in U.S. Electricity Markets: Empirical Evidence

    Energy Technology Data Exchange (ETDEWEB)

    Cappers, Peter; Goldman, Charles; Kathan, David

    2009-06-01

    Empirical evidence concerning demand response (DR) resources is needed in order to establish baseline conditions, develop standardized methods to assess DR availability and performance, and to build confidence among policymakers, utilities, system operators, and stakeholders that DR resources do offer a viable, cost-effective alternative to supply-side investments. This paper summarizes the existing contribution of DR resources in U.S. electric power markets. In 2008, customers enrolled in existing wholesale and retail DR programs were capable of providing ~;;38,000 MW of potential peak load reductions in the United States. Participants in organized wholesale market DR programs, though, have historically overestimated their likely performance during declared curtailments events, but appear to be getting better as they and their agents gain experience. In places with less developed organized wholesale market DR programs, utilities are learning how to create more flexible DR resources by adapting legacy load management programs to fit into existing wholesale market constructs. Overall, the development of open and organized wholesale markets coupled with direct policy support by the Federal Energy Regulatory Commission has facilitated new entry by curtailment service providers, which has likely expanded the demand response industry and led to product and service innovation.

  9. SVR-Boosting ensemble model for electricity price forecasting in electric power market

    Institute of Scientific and Technical Information of China (English)

    ZHOU Dian-min; GAO Lin; GUAN Xiao-hong; GAO Feng

    2008-01-01

    A revised support vector regression (SVR) ensemble model based on boosting algorithm (SVR-Boos-ting) is presented in this paper for electricity price forecasting in electric power market. In the light of charac-the forecasting model to inhibit the learning from abnormal data in electricity price sequence. The results from actual data indicate that, compared with the single support vector regression model, the proposed SVR-Boosting ensemble model is able to enhance the stability of the model output remarkably, acquire higher predicting accu-racy, and possess comparatively satisfactory generalization capability.

  10. Wholesale electricity markets in Europe; Mercados Mayoristas de Electricidad en Europa

    Energy Technology Data Exchange (ETDEWEB)

    Rios, J. L.

    2010-07-01

    Electricity Wholesale Markets provide efficient operation of power stations, facilitate hedging instruments for generators and retailers and deliver price signals for new investments. Despite having a common regulatory framework at European level whose last aim is a single electricity market, Wholesale markets have been unevenly developed in each Member State. The evolution form a spot-based market towards a forward-based market needs a certain level of liquidity, transparency and regulatory stability. Interconnections are the key element to promote the integration of electricity markets. To facilitate this, European Regional Initiatives have pushed regulatory harmonization between countries and market coupling projects. (Author)

  11. Performance of Batangas I Electric Cooperative, Inc. (BATELEC I) in the Wholesale Electricity Spot Market (WESM)

    National Research Council Canada - National Science Library

    Ma. Benilda C. Aquino – Dimaunahan

    2014-01-01

    ... I) in participation in the Wholesale Electricity Spot Market (WESM). BATELEC I obtained a high score based on the Key Performance Standard set by the National Electrification Administration for the year 2012. The employees and member-consumers assessed the institutional performance of BATELEC 1 as satisfactory.

  12. Market Evolution: Wholesale Electricity Market Design for 21st Century Power Systems

    Energy Technology Data Exchange (ETDEWEB)

    Cochran, Jaquelin [National Renewable Energy Lab. (NREL), Golden, CO (United States); Miller, Mackay [National Renewable Energy Lab. (NREL), Golden, CO (United States); Milligan, Michael [National Renewable Energy Lab. (NREL), Golden, CO (United States); Ela, Erik [National Renewable Energy Lab. (NREL), Golden, CO (United States); Arent, Douglas [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bloom, Aaron [National Renewable Energy Lab. (NREL), Golden, CO (United States); Futch, Matthew [IBM, Northcastle, NY (United States); Kiviluoma, Juha [VTT Technical Research Centre of Finland, Espo (Finland); Holtinnen, Hannele [VTT Technical Research Centre of Finland, Espo (Finland); Orths, Antje [Energinet.dk (Denmark); Gomez-Lazaro, Emilio [University of Castilla-La Mancha, Real (Spain); Martin-Martinez, Sergio [University of Castilla-La Mancha, Real (Spain); Kukoda, S. [International Copper Association, New York, NY (United States); Garcia, Glycon [International Copper Association, New York, NY (United States); Mikkelsen, Kim M. [Global Green Growth Inst., Seoul (Korea); Yongqiang, Zhao [China National Renewable Energy Center, Beijing (China); Sandholt, Kaare [China National Renewable Energy Center, Beijing (China)

    2013-10-01

    Demand for affordable, reliable, domestically sourced, and low-carbon electricity is on the rise. This growing demand is driven in part by evolving public policy priorities, especially reducing the health and environmental impacts of electricity service and expanding energy access to under-served customers. Consequently, variable renewable energy resources comprise an increasing share ofelectricity generation globally. At the same time, new opportunities for addressing the variability of renewables are being strengthened through advances in smart grids, communications, and technologies that enable dispatchable demand response and distributed generation to extend to the mass market. A key challenge of merging these opportunities is market design -- determining how to createincentives and compensate providers justly for attributes and performance that ensure a reliable and secure grid -- in a context that fully realizes the potential of a broad array of sources of flexibility in both the wholesale power and retail markets. This report reviews the suite of wholesale power market designs in use and under consideration to ensure adequacy, security, and flexibilityin a landscape of significant variable renewable energy. It also examines considerations needed to ensure that wholesale market designs are inclusive of emerging technologies, such as demand response, distributed generation, and storage.

  13. Electric two-wheelers in India and Viet Nam: Market analysis and environmental impacts

    Energy Technology Data Exchange (ETDEWEB)

    Cherry, C.; Luke Jones [Univ. of Tennessee, Knoxville, TN (United States)

    2009-07-01

    Electric two-wheelers, which include vehicles ranging from electric bicycles to electric scooters, are becoming increasingly popular and important forms of urban transport in Asian cities, particularly in the People's Republic of China (PRC). While electric two-wheelers' popularity is evident in the PRC, their acceptance and adoption in other Asian countries is much more modest. The potential environmental benefit to Asian cities of electric two-wheelers could be significant, especially if electric two-wheelers replaced gasoline scooters and motorcycles. Electric two-wheelers in the PRC have been shown to have some of the lowest emission rates per kilometer compared to any motorized mode. This report consists of three main analyses for two Asian cities, Ahmedabad, India, and Ha Noi, Viet Nam. The first is a market analysis of both cities, using disaggregate stated-preference choice modeling method derived from user surveys to estimate the factors that influence electric two-wheeler purchase. Factors tested include vehicle price and performance characteristics, as well as variables like tax and licensing policy. The second analysis investigates electric two-wheeler emission rates based on electricity generation characteristics in Viet Nam and India. These analyses were conducted using two aggregate models to estimate primary pollutants and carbon dioxide (CO{sub 2}). The final section of this report combines the market models with the emission estimates to develop scenarios of vehicle adoption and the influence of those varied adoption rates on average emissions of the two-wheeler population in each of these cities. Electric two-wheelers are much cleaner than their gasoline-powered two-wheeled counterparts on most metrics. Gasoline two-wheelers emit approximately double the CO{sub 2}, an order of magnitude more nitrogen oxides and particulate matter 10, and several orders of magnitude more volatile organic compounds and carbon monoxide. Particulate matter

  14. Basic Principles of Electrical Network Reliability Optimization in Liberalised Electricity Market

    Science.gov (United States)

    Oleinikova, I.; Krishans, Z.; Mutule, A.

    2008-01-01

    The authors propose to select long-term solutions to the reliability problems of electrical networks in the stage of development planning. The guide lines or basic principles of such optimization are: 1) its dynamical nature; 2) development sustainability; 3) integrated solution of the problems of network development and electricity supply reliability; 4) consideration of information uncertainty; 5) concurrent consideration of the network and generation development problems; 6) application of specialized information technologies; 7) definition of requirements for independent electricity producers. In the article, the major aspects of liberalized electricity market, its functions and tasks are reviewed, with emphasis placed on the optimization of electrical network development as a significant component of sustainable management of power systems.

  15. Modeling and Analysis of Wholesale Competitive Electricity Markets: A Case For Zambia

    Directory of Open Access Journals (Sweden)

    E. Moyo,

    2015-07-01

    Full Text Available Electricity markets all over the world are moving towards greater reliance on competition and this has become a global trend as a method of best practice. However, before competition is introduced in electricity markets it is imperative to model and assess the behavior of the market. The assessment includes calculating the market performance indices to determine the levels of market power exploitation by the Generating Companies (GenCos that will participate in the market. This paper presents a study on modeling and analysis of wholesale competitive electricity market for a developing country to help regulators assess and predict market behaviour. It involves modeling and simulation of the Zambian power system network in Agent-Based Modeling of Electricity Systems (AMES using real system data to pick out critical information that enables us to assess the status of the market. The results indicate that market power exploitation is prevalent for the two largest GenCos assessed.

  16. Hierarchical dispatch using two-stage optimisation for electricity markets in smart grid

    Science.gov (United States)

    Yang, Jie; Zhang, Guoshan; Ma, Kai

    2016-11-01

    This paper proposes a hierarchical dispatch method for the electricity markets consisting of wholesale markets and retail markets. In the wholesale markets, the generators and the retailers decide the generation and the purchase according to the market-clearing price. In the retail markets, the retailers set the retail price to adjust the electricity consumption of the consumers. Due to the two-way communications in smart grid, the retailers can decide the electricity purchase from the wholesale markets based on the information on electricity usage of consumers in the retail markets. We establish the hierarchical dispatch model for the wholesale markets and the retail markets and develop distributed algorithms to search for the optimal generation, purchase, and consumption. Numerical results show the balance between the supply and demand, the profits of the retailers, and the convergence of the distributed algorithms.

  17. Multifractal cross-correlation analysis in electricity spot market

    Science.gov (United States)

    Fan, Qingju; Li, Dan

    2015-07-01

    In this paper, we investigate the multiscale cross-correlations between electricity price and trading volume in Czech market based on a newly developed algorithm, called Multifractal Cross-Correlation Analysis (MFCCA). The new algorithm is a natural multifractal generalization of the Detrended Cross-Correlation Analysis (DCCA), and is sensitive to cross-correlation structure and free from limitations of other algorithms. By considering the original sign of the cross-covariance, it allows us to properly quantify and detect the subtle characteristics of two simultaneous recorded time series. First, the multifractality and the long range anti-persistent auto-correlations of price return and trading volume variation are confirmed using Multifractal Detrended Fluctuation Analysis (MF-DFA). Furthermore, we show that there exist long-range anti-persistent cross-correlations between price return and trading volume variation by MFCCA. And we also identify that the cross-correlations disappear on the level of relative small fluctuations. In order to obtain deeper insight into the dynamics of the electricity market, we analyze the relation between generalized Hurst exponent and the multifractal cross-correlation scaling exponent λq. We find that the difference between the generalized Hurst exponent and the multifractal cross-correlation scaling exponent is significantly different for smaller fluctuation, which indicates that the multifractal character of cross-correlations resembles more each other for electricity price and trading volume on the level of large fluctuations and weakens for the smaller ones.

  18. The market effectiveness of electricity reform: A case of carbon emissions trading market of Shenzhen city

    Science.gov (United States)

    Wang, Yongli; Wang, Gang; Zuo, Yi; Fan, Lisha; Xiao, Yao

    2017-03-01

    In the 13th Five-Year Plan, the Chinese government proposed to achieve the national carbon emission trading market established by 2017. The establishment of carbon emission trading market is the most important one in power reform, which helps to promote the power reform and achieve the goal of energy saving and emission reduction. As the bond of connecting environment energy issues and the economic development, carbon emissions trading market has become a hot research topic in the related fields, by market means, it incentive the lower cost subject emissions to undertake more reductions and therefore to benefit, the body of the high cost finished the task by buying quota reduction, to achieve the effect of having the least social total cost. Shenzhen has become the first city in China to start carbon trading pilot formally on June 16, 2013, online trading on June 18. The paper analyzes the market effectiveness of electricity reform in China, which takes carbon emissions trading market of Shenzhen city for example, and gives some suggestions for future development.

  19. Electricity Bill Savings from Residential Photovoltaic Systems: Sensitivities to Changes in Future Electricity Market Conditions

    Energy Technology Data Exchange (ETDEWEB)

    Darghouth, Naim; Barbose, Galen; Wiser, Ryan

    2013-01-09

    This scoping study investigates the impact of, and interactions among, three key sources of uncertainty in the future value of bill savings from customer-sited PV, focusing in particular on residential customers. These three sources of uncertainty are: changes to electricity market conditions that would affect retail electricity prices, changes to the types of retail rate structures available to residential customers with PV, and shifts away from standard net-metering toward other compensation mechanisms for residential PV. We investigate the impact of a range of electricity market scenarios on retail electricity prices and rate structures, and the resulting effects on the value of bill savings from PV. The scenarios include various levels of renewable and solar energy deployment, high and low natural gas prices, the possible introduction of carbon pricing, and greater or lesser reliance on utility-scale storage and demand response. We examine the bill savings from PV with time-invariant, flat residential retail rates, as well as with time-varying retail rates, including time-of-use (TOU) rates and real-time pricing (RTP). In addition, we explore a flat rate with increasing-block pricing (IBP). We evaluate the bill savings from PV with net metering, as currently allowed in many states, as well as scenarios with hourly netting, a partial form of net metering. This scoping study is the first known effort to evaluate these types of interactions in a reasonably comprehensive fashion, though by no means have we considered every possible change to electricity market conditions, retail rate structures, or PV compensation mechanisms. It focuses solely on the private value of bill savings for residential PV and does not seek to quantify the broader social or economic cost or value of solar electricity. Our analysis applies assumptions based loosely on California’s electricity market in a future year (2030); however, it is neither intended to forecast California’s future

  20. Analysis of Nash-Cournot equilibrium for electricity markets considering option contracts%考虑期权合约的电力市场纳什-古诺均衡分析

    Institute of Scientific and Technical Information of China (English)

    王瑞庆; 李渝曾; 张少华

    2008-01-01

    Option contract is one of the most important instruments for power generators developing bidding strategies and hedging market risk. Based on the peculiarities of bid-based-pool (BBP) power markets, a joint two-stage Cournot equilibrium model for option and spot markets is developed, and analytical formulas for market equilibrium are derived using a backward induction method. The impacts of option contract on efficiency of electricity markets and the behaviors of strategic generators are analyzed. The results show that strategic generators will voluntarily participate in strategic option contracting, and the existence of option contract accelerates the degree of competitive intensity in electricity markets and mitigates the market power abuse of generators to a large extent. In order to retain high spot market price and stable revenues, generators are interested in holding extremely high volatility of spot market price.