1,721,192 research outputs found
A stochastic latent moment model for electricity price formation
No full textThe wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since hourly price densities for electricity exhibit a variety of shapes, with their characteristic features changing substantially within the day and evolving over time. Furthermore, the influx of renewable power, wind, and solar, in particular, has made these density shapes very weather dependent. We develop a general four-parameter stochastic model for hourly prices, in which the four moments of the density function are dynamically estimated as latent state variables and, furthermore, modelled as functions of several plausible exogenous drivers. This provides a transparent and credible model that is sufficiently flexible to capture the shape-shifting effects, particularly with respect to the wind and solar output variations causing dynamic switches in the upside and downside risks. Extensive testing on German wholesale price data, benchmarked against quantile regression and other models in out-of-sample backtesting, validated the approach and its analytical appeal
Integration and shock transmissions across European electricity forward markets
No full textNew results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration,
increasing over time, despite an underlying inefficiency in each market with respect to the forward and spot price convergence. The spatial analysis, on a financial dimension, is undertaken using causality tests, cointegration and impulse response techniques, for both price levels and volatilities. In general we find less
influence of the size and proximity of neighboring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices
A trading-based evaluation of density forecasts in a real-time electricity market
Full text linkThis paper applies a multi-factor, stochastic latent moment model to predicting the imbalance volumes in the Austrian zone of the German/Austrian electricity market. This provides a density forecast whose shape is determined by the flexible skew-t distribution, the first three moments of which are estimated as linear functions of lagged imbalance and forecast errors for load, wind and solar production. The evaluation of this density predictor is compared to an expected value obtained from OLS regression model, using the same regressors, through an out-of-sample backtest of a flexible generator seeking to optimize its imbalance positions on the intraday market. This research contributes to forecasting methodology and imbalance prediction, and most significantly it provides a case study in the evaluation of density forecasts through decision-making performance. The main finding is that the use of the density forecasts substantially increased trading profitability and reduced risk compared to the more conventional use of mean value regressions
Resource Externalities and the Persistence of Heterogeneous Pricing Behaviour in an Energy Commodity Market
No full textHigher moments in the fundamental specification of electricity forward prices
Full text linkAn extended specification for estimating the risk premia necessary for the forward pricing of wholesale electricity is developed in order to respond to the increasing need for more precise risk management of hedging positions in practice. Using Taylor expansions, we provide new specifications for the electricity forward premium including its dependency on all four moments of the expected wholesale price density as well as the higher moments of the demand density including skewness and kurtosis. Overall we argue that previous models have been underspecified and that the extended formulation proposed in this analysis is robust and worthwhile
The connectedness features of German electricity futures over short and long maturities
Full text linkThis research provides an extensive characterization of the contagion between electricity, energy commodities, financial assets and economic indicators across several maturities. Despite the widespread importance of electricity futures, this has been an under-researched topic. The evolution of connectedness is investigated between 2006 and 2023. With a special focus on electricity forward base and peak contracts, results show that the contagion effects are moderate but evolve through time, with greater impacts observed during the crisis years. We confirm that electricity forward prices are more sensitive to operators' future expectations on fundamental market conditions than to financial and economic shocks
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Transmission of prices and volatility in the Australian electricity spot markets
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Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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