1,721,076 research outputs found
Hedging electricity price volatility using nuclear power
No full textThe analysis presented in this paper aims to put in some evidence the role of nuclear power as hedging asset against the volatility of electricity prices. The unpredictability of natural gas and coal market prices as well as the uncertainty in environmental policies may affect power generating costs, thus enhancing volatility in electricity market prices. The nuclear option, allowing to generate electricity without carbon emissions, offers the possibility to reduce the volatility of electricity prices through optimal diversification of power generating technologies. This paper provides a methodological scheme to plan well diversified "portfolios" of generating capacity that minimize the electricity price risk induced by random movements of fossil fuels market prices and by unpredictable fluctuations of carbon credits prices. The analysis is developed within a stochastic environment in which the dynamics of fuel prices as well as the dynamics of carbon credits prices is assumed to evolve in time according to well defined Brownian processes. Starting from market data and using Monte Carlo techniques to simulate generating cost values, the hedging argument is developed by selecting optimal portfolio of power generating technologies using a mean-variance approach. © 2013 Elsevier Ltd
Random movements of power prices in competitive markets: a hybrid model approach
No full textThis paper shows that electricity price dynamics in deregulated markets can be described by modeling the movements of the power margin level in a stochastic environment. We present a regime-switching approach to capture the main characteristics of electricity price dynamics
within a supply-demand context: in the presence of stable periods, in which prices fluctuate around some long-run mean, and during turbulent periods, in which prices experience jumps and short-lived spikes of very large magnitude. The proposed approach is flexible enough to incorporate shortages in electricity generation, forced outages and peaks in electricity demand. The empirical analysis, performed to estimate the model on market data by maximum likelihood, offers an interesting agreement with the properties of observed logreturn distribution
Mass matrix with symmetric mixing and a new parametrization of the Cabibbo-Kobayashi-Maskawa matrix
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