Stochastic Modelling Of Electricity And Related Markets
Download Stochastic Modelling Of Electricity And Related Markets full books in PDF, epub, and Kindle. Read online free Stochastic Modelling Of Electricity And Related Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Stochastic Modelling of Electricity and Related Markets
Author | : Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker |
Publsiher | : World Scientific |
Total Pages | : 352 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 9789812812308 |
Download Stochastic Modelling of Electricity and Related Markets Book in PDF, Epub and Kindle
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Stochastic Modeling Of Electricity And Related Markets
Author | : Fred Espen Benth,Steen Koekebakker,Jurate Saltyte-benth |
Publsiher | : World Scientific |
Total Pages | : 352 |
Release | : 2008-04-14 |
Genre | : Business & Economics |
ISBN | : 9789814471312 |
Download Stochastic Modeling Of Electricity And Related Markets Book in PDF, Epub and Kindle
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Mathematical Modelling of Contemporary Electricity Markets
Author | : Athanasios Dagoumas |
Publsiher | : Academic Press |
Total Pages | : 444 |
Release | : 2021-01-30 |
Genre | : Business & Economics |
ISBN | : 9780128218396 |
Download Mathematical Modelling of Contemporary Electricity Markets Book in PDF, Epub and Kindle
Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets
Bid based stochastic model for electricity prices the impact of fundamental drivers on market dynamics
Author | : Petter L. Skantze,Andrej Gubina,Marija D. Ilic |
Publsiher | : Unknown |
Total Pages | : 61 |
Release | : 2000 |
Genre | : Electronic Book |
ISBN | : OCLC:456155927 |
Download Bid based stochastic model for electricity prices the impact of fundamental drivers on market dynamics Book in PDF, Epub and Kindle
The bid based model developed in this report is intended as a fundamental model for electricity price dynamics, to be used in a wide range of applications. The emphasis was placed on incorporating the unique characteristics of electricity prices, including seasonality on multiple time scales, lack of load elasticity, stochastic supply outages, strong mean reversion, and stochastic growth of load and supply. Principal component analysis is applied in the model in order to capture intra-day dynamics, while at the same time greatly reducing the computational complexity. The model is calibrated on actual load and price data form the New England ISO. We also propose extensions of the model to deal with instances of multiple spot markets connected by transmission lines. Through simulations we illustrate how the model can be used to estimate the value of transmission rights in a two-market environment. It is also shown how the model can be used by a for-profit transmission provider in order to make optimal investment decisions in new transmission capacity. Finally, an extension of the model is proposed to simulate the interaction between technical innovation and long-term price dynamics in electricity markets.
Valuation Hedging and Speculation in Competitive Electricity Markets
Author | : Petter L. Skantze,Marija Ilic |
Publsiher | : Springer Science & Business Media |
Total Pages | : 220 |
Release | : 2012-12-06 |
Genre | : Technology & Engineering |
ISBN | : 9781461517016 |
Download Valuation Hedging and Speculation in Competitive Electricity Markets Book in PDF, Epub and Kindle
The challenges currently facing particIpants m competitive electricity markets are unique and staggering: unprecedented price volatility, a crippling lack of historical market data on which to test new modeling approaches, and a continuously changing regulatory structure. Meeting these challenges will require the knowledge and experience of both the engineering and finance communities. Yet the two communities continue to largely ignore each other. The finance community believes that engineering models are too detailed and complex to be practically applicable in the fast changing market environment. Engineers counter that the finance models are merely statistical regressions, lacking the necessary structure to capture the true dynamic properties of complex power systems. While both views have merit, neither group has by themselves been able to produce effective tools for meeting industry challenges. The goal of this book is to convey the fundamental differences between electricity and other traded commodities, and the impact these differences have on valuation, hedging and operational decisions made by market participants. The optimization problems associated with these decisions are formulated in the context of the market realities of today's power industry, including a lack of liquidity on forward and options markets, limited availability of historical data, and constantly changing regulatory structures.
Energy Markets and Responsive Grids
Author | : Sean Meyn,Tariq Samad,Ian Hiskens,Jakob Stoustrup |
Publsiher | : Springer |
Total Pages | : 518 |
Release | : 2018-06-09 |
Genre | : Science |
ISBN | : 9781493978229 |
Download Energy Markets and Responsive Grids Book in PDF, Epub and Kindle
This volume consists of selected essays by participants of the workshop Control at Large Scales: Energy Markets and Responsive Grids held at the Institute for Mathematics and its Applications, Minneapolis, Minnesota, U.S.A. from May 9-13, 2016. The workshop brought together a diverse group of experts to discuss current and future challenges in energy markets and controls, along with potential solutions. The volume includes chapters on significant challenges in the design of markets and incentives, integration of renewable energy and energy storage, risk management and resilience, and distributed and multi-scale optimization and control. Contributors include leading experts from academia and industry in power systems and markets as well as control science and engineering. This volume will be of use to experts and newcomers interested in all aspects of the challenges facing the creation of a more sustainable electricity infrastructure, in areas such as distributed and stochastic optimization and control, stability theory, economics, policy, and financial mathematics, as well as in all aspects of power system operation.
Decision Making Under Uncertainty in Electricity Markets
Author | : Antonio J. Conejo,Miguel Carrión,Juan M. Morales |
Publsiher | : Springer Science & Business Media |
Total Pages | : 542 |
Release | : 2010-09-08 |
Genre | : Business & Economics |
ISBN | : 9781441974211 |
Download Decision Making Under Uncertainty in Electricity Markets Book in PDF, Epub and Kindle
Decision Making Under Uncertainty in Electricity Markets provides models and procedures to be used by electricity market agents to make informed decisions under uncertainty. These procedures rely on well established stochastic programming models, which make them efficient and robust. Particularly, these techniques allow electricity producers to derive offering strategies for the pool and contracting decisions in the futures market. Retailers use these techniques to derive selling prices to clients and energy procurement strategies through the pool, the futures market and bilateral contracting. Using the proposed models, consumers can derive the best energy procurement strategies using the available trading floors. The market operator can use the techniques proposed in this book to clear simultaneously energy and reserve markets promoting efficiency and equity. The techniques described in this book are of interest for professionals working on energy markets, and for graduate students in power engineering, applied mathematics, applied economics, and operations research.
Modeling and Forecasting Electricity Loads and Prices
Author | : Rafal Weron |
Publsiher | : John Wiley & Sons |
Total Pages | : 192 |
Release | : 2007-01-30 |
Genre | : Business & Economics |
ISBN | : 9780470059999 |
Download Modeling and Forecasting Electricity Loads and Prices Book in PDF, Epub and Kindle
This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes—electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.