Price dynamics in electricity spot markets
Type
presentation
Date Issued
2013-07-08
Author(s)
Abstract
We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are derived given an observed forward curve. We distinguish between a base regime and an upper as well as a lower spike regime. The model parameters are calibrated using historical hourly price forward curves for EEX Phelix and the dynamic of hourly spot prices. We further evaluate different time series models such as ARMA and GARCH that are usually applied for modeling electricity prices and conclude a better performance of the proposed regime-switching model.
Language
English
Keywords
Electricity prices
regime-switching model
negative prices
spikes
price forward curves
HSG Classification
contribution to scientific community
Refereed
No
Event Title
International Conference on Stochastic Programming, Bergamo, 2013
Subject(s)
Eprints ID
224602
File(s)![Thumbnail Image]()
open.access
Name
MSchuerle_Bergamo13.pdf
Size
1.4 MB
Format
Adobe PDF
Checksum (MD5)
6099b46cd473bfa06ce74f202afd3d43