Open AccessElectricity Spot Price Modelling: Univariate Time Series Approach
Author(s) -
Régis Bourbonnais,
Sophie Méritet
Publication year - 2007
Publication title -
palgrave macmillan uk ebooks
Language(s) - English
Resource type - Book series
DOI - 10.1057/9780230626317_3
Subject(s) - electricity , spot contract , volatility (finance) , electricity price , univariate , deregulation , economics , electricity market , electricity retailing , mains electricity , econometrics , industrial organization , business , financial economics , market economy , computer science , engineering , multivariate statistics , futures contract , machine learning , voltage , electrical engineering
As a result of deregulation reforms, modelling and forecasting of electricity prices have become of fundamental importance to participants in electricity markets. Having an appropriate representation of the electricity price is important to the actors in this new industry which is now open to competition, quite risky and characterized by uncertainties. Modelling the price of electricity is a challenging task, considering its specific features: electricity is not storable, supply needs to be balanced continuously against demand, and there is a good deal of volatility, inelasticity, seasonality and so forth. The objective of this chapter is to model and forecast the behaviour of spot prices for two wholesale electricity markets: the Elspot of the Nord Pool in Europe and PJM spot prices in the North East region in the US (based on daily data from 29 April 2004 to 30 April 2005).
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom