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One‐day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data
Author(s) -
Hadsell Lester,
Shawky Hany A.
Publication year - 2007
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20278
Subject(s) - bidding , volatility (finance) , electricity , electricity market , econometrics , economics , measure (data warehouse) , wholesale market , financial economics , business , microeconomics , engineering , computer science , database , electrical engineering
This study examines one‐day forward premiums at the hourly level on the New York independent systems operator wholesale electricity market for the period 2001–2005. Examining two representative zones, the authors show that premiums vary by hour of day, day of week, and month. We report differences in the level and volatility of the premium across zones. We measure the impact of opening the market to outsiders through the introduction of virtual bidding. Results indicate that virtual bidding is associated with lower premiums in off‐peak or near‐off‐peak hours; it is associated with higher premiums during peak hours. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1107–1125, 2007