This paper describes a way to model a seasonally and irregularly peaking price dynamics, as that originated in commodity and energy markets, using a system of coupled nonlinear stochastic differential equations. The specific case of an electric power market is used to show which microeconomic...

This paper describes the economic phenomenon of price spiking in electric power markets and introduces a new way to model it. A stochastic FitzHugh-Nagumo dynamics in a special regime is proposed as a basic model for the power market, and an extension of the FitzHugh-Nagumo system is introduced...

This paper discusses a simple regime-switching SETARX model for electricity prices in discrete and continuous time. The regime structure of the model is linked to market organizational features. In continuous time the model can include spikes without using jumps

What happens to the merit order of electricity markets when all electricity is supplied by intermittent renewable energy sources coupled with large-scale electricity storage? With near-zero marginal cost of production, will there still be a role for an energy-only electricity market? We answer...

In the process of regulatory reform in the electric power industry, the mitigation of market power is one of the basic problems regulators have to deal with. We use experimental data to study the sources of market power with supply function competition, akin to the competition in wholesale...

Analyzing price data from sequential German electricity markets, namely the day-ahead and intraday auction, a puzzling but apparently systematic pattern of price premiums can be identified. The price premiums are highly correlated with the underlying demand profile. As there is evidence that...

We examine welfare effects of real-time pricing in electricity markets. Before stochastic energy demand is known, competitive retailers contract with final consumers who exogenously do not have real-time meters. After demand is realized, two electricity generators compete in a uniform price...

The movement to deregulate major industries over the past 40 years has produced large efficiency gains. However, distributional effects have been more difficult to assess. In the electricity sector, deregulation has vastly increased information available to market participants through the...

Self-supply can destabilize the finance of a distribution network. This paper analyses under which circumstances the tariff structure of a distribution network is stable or unstable under pressure of self-supply and provides recommendation how to change the tariff structure to restore stability...