Statistical methods are developed for assessing the likelihood of prejudicial bias in agent-assigned permutations, such as the ordering of candidates on an election ballot. The null hypothesis of an unbiased order assignment is represented by several forms of probabilistic exchangeability of the...

We propose a class of flexible non-parametric tests for the presence of dependence between components of a random vector based on weighted Cramér-von Mises functionals of the empirical copula process. The weights act as a tuning parameter and are shown to significantly influence the power of...

The emerging literature on power markets with high shares of fluctuating renewables suggests that more frequent start-up procedures of thermal power plants may become an increasing concern, both for costs and possibly also for market design. Based on official scenario assumptions, we investigate...

The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and fore- cast electricity prices taking into account information on renewable...

With the increasing share of volatile renewable energies, weather prediction becomes more important to electricity markets. The weather-driven uncertainty of renewable forecast errors could have price increasing impacts. This research sets up an analytic model to show that the day-ahead optimal...

Many companies depend on weather conditions, so they require reliable weather forecasts for production planning or risk hedging. In this article, we propose a new way of gaining weather forecasts by exploiting the forward-looking information included in the market prices of weather derivatives...

Hedging creates value only when the policy is near optimal but can be harmful otherwise. This paper takes the US airline industry as an example and derives the optimal fuel cost hedging ratio as a function of firm-specific revenue and cost sensitivities, as well as the relative composition of...

The 2015 workshop on “Recent evolutions of oil and commodity prices”, organized by FEEM, focused on the sharp decline in the oil price in 2014. High crude oil production and slower demand growth explain a large fraction of the current low level of prices, but a complex set of factors is...

This paper investigates the incentives market participants have in the German electricity balancing mechanism. Strategic over- and under-supply positions are the result of existing stochastic arbitrage opportunities between the spot market and the balancing mechanism. This strategic behavior can...

This paper examines the likely market for electrical energy storage from a market viewpoint, taking market prices as given and determining the extent to which a strategy of arbitrage across the day, buying at the lowest price times at night and selling at the highest times during the early...