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Market specific news and its impact on electricity prices : forward premia

Lazarczyk, Ewa - 2013

This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to...

Persistent link: https://www.econbiz.de/10009702265

Electricity market integration, decarbonisation and security of supply : dynamic volatility connectedness in the Irish and Great Britain markets

Do, Hung; Nepal, Rabindra; Jamasb, Tooraj - 2020

This study investigates the volatility connectedness between the Irish and Great Britain electricity markets and how it … this volatility connectedness including static (unconditional) vs dynamic (conditional), symmetric vs asymmetric … characteristics between 2009 and 2018. We find that volatility connectedness is time varying and is significantly affected by …

Persistent link: https://www.econbiz.de/10012194466

Decoding restricted participation in sequential electricity markets

Knaut, Andreas; Paschmann, Martin - 2017

Restricted participation in sequential markets may cause high price volatility and welfare losses. In this paper we … for price volatility and find that full market coupling may trigger quarter-hourly price valatility to decrease by a …

Persistent link: https://www.econbiz.de/10011666918

Price volatility in commodity markets with restricted participation

Knaut, Andreas; Paschmann, Martin - 2016

Analyzing commodity market dynamics, we observe that price volatility increases with reduced contract duration. In this … price volatility is triggered by restricted participation of suppliers in the market for quarter-hourly products as well as …

Persistent link: https://www.econbiz.de/10011587638

How to sell renewable electricity : interactions of the intraday and day-ahead market under uncertainty

Knaut, Andreas; Obermüller, Frank - 2016

Uncertainty about renewable production increases the importance of sequential short-term trading. We consider a two-stage market where conventional and renewable producers compete in order to satisfy the demand of consumers. The trading in the first stage takes place under uncertainty about...

Persistent link: https://www.econbiz.de/10011457009

Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Chan, Kam Fong - 2016

For six important energy futures markets, this study examines whether large price movements (i.e., jumps) are related to the arrival and information content of scheduled macroeconomic announcements. Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660–671]...

Persistent link: https://www.econbiz.de/10012981311

Navigating the Crises in European Energy : Price Inflation, Marginal Cost Pricing, and Principles for Electricity Market Redesign in an Era of Low-Carbon Transition

Grubb, Michael - 2022

The energy crisis engulfing Europe is a crisis of both gas and electricity markets, with huge cost impacts on consumers across all European countries. In Britain, half of typical household energy expenditure arises from electricity. This paper examines how the cost of gas-powered generation...

Persistent link: https://www.econbiz.de/10014077395

Swissmod - a model of the Swiss electricity market

Schlecht, Ingmar; Weigt, Hannes - 2014

We present a bottom-up electricity market model for Switzerland called Swissmod. It includes a detailed electricity network and hydropower representation. Swissmod captures the features and restrictions of run-of-river, yearly storage and pumped-storage power plants and combines this with a...

Persistent link: https://www.econbiz.de/10010373316

Can Agent-Based Models Forecast Spot Prices in Electricity Markets? Evidence from the New Zealand Electricity Market

Young, David; Poletti, Stephen; Browne, Oliver R. - 2012

Modelling price formation in electricity markets is a notoriously difficult process, due to physical constraints on electricity generation and flow. This difficulty has inspired the recent development of bottom-up agent-based models of electricity markets. While these have proven quite...

Persistent link: https://www.econbiz.de/10014170211

Separation and Volatility of Locational Marginal Pricesin Restructured Wholesale Power Markets

Li, Hongyan; Sun, Junjie; Tesfatsion, Leigh - Iowa State University of Science and Technology <Ames, … - 2009

This study uses an agent-based test bed (“AMES”)to investigate separation and volatility of locational marginalprices …

Persistent link: https://www.econbiz.de/10009360767