Characterization of Iran electricity market indices with pay-as-bid payment mechanism

N. Bigdeli and K. Afshar

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 8, 1577-1592

Abstract: Market data analysis in Iran’s electricity market as a market with a pay-as-bid payment mechanism has been considered in this paper. The analysis procedure includes both predictability and correlation analysis of the most important load and price indices. The experimental data from Iran’s electricity market has been employed in its real size which is long enough to take properties such as non-stationarity of the market into account. For predictability, the characteristics of the hourly accepted Weighted Average Price (WAP) as the topmost price index of this market is analyzed. The analysis tools are time series analysis methods such as power spectral density analysis, phase space reconstruction and test of surrogates, the fractional dimension and the slope of integral sums and the recurrence plots. The results indicate a deterministic, un-stationary and seasonal behavior in addition to unstable periodic orbits and even chaotic behavior in WAP time series. These observations imply just short-term predictability of WAP behavior. The interactive behavior of WAP with the hourly required load (RL) is also considered. For this interaction analysis, in addition to the common correlation methods, cross and joint recurrence plot are also employed. The joint behavioral analysis represents an un-stationary mimic correlation between WAP and RL.

Keywords: Chaos; Deregulation; Pay as bid; Electricity market; Price forecasting; Recurrence plots; Recurrence quantification analysis (RQA); Time series analysis (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:8:p:1577-1592

DOI: 10.1016/j.physa.2009.01.003

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