Correlations and clustering in wholesale electricity markets

Tianyu Cui, Francesco Caravelli and Cozmin Ududec

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 1507-1522

Abstract: We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the locational structure of the grid. We study various clustering methods and introduce a type of correlation function based on event synchronization for spiky time series, and another based on string correlations of location names provided by the markets. This allows us to reconstruct aspects of the locational structure of the grid.

Keywords: Correlation measures; Clustering; Electricity prices (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:1507-1522

DOI: 10.1016/j.physa.2017.11.077

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