Hourly Electricity Prices in Day-Ahead Markets

Ronald Huisman, C. Huurman and Ronald Mahieu

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: This paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The dynamics of hourly electricity prices does not behave as a time series process. Instead, these prices should be treated as a panel in which the prices of 24 cross-sectional hours vary from day to day. This paper introduces a panel model for hourly electricity prices in day-ahead markets and examines their characteristics. The results show that hourly electricity prices exhibit hourly specific mean-reversion and that they oscillate around an hourly specific mean price level. Furthermore, a block structured cross-sectional correlation pattern between the hours is apparent.

Keywords: Day-ahead electricity; Electricity prices; Energy markets; Panel models (search for similar items in EconPapers)
JEL-codes: E37 G3 L94 M (search for similar items in EconPapers)
Date: 2007-01-15
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (105)

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Journal Article: Hourly electricity prices in day-ahead markets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureri:8289

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