Spot price dynamics in deregulated power markets

Marina Resta () and Davide Sciutti
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Davide Sciutti: DIEM, sezione di Matematica Finanziaria, University of Genova, Italy

Econometrics from University Library of Munich, Germany

Abstract: Modelling spot price behavior plays a key role in the electric- ity market, since this is the breeding engine for the activity in the corre- sponding forward and futures market: developers and generators (as well as traders) need to know how electricity prices behave, as their profitabil- ity depends on them. Additionally, credit rating agencies need to monitor the exposure of different players in the market to price fluctuations and risks. Starting from those considerations, this work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries, in order to fix some features which a good model should have to fit day–ahead prices. A number of stochastic processes will be then examined as perspective candidate to generate sample paths with explanatory power respect on the real time–series, and results will be discussed.

Keywords: spot prices; self–affinity; Hurst exponent. (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2003-12-15
Note: Type of Document - pdf
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0312002

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