Search results for "Electricity spot price"

showing 2 items of 2 documents

Evaluation of the Administrative Phase-Out of Coal Power Plants on the Italian Electricity Market

2020

Although decarbonisation is one of the most important macro-trends of this century, electricity generation from coal power plants is still broadly common. The main goal of this study is to evaluate the impact of a premature coal power plants phase-out on the Italian day-ahead electricity market. For this purpose, two electricity price forecasts, related to different scenarios between 2019 and 2030, and two different hypotheses for the creation of electricity spot price, were compared. The results from the different scenarios show that coal power plants phase-out determines a small variation in electricity price when bid-up is not considered

Control and OptimizationElectricity priceNatural resource economicsEconomics020209 energyEnergy Engineering and Power Technologydecarbonisation02 engineering and technology010501 environmental sciencesPrice variationlcsh:Technology01 natural sciencesPhase (combat)Price analysiscoal phase-out0202 electrical engineering electronic engineering information engineeringEconomicsddc:330Electricity marketelectricity priceElectrical and Electronic EngineeringCoal power plantEngineering (miscellaneous)0105 earth and related environmental sciencesElectricity spot pricelcsh:TRenewable Energy Sustainability and the Environmentprice analysisSettore ING-IND/33 - Sistemi Elettrici Per L'EnergiaElectricity generationItalyprice analysioptimization model and simulationEnergy (miscellaneous)generation adequacy
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Futures pricing in electricity markets based on stable CARMA spot models

2012

We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large uctuations by a non-Gaussian stable CARMA process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently. Besides standard parameter estimation, an estimation procedure is suggested, where we t the non-stationary trend using futures data with long time until delivery, and a robust L 1 -lter to nd the states of …

FOS: Computer and information sciencesEconomics and EconometricsElectricity spot pricebusiness.industryEstimation theoryRisk premium60G52 62M10 91B84 (Primary) 60G10 60G51 91B70 (Secondary)Lévy processStatistics - ApplicationsCARMA model electricity spot prices electricity forward prices continuous time linear model Lévy process stable CARMA process risk premium robust filterddc:MicroeconomicsFOS: Economics and businessGeneral EnergyBase load power plantPeak loadEconometricsEconomicsApplications (stat.AP)ElectricityPricing of Securities (q-fin.PR)businessFutures contractQuantitative Finance - Pricing of Securities
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