File(s) under permanent embargo
Stochastic behaviour of the electricity bid stack: from fundamental drivers to power price
journal contribution
posted on 2023-06-08, 15:24 authored by Michael Coulon, Sam HowisonWe develop a fundamental model for spot electricity prices, based on stochastic processes for underlying factors (fuel prices, power demand and generation capacity availability), as well as a parametric form for the bid stack function which maps these price drivers to the power price. Using observed bid data, we find high correlations between the movements of bids and the corresponding fuel prices. We fit the model to the PJM and New England markets in the US, anddiscuss its performance, in terms of capturing key properties of simulated price trajectories, as well as comparing implied forward prices with observed data.
History
Publication status
- Published
Journal
Journal of Energy MarketsISSN
1756-3607Publisher
Incisive Media Ltd.Publisher URL
Issue
1Volume
2Page range
29-69Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2013-07-19Usage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC