The impact of forward trading on the spot power price volatility with Cournot competition [PDF]
In this paper, we analyze the influence of forward trading on the volatility of spot power prices, in models where forward contracts are strategic tools used by energy producers to obtain profit security.
Sandro Sapio, Agnieszka Wylomanska
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Joint Modelling of Gas and Electricity spot prices [PDF]
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the ...
Noufel Frikha, Vincent Lemaire
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Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models [PDF]
This empirical paper compares the accuracy of 12 time series methods for short-term (day-ahead) spot price forecasting in auction-type electricity markets.
Weron, Rafal, Misiorek, Adam
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Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility [PDF]
Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited.
Schmid, Thomas +2 more
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Efficient estimation of Markov regime-switching models: An application to electricity spot prices [PDF]
In this paper we discuss the calibration of models built on mean-reverting processes combined with Markov regime-switching (MRS). We propose a method that greatly reduces the computational burden induced by the introduction of independent regimes and ...
Rafal Weron, Joanna Janczura
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Assessing the influence of spot price predictability on electricity futures hedging [PDF]
A common feature of energy prices is that spot price changes are partially predictable due to weather and demand seasonalities. This paper follows the Ederington and Salas (2008) framework and considers the expected change in spot prices when minimum ...
Torro, Hipolit
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, 2018 Avrupa Birliği (AB), 28 tane Avrupa ülkesinin oluşturduğu ekonomik ve siyasi bir topluluktur. Federal Almanya, Belçika, Fransa, İtalya, Luksemburg ve Hollanda’dan oluşan 6 ülke, 1951 yilinda Avrupa Kömür ve Çelik Topluluğunu kurarak Avrupa Birliğinin ...
Vural, Hakan
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Investment Incentives and Electricity Spot Market Design [PDF]
In liberalized electricity markets strategic firms compete in an environment characterized by fluctuating demand and non-storability of electricity.
Grimm, Veronika, Zöttl, Gregor
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Contribution to Price Discovery in the Forest Product Market: Futures, Forwards, and Spot Markets [PDF]
This research examines the lead-lag relationships between futures prices, prices from a cash forward market, and spot prices for two forest product markets.
Sanders, Dwight R., Manfredo, Mark R.
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SUPPLY AND DEMAND RISKS IN FORWARD AND SPOT MARKETS: IMPLICATIONS FOR AGRICULTURE [PDF]
Laboratory methods are used to investigate the impacts of supply and/or demand risks on prices, quantities traded, and earnings within forward and spot market institutions. Results suggest that the spot or forward trading institution itself has a greater
Bastian, Christopher T. +3 more
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