Modelling Prices in Competitive Electricity

Clear explanation to competitive electricity markets Competitive electricity markets became a worldwide trend during the 1990s, and their financial behavior is now beginning to attract interest from traders, banks, and energy companies as well as academic researchers. Through a combination of financial theory and practical real-world applications, this book covers the shifting landscape and shows readers what to expect and why this financially peculiar industry does what it does. Derek W. Bunn (London, UK) is Professor of Decision Science at London Business School and a world expert on electricity market reform and market abuse.

DEREK W. BUNN is currently Professor and Chairman of the Decision Sciences subject area and Director of the Energy Markets Group at the London Business School, having held previous appointments at Oxford and Stanford universities. As a prominent international advisor on energy economics, he has consulted for many global energy companies and advised a number of government agencies. Author of over 150 research papers and 9 books in the areas of forecasting, decision analysis and energy economics, he has also been chief editor of the Journal of Forecasting since 1984. His research and practical involvement with the electricity sector extends back over 25 years experience. >

About the Contributors.

Preface.

1. Structured and Behavioral Foundations of Competitive Electricity Prices (Derek Bunn).

PART I. PRICES AND STRATEGIC COMPETITION.

2. Competitors’ Response Representation for Market Simulation in the Spanish Daily Market (Efraim Centano Hernáez. et al.).

3. Complementarity-Based Equilibrium Modeling for Electric Power Markets (Benjamin F. Hobbs and Udi Helman).

4. Price Impact of Horizontal Mergers in the British Generation Market (John Bower).

PART II. SPOT MARKET DYNAMICS.

5. Testing for Weekly Seasonal Unit Roots in the Spanish Power Pool (Angel León and Antonio Rubia).

6. Nonlinear Time Series Analysis of Alberta’s Deregulated Market (Apostolos Serletis and Ioannis Andreadis).

7. Quantile-Based Probabilistic Models for Electricity Prices (Shi-Jie Deng and Wenjiang Jiang).

8. Forecasting Time-Varying Covariance Matrices in the Intradaily Sport Market of Argentina (Angel León and Antonio Rubia).

PART III. SPATIAL PRICE INTERACTIONS.

9. Identifying Dynamic Interactions in the Western US Spot Market (Christine A. Jerko, et al.).

10. Transmission of Price and Volatility in the Australian Electricity Spot Markets (Andrew C. Worthington and Helen Higgs).

PART IV. FORWARD PRICES.

11. Forecasting Higher Moments of the Medium term Power Price Curve using Equilibrium Economics and the Option Value of the Security of Supply (Chris Harris).

12. Modeling Electricity Forward Curve Dynamics in the Nordic Market (Nicolas Audet, et al.).

13. Forecasting Market Transitions from the Forward Curve Dynamics (Svetlana Borovkova).

PART V. FORECASTING AND RISK MANAGEMENT.

14. Price Modeling for Profit at Risk Management (Jacob Lemming).

15. Forecasting Weather Variable Densities for Weather Derivatives and Electricity Prices (James W. Taylor).

Index.

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Modelling Prices in Competitive Electricity Markets

Summary

Author Biography

Table of Contents

Supplemental Materials