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Modelling electricity prices with forward looking capacity constraints

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorCartea, Álvaro
dc.date.accessioned2011-09-16T18:32:03Z
dc.date.available2011-09-16T18:32:03Z
dc.date.issued2009-02
dc.description.abstractWe present a spot price model for wholesale electricity prices which incorporates forward looking information that is available to all market players. We focus on information that measures the extent to which the capacity of the England and Wales generation park will be constrained over the next 52 weeks. We propose a measure of "tight market conditions", based on capacity constraints, which identifies the weeks of the year when price spikes are more likely to occur. We show that the incorporation of this type of forward looking information, not uncommon in electricity markets, improves the modelling of spikes (timing and magnitude) and the different speeds of mean reversion
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationApplied Mathematical Finance, 2009, v 16, n. 2, p. 103-122
dc.identifier.doi10.1080/13504860802351164
dc.identifier.issn1350-486X
dc.identifier.publicationfirstpage103
dc.identifier.publicationissue2
dc.identifier.publicationlastpage122
dc.identifier.publicationtitleApplied Mathematical Finance
dc.identifier.publicationvolume16
dc.identifier.urihttps://hdl.handle.net/10016/12104
dc.language.isoeng
dc.publisherTaylor & Francis
dc.relation.isversionofhttp://hdl.handle.net/10016/12078
dc.relation.publisherversionhttp://dx.doi.org/10.1080/13504860802351164
dc.rights©Taylor & Francis
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherCapacity constraints
dc.subject.otherMean reversion
dc.subject.otherElectricity indicated demand
dc.subject.otherElectricity indicated generation
dc.subject.otherRegimen switching model
dc.titleModelling electricity prices with forward looking capacity constraints
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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