Modelling electricity prices with forward looking capacity constraints

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dc.contributor.author Cartea, Álvaro
dc.date.accessioned 2011-09-16T18:32:03Z
dc.date.available 2011-09-16T18:32:03Z
dc.date.issued 2009-02
dc.identifier.bibliographicCitation Applied Mathematical Finance, 2009, v 16, n. 2, p. 103-122
dc.identifier.issn 1350-486X
dc.identifier.uri http://hdl.handle.net/10016/12104
dc.description.abstract We 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.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Taylor & Francis
dc.relation.isversionof http://hdl.handle.net/10016/12078
dc.rights ©Taylor & Francis
dc.subject.other Capacity constraints
dc.subject.other Mean reversion
dc.subject.other Electricity indicated demand
dc.subject.other Electricity indicated generation
dc.subject.other Regimen switching model
dc.title Modelling electricity prices with forward looking capacity constraints
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1080/13504860802351164
dc.subject.eciencia Empresa
dc.identifier.doi 10.1080/13504860802351164
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 103
dc.identifier.publicationissue 2
dc.identifier.publicationlastpage 122
dc.identifier.publicationtitle Applied Mathematical Finance
dc.identifier.publicationvolume 16
dc.affiliation.dpto UC3M. Departamento de Economía de la Empresa
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