RT Generic
T1 Modelling electricity prices with forward looking capacity constraints
A1 Cartea, Álvaro
A1 Figuerola, Marcelo G.
A1 German, Hélyette
AB We present a spot price model for wholesale electricity prices which incorporatesforward looking information that is available to all market players.We focus on information that measures the extent to which the capacity ofthe England and Wales generation park will be constrained over the next 52weeks. We propose a measure of ‘tight market conditions’, based on capacityconstraints, which identifies the weeks of the year when price spikes are morelikely to occur. We show that the incorporation of this type of forward lookinginformation, not uncommon in the electricity markets, improves the modelingof spikes (timing and magnitude) and the different speeds of mean reversion
YR 2008
FD 2008-01-16
LK https://hdl.handle.net/10016/12078
UL https://hdl.handle.net/10016/12078
LA eng
DS e-Archivo
RD 27 jul. 2024