An econometric model for intraday electricity trading

2021 ◽  
Vol 379 (2202) ◽  
pp. 20190624
Author(s):  
Marcel Kremer ◽  
Rüdiger Kiesel ◽  
Florentina Paraschiv
Keyword(s):  
Electricity Markets ◽  
Positive Impact ◽  
Explanatory Power ◽  
Price Formation ◽  
Asymmetric Effect ◽  
Renewable Power ◽  
Electricity Trading ◽  
Order Curve ◽  
Main Driver ◽  
Threshold Regression Model

This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-min contracts. A unique dataset of intradaily updated forecasts of renewable power generation is analysed. We use a threshold regression model to examine how 15-min intraday trading depends on the slope of the merit order curve. Our estimation results reveal strong evidence of mean reversion in the price formation mechanism of 15-min contracts. Additionally, prices of neighbouring contracts exhibit strong explanatory power and a positive impact on prices of a given contract. We observe an asymmetric effect of renewable forecast changes on intraday prices depending on the merit-order-curve slope. In general, renewable forecasts have a higher explanatory power at noon than in the morning and evening, but price information is the main driver of 15-min intraday trading. This article is part of the theme issue ‘The mathematics of energy systems’.

scholarly journals Intraday Electricity Pricing of Night Contracts

Energies ◽  
2020 ◽  
Vol 13 (17) ◽  
pp. 4501 ◽  
Author(s):  
Marcel Kremer ◽  
Rüdiger Kiesel ◽  
Florentina Paraschiv
Keyword(s):  
Econometric Model ◽  
Explanatory Power ◽  
Time Of Day ◽  
Price Impact ◽  
Price Formation ◽  
Electricity Pricing ◽  
Order Curve ◽  
The Mean ◽  
Auction Prices ◽  
Intraday Market

This paper investigates the intraday electricity pricing of 15-min. contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation results show that the mean reversion and the positive price impact of neighboring contracts are generic features of the price formation process on the intraday market, independent of the time of day. Intraday auction prices have higher explanatory power for the pricing of night than day contracts, particularly, for the first and last 15-min. contract in a night hour. Intradaily updated forecasts of wind power infeed are the only significant fundamental factors for intraday electricity prices at night. Neither expected conventional capacities nor the slope of the merit order curve contribute to explaining price dynamics. Overall, we conclude that fundamentals lose in importance in night hours and the 15-min. intraday market is rather driven by price information.

scholarly journals The impact of FDI on environmental technology innovation from the perspective of environmental regulation

2020 ◽  
Vol 206 ◽  
pp. 02001
Author(s):  
Ziting Wei
Keyword(s):  
Environmental Regulation ◽  
Technology Innovation ◽  
Negative Impact ◽  
Positive Impact ◽  
Inhibitory Effect ◽  
Market Demand ◽  
Environmental Technology ◽  
Industrial Enterprises ◽  
Threshold Regression Model ◽  
The Impact

Based on the perspective of environmental regulation, this paper selects panel data of 30 provinces in China from 2011 to 2016, establishes Hansen panel threshold regression model, and investigates the impact of FDI on environmental technology innovation of industrial enterprises in China under the threshold of environmental regulation. The results show that FDI has a significant inhibitory effect on the environmental technological innovation of industrial enterprises; the effect has a significant dual threshold of environmental regulation, with the intensity of environmental regulation across the threshold, the negative impact of FDI gradually weakened; market demand and industry scale have a significant positive impact, the role of technological progress is not significant. The findings of this paper provide a certain reference for the rational use of environmental regulation policies, the maximization of FDI technology spillover, the promotion of environmental technology innovation of industrial enterprises, and the realization of “win-win” of environment and economy.

scholarly journals Operational and financial performance of fossil fuel power plants within a high renewable energy mix

2017 ◽  
Vol 1 ◽  
pp. 2BIOTO ◽  
Author(s):  
Patrick Eser ◽  
Ndaona Chokani ◽  
Reza S. Abhari
Keyword(s):  
Renewable Energy ◽  
Financial Performance ◽  
Electricity Markets ◽  
Power Plants ◽  
Energy System ◽  
Renewable Power ◽  
High Penetration ◽  
Demand Models ◽  
Wide Range ◽  
Coal Power Plants

AbstractThe operation of conventional power plants in the 2030 high-renewable energy system of central Europe with high penetration of renewables is simulated in this work. Novel insights are gained in this work, since the generation, transmission and demand models have high geographic resolution, down to scale of individual units, with hourly temporal resolution. It is shown that the increases in the partload efficiency that optimize gas power plants’ financial performance in 2030 are highly dependent on the variability in power production of renewable power plants that are in close proximity to the gas power plants. While coal power plants are also cycled more, an increased baseload efficiency is more beneficial for their financial viability. Thus, there is a need for OEMs to offer a wide range of technology solutions to cover all customers’ needs in electricity markets with high penetrations of renewables. Therefore there is an increased investment risk for OEMs as they strive to match their customers’ future needs.

scholarly journals Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player

Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 133
Author(s):  
Olivier Féron ◽  
Peter Tankov ◽  
Laura Tinsi
Keyword(s):  
Nash Equilibrium ◽  
Electricity Markets ◽  
Mean Field ◽  
Optimal Strategies ◽  
Price Formation ◽  
Mean Field Games ◽  
Optimal Trading ◽  
Major Player ◽  
Major Producer ◽  
Small Producers

We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.

scholarly journals Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios

Energies ◽  
2020 ◽  
Vol 13 (14) ◽  
pp. 3578 ◽  
Author(s):  
Johannes Kaufmann ◽  
Philipp Artur Kienscherf ◽  
Wolfgang Ketter
Keyword(s):  
Electricity Markets ◽  
Wind Farm ◽  
Bivariate Analysis ◽  
Renewable Energy Resources ◽  
Risk Premiums ◽  
Geographically Dispersed ◽  
Renewable Power ◽  
Market Risks ◽  
Copula Approach ◽  
Farm Operators

With an increasing share of renewable energy resources participating in electricity markets, there is a growing dependence between renewable power production and clearing prices of spot markets. Modeling this dependence using bivariate analysis can result in underestimation of market risks and adverse effects for stakeholders’ risk management. To enable an undistorted risk assessment, we are using a copula approach to precisely and jointly model electricity prices and infeed volumes of wind power. We simulate the case of wind farm operators using power purchase agreements (PPAs) to shift the price risk to an energy trader, who integrates the infeed into its portfolio. The trader’s portfolio can either be geographically dispersed, or highly localized. Based on its portfolio, the energy trader can decide to use derivatives such as futures to manage its risk exposure. The trader decides on future volumes subject to its portfolio’s inherent volatility. With a given risk averse strategy, a sufficiently diverse portfolio can help reduce the necessity to trade futures and subsequently the disadvantage of having to pay potential risk premiums.

scholarly journals The Impact of Human Resource Practices on Organizational Climate and Employee Well-Being

2020 ◽  
Vol 15 ◽  
pp. 11-28
Author(s):  
Luiz Felipe de Carvalho Macena ◽  
Sérgio Augusto Pereira Bastos
Keyword(s):  
Human Resources ◽  
Organizational Climate ◽  
Social Exchange ◽  
Positive Impact ◽  
Human Resources Management ◽  
Explanatory Power ◽  
Well Being ◽  
Structural Equations ◽  
Hr Practices ◽  
The Impact

This exploratory study evaluated the relationship between Human Resources (HR) practices, organizational climate, and employee well-being from the lens of the Social Exchange Theory. Therefore, data were analyzed using linear regression and structural equations. The results indicated that there is a positive impact of HR practices on both the organizational climate and employee well-being, as well as the organizational climate on well-being. However, the explanatory power of well-being was low, indicating the need for more customized human resources management. Additionally, HR practices and organizational climate sensitize well-being to a greater extent among women than men, suggesting that women may be able to absorb better the benefits of a friendly and contributory work environment. The study contributes to knowledge in people management oriented towards the well-being of employees.

Asymmetric Effect of Fiscal Deficit on Current Account Deficit: Evidence from India

2021 ◽  
pp. 097226292110572
Author(s):  
Vishal Sharma ◽  
Masudul Hasan Adil ◽  
Sana Fatima ◽  
Ashok Mittal
Keyword(s):  
Current Account ◽  
Positive Impact ◽  
Current Account Deficit ◽  
Fiscal Deficit ◽  
Asymmetric Effect ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Asymmetric Impact ◽  
The Impact

This study has attempted to re-investigate the impact of fiscal deficit (FD) on current account deficit (CAD) (also known as twin deficit hypothesis) in India from 1970–1971 to 2018–2019 in the presence of private saving–investment gap (SI) and exchange rate (EXR). For the empirical investigation, the study has employed the nonlinear autoregressive distributed lag (NARDL) approach to cointegration. The NARDL results found the evidence of an asymmetric effect of FD, SI and EXR on CAD in the long run only. The obtained results support the traditional views of the Keynesian approach that FD has a positive impact on CAD, validates the existence of the ‘Twin Deficit Hypothesis’ in India. Further, results also depict that SI has a positive effect on CAD, whereas EXR has an adverse impact on CAD. From a policy standpoint, the asymmetric impact of FD on CAD provides strong reasons for conceiving policies that are adaptable to changing dynamics in internal as well as external sectors.

The role of access convenience of common service centres (CSCs) in the continued use of e-government

2020 ◽  
Vol 22 (5/6) ◽  
pp. 437-453
Author(s):  
Kriti Priya Gupta ◽  
Harshit Maurya
Keyword(s):  
Positive Impact ◽  
Explanatory Power ◽  
Continuance Intention ◽  
Is Success ◽  
Content Type ◽  
Future Studies ◽  
Government Services ◽  
Quality Dimensions ◽  
The Government ◽  
The Impact

Purpose This study aims to understand the role of access convenience of common service centres (CSCs) in determining the e-government continuance intention from the perspective of citizens who are dependent on these centres for using e-government services, in developing countries such as India. The study uses the DeLone and McLean’s information systems (IS) success model as a theoretical basis and analyses the effect of access convenience of CSCs (AC), on the three quality dimensions (namely, information quality [IQ], system quality [SyQ] and service quality [SQ]), and the e-government continuance intention. The effects of the three quality dimensions on continuance intention are also analysed. Design/methodology/approach The primary data were collected from the field surveys conducted at various CSCs in Uttar Pradesh state of India using convenience sampling technique. The study sample included 358 respondents who use e-government services through CSCs. Structural equation modelling was used to test the hypothesized relationships in the proposed model. Findings The findings of the study suggest that CSCs’ access convenience has a significant positive impact on the e-government continuance intention. The findings also confirm the significant positive impact on all the three quality dimensions of e-government i.e. IQ, SyQ and SQ. Though the findings do not provide support for the impact of IQ and SyQ on the e-government continuance intention but the impact of SQ on the e-government continuance intention is found to be significantly positive. Research limitations/implications The explanatory power of the model indicates the scope of including more variables in determining the continued usage of e-government. Future studies may extend the present study by including concepts such as trust, satisfaction and security/privacy concerns of citizens. The present study has failed to support the impact of IQ and SyQ on the intention to continue using e-government services. Future studies may test the model in different contexts with different respondents to further examine these relationships. Future studies may also see the association between the continuance intention and actual use of e-government services. Practical implications The government should provide accessible CSCs to the citizens which are conveniently available to them. To diffuse the e-government services successfully among all citizens, the government needs to see that sufficient numbers of CSCs are available in the areas where people lack the required infrastructure for using the e-government services. The government also needs to ensure that the CSCs are fully functional and equipped with facilities for providing the best quality services. Originality/value The study combines the quality constructs from the IS success model with AC, for predicting the e-government continuance intention. The joint use of these constructs has provided a model with high explanatory power, which is able to explain 76.6% variation in the continued usage of e-government services. The study also contributes to the existing literature by presenting AC as a strong determinant of the e-government quality dimensions.

scholarly journals Understanding Price Formation in Electricity Markets

2006 ◽  
Vol 126 (3) ◽  
pp. 327-335 ◽  
Author(s):  
Toshihisa Kadoya ◽  
Tetsuo Sasaki ◽  
Akihiko Yokoyama ◽  
Satoru Ihara
Keyword(s):  
Electricity Markets ◽  
Price Formation

scholarly journals Inclusión financiera femenina en México: una herramienta para su empoderamiento = Financial Inclusion for Women in Mexico: a Tool for their Empowerement

2019 ◽  
Vol 4 (3) ◽  
pp. 158 ◽  
Author(s):  
Adolfo Federico Herrera García
Keyword(s):  
Gender Equity ◽  
Gender Gap ◽  
Financial Services ◽  
Credit Card ◽  
Positive Impact ◽  
Explanatory Power ◽  
Hierarchical Cluster ◽  
Financial Inclusion ◽  
Adult Women ◽  
Las Mujeres

Resumen. El artículo analiza la inclusión financiera de la mujer y su relación con el em­poderamiento en la actual sociedad mexicana ya que cifras oficiales muestran que el 39% de las mujeres adultas tienen una cuenta bancaria y solo el 25% tienen una tarjeta de crédito, lo que enmarca una gran dependencia de las mujeres con los hombres en materia financiera. Ac­tualmente, no existe una teoría establecida sobre la inclusión financiera de la mujer, aunque si se ha puesto en relevancia la importancia de fomentarla como herramienta para lograr el em­poderamiento de grupos excluidos. Se muestra el impacto positivo de disminuir la exclusión financiera femenina en nuestro país, para después determinar a través del análisis de compo­nentes principales las variables que tienen mayor poder explicativo en este fenómeno; además se utiliza el análisis de clúster jerárquico, que permite establecer el nivel que tiene cada estado de la República en cuanto al acceso y uso de servicios financieros en instituciones tradicion­ales y microfinancieras. Dado esto, se puede decir que existe una brecha de género importante y que se necesitan implementar medidas que aumenten la participación de la mujer en el sec­tor financiero para mejorar sus condiciones socioeconómicas y su calidad de vida, la cual le permita crecer en los diferentes entornos de la vida cotidiana.Palabras clave: inclusión financiera, empoderamiento, equidad de género, acceso, mi­crofinanzas. Abstract. The article analyzes the financial inclusion of women and their relationship with empowerment in the current Mexican society as official figures show that 39% of adult women have a bank account and only 25% have a credit card, which It frames a great depen­dence of women with men in financial matters. Currently, there is no established theory on the financial inclusion of women, although the importance of promoting it as a tool to achieve the empowerment of excluded groups has been highlighted. It shows the positive impact of decreasing female financial exclusion in our country, to then determine through the analysis of major components the variables that have greater explanatory power in this phenomenon; In addition, a hierarchical cluster analysis is used to establish the level of each state of the Repu­blic in terms of access and use of financial services in traditional and microfinance institutions.Given this, it can be said that there is an important gender gap and that measures must be im­plemented to increase the participation of women in the financial sector in order to improve their socioeconomic conditions and their quality of life, which allows them to grow in different environments of everyday life.Keywords: financial inclusion, empowerment, gender equity, access, microfinance.

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