scholarly journals Renewable Power and Electricity Prices: The Impact of Forward Markets

2021 ◽  
Author(s):  
Heikki Peura ◽  
Derek W. Bunn
Keyword(s):  
Production Cost ◽  
Numerical Study ◽  
Order Effect ◽  
Market Model ◽  
Wind Generation ◽  
Renewable Generation ◽  
Electricity Prices ◽  
Forward Markets ◽  
Renewable Power ◽  
The Impact

Increasing variable renewable power generation (e.g., wind) is expected to reduce wholesale electricity prices by virtue of its low marginal production cost. This merit-order effect of renewables displacing incumbent conventional (e.g., gas) generation forms the theoretical underpinning for investment decisions and policy in the power industry. This paper uses a game-theoretic market model to investigate how intermittently available wind generation affects electricity prices in the presence of forward markets, which are widely used by power companies to hedge against revenue variability ahead of near-real-time spot trading. We find that in addition to the established merit-order effect, renewable generation affects power prices through forward-market hedging. This forward effect reinforces the merit-order effect in reducing prices for moderate amounts of wind generation capacity but mitigates or even reverses it for higher capacities. For moderate wind capacity, uncertainty over its output increases hedging, and these higher forward sales lead to lower prices. For higher capacities, however, wind variability conversely causes power producers to behave less aggressively in forward trading for fear of unfavorable spot-market positions. The lower sales counteract the merit-order effect, and prices may then paradoxically increase with wind capacity despite its lower production cost. We confirm the potential for such reversals in a numerical study, suggesting new empirical questions while providing potential explanations for previously contradictory observed effects of market fundamentals. We conclude that considering the conventional merit-order effect alone is insufficient for evaluating the price impacts of variable renewable generation in the presence of forward markets. This paper was accepted by Vishal Gaur, operations management.

ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS

2017 ◽  
Vol 20 (01) ◽  
pp. 1750002
Author(s):  
NORMAN JOSEPHY ◽  
LUCIA KIMBALL ◽  
VICTORIA STEBLOVSKAYA
Keyword(s):  
Transaction Costs ◽  
Numerical Study ◽  
Market Model ◽  
Hedging Strategy ◽  
Market Data ◽  
Option Hedging ◽  
Black Scholes ◽  
Real Market ◽  
Delta Hedge ◽  
The Impact

We present a numerical study of non-self-financing hedging of European options under proportional transaction costs. We describe an algorithmic approach based on a discrete time financial market model that extends the classical binomial model. We review the analytical basis for our algorithm and present a variety of empirical results using real market data. The performance of the algorithm is evaluated by comparing to a Black–Scholes delta hedge with transaction costs incorporated. We also evaluate the impact of recalibrating the hedging strategy one or more times during the life of the option using the most recent market data. These results are compared to a recalibrated Black–Scholes delta hedge modified for transaction costs.

The Impact of Wind Generation on Wholesale Electricity Prices in the Hydro-Rich Pacific Northwest

2013 ◽  
Vol 28 (4) ◽  
pp. 4245-4253 ◽  
Author(s):  
Chi-Keung Woo ◽  
Jay Zarnikau ◽  
Jonathan Kadish ◽  
Ira Horowitz ◽  
Jianhui Wang ◽  
...  
Keyword(s):  
Pacific Northwest ◽  
Wind Generation ◽  
Electricity Prices ◽  
The Impact

scholarly journals The Elimination Effect of Take-Back Regulation on Backward Production Capacity Remanufacturing Supply Chains

2021 ◽  
Vol 2021 ◽  
pp. 1-18
Author(s):  
Bangyi Li ◽  
Xintong Chen ◽  
Shanting Wei ◽  
Yongbo Cheng
Keyword(s):  
End Of Life ◽  
Numerical Study ◽  
Production Capacity ◽  
Consumer Surplus ◽  
New Product ◽  
Market Model ◽  
Take Back ◽  
The Government ◽  
Product Output ◽  
The Impact

With more and more end-of-life products in daily life, many companies are engaging in remanufacturing, including backward production capacity (BPC) enterprises. Meanwhile, take-back regulation always asks the manufacturer to take back end-of-life products to reduce pollution. However, the effect of take-back regulation on remanufacturers remains unclear. In this paper, we first analyzed the take-back regulation threshold with the elimination effect. We then discussed the impact on stakeholders, such as the manufacturer, the remanufacturer, consumers, and the government. A two-stage dynamic market model is proposed, which considers the market with/without BPC remanufacturer. Take-back regulation’s elimination effect is studied, and the results show that when the collection target reaches the elimination threshold, the manufacturer’s profit declines, the BPC remanufacturer is eliminated, consumer surplus decreases, and social welfare is improved. Besides, to cope with a high take-back regulation target, the manufacturer will reduce new product output, which leads to BPC remanufacturer’s benefits decline. A numerical study is given with a different collecting strategy of the BPC remanufacturer, the incentive interval, the inhibition interval, and the elimination interval of the take-back regulation for stakeholders which are described. At last, some managerial insights are given to help the regulator implement take-back regulation.

scholarly journals Drága-e a megújuló? – A hazai megújuló villamosenergia-termelés hatása a villamos energia árára (Is the renewable energy expensive? – Impact of the Hungarian renewable based power generation on electricity price)

2014 ◽  
pp. 40-52
Author(s):  
András Mezősi
Keyword(s):  
Power Generation ◽  
Renewable Energy ◽  
Electricity Markets ◽  
Electricity Price ◽  
Electricity Prices ◽  
Power Generator ◽  
Renewable Power ◽  
Renewable Power Generation ◽  
Photo Voltaic ◽  
The Impact

A tanulmány arra keresi a választ, hogy a megújuló alapú áramtermelők támogatása csökkentőleg hathat- e a villamos energia nagykereskedelmi és kiskereskedelmi árára. Ez utóbbi tartalmazza a megújulók támogatásának összegét is. Számos elméleti cikk rámutatott arra, hogy nemcsak a nagykereskedelmi árak, hanem a kiskereskedelmi villamosenergia-árak is csökkenhetnek a drágább, megújuló alapú áramtermelők támogatása révén. A tanulmány során egy villamosenergia-piacokat szimuláló modell segítségével modellezi a szerző, hogy a különböző mennyiségű szélerőművi és fotovoltaikus kapacitás támogatása hogyan hat a magyarországi nagykereskedelmi és kiskereskedelmi árakra. _____ Impact of the Hungarian renewable based power generation on electricity price The aim of this paper is to answer the question whether the support of renewable power generation could decrease the wholesale and retail electricity prices. The latter one includes the support of renewables. Several studies point out that not only the wholesale, but the retail electricity prices could decrease when supporting the more expensive, renewable power generation. A model, which simulates the electricity markets, is used in order to analyse the impact of different level of wind and photo voltaic power generator support fee on Hungarian wholesale and retail electricity prices.

scholarly journals Model of thermal buoyancy in cavity-ventilated roof constructions

2021 ◽  
pp. 174425912098418
Author(s):  
Toivo Säwén ◽  
Martina Stockhaus ◽  
Carl-Eric Hagentoft ◽  
Nora Schjøth Bunkholt ◽  
Paula Wahlgren
Keyword(s):  
Analytical Model ◽  
Flow Rate ◽  
Numerical Study ◽  
Air Flow ◽  
Wind Pressure ◽  
Air Flow Rate ◽  
Test Set ◽  
Air Cavity ◽  
Thermal Buoyancy ◽  
The Impact

Timber roof constructions are commonly ventilated through an air cavity beneath the roof sheathing in order to remove heat and moisture from the construction. The driving forces for this ventilation are wind pressure and thermal buoyancy. The wind driven ventilation has been studied extensively, while models for predicting buoyant flow are less developed. In the present study, a novel analytical model is presented to predict the air flow caused by thermal buoyancy in a ventilated roof construction. The model provides means to calculate the cavity Rayleigh number for the roof construction, which is then correlated with the air flow rate. The model predictions are compared to the results of an experimental and a numerical study examining the effect of different cavity designs and inclinations on the air flow rate in a ventilated roof subjected to varying heat loads. Over 80 different test set-ups, the analytical model was found to replicate both experimental and numerical results within an acceptable margin. The effect of an increased total roof height, air cavity height and solar heat load for a given construction is an increased air flow rate through the air cavity. On average, the analytical model predicts a 3% higher air flow rate than found in the numerical study, and a 20% lower air flow rate than found in the experimental study, for comparable test set-ups. The model provided can be used to predict the air flow rate in cavities of varying design, and to quantify the impact of suggested roof design changes. The result can be used as a basis for estimating the moisture safety of a roof construction.

scholarly journals Analysis of EV Cost-Based Charging Load Profiles

Proceedings ◽  
2020 ◽  
Vol 65 (1) ◽  
pp. 2
Author(s):  
Elisavet Koutsi ◽  
Sotirios Deligiannis ◽  
Georgia Athanasiadou ◽  
Dimitra Zarbouti ◽  
George Tsoulos
Keyword(s):  
Electric Vehicles ◽  
User Preferences ◽  
Reference Scenario ◽  
Electricity Prices ◽  
Horizon 2020 ◽  
Vehicle To Grid ◽  
Electrical Grid ◽  
Incentive Strategies ◽  
Grid Load ◽  
The Impact

During the last few decades, electric vehicles (EVs) have emerged as a promising sustainable alternative to traditional fuel cars. The work presented here is carried out in the context of the Horizon 2020 project MERLON and targets the impact of EVs on electrical grid load profiles, while considering both grid-to-vehicle (G2V) and vehicle-to-grid (V2G) operation modes. Three different charging policies are considered: the uncontrolled charging, which acts as a reference scenario, and two strategies that fall under the umbrella of individual charging policies based on price incentive strategies. Electricity prices along with the EV user preferences are taken into account for both charging (G2V) and discharging (V2G) operations, allowing for more realistic scenarios to be considered.

scholarly journals Modeling and Estimating Volatility of Day-Ahead Electricity Prices

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 750
Author(s):  
Sherzod N. Tashpulatov
Keyword(s):  
Heavy Tails ◽  
Price Level ◽  
Power Market ◽  
Error Distribution ◽  
Electricity Prices ◽  
Volatility Model ◽  
Generalized Error Distribution ◽  
Student’S T ◽  
The Uk ◽  
The Impact

We model day-ahead electricity prices of the UK power market using skew generalized error distribution. This distribution allows us to take into account the features of asymmetry, heavy tails, and a peak higher than in normal or Student’s t distributions. The adequacy of the estimated volatility model is verified using various tests and criteria. A correctly specified volatility model can be used for analyzing the impact of reforms or other events. We find that, after the start of the COVID-19 pandemic, price level and volatility increased.

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