scholarly journals Long-term seasonal forwards in electricity generation markets: an application to Colombia

2018 ◽  
Vol 37 (74) ◽  
pp. 287-314
Author(s):  
Jesus Lopez Lezama ◽  
David Tobon ◽  
Esteban Velilla ◽  
Jorge Barrientos ◽  
Fernando Villada
Keyword(s):  
Risk Premium ◽  
Electricity Generation ◽  
Portfolio Theory ◽  
Cournot Competition ◽  
Demand Elasticity ◽  
Spot Price ◽  
Seasonal Demand ◽  
Forward Prices ◽  
The Given

Seasonal components have been found in the price of most commodities, where prices are largely determined by the anticipation of seasonal demand and/or supply. This paper presents a methodology to determine seasonal forward prices in the electricity generation markets. A Cournot competition to characterize this market is assumed. Forward prices are calculated in accordance with the demand elasticity of the forwards and spot price through a differential or “gap” that represents the risk premium for the current forwards, plus some non-observable heterogeneities. The distribution of the given quantities in seasonal contracts is carried out through the classic portfolio theory. This methodology is applied to the Colombian case, and shows that it will be more profitable for generators to sell the proposed seasonal hydric forwards.

Information in Electricity Forward Prices

2019 ◽  
Vol 55 (8) ◽  
pp. 2641-2664
Author(s):  
Richard A. Michelfelder ◽  
Eugene A. Pilotte
Keyword(s):  
Seasonal Variation ◽  
Risk Premium ◽  
Price Change ◽  
Supply And Demand ◽  
Spot Price ◽  
Time Varying ◽  
Spot Prices ◽  
Forward Prices ◽  
The Difference ◽  
Hourly Variation

We examine forward prices in a market where nonstorable inventory exacerbates the influence of seasonal and hourly variation in supply and demand, expected and unexpected, on the level and volatility of spot prices. We find strong evidence, unusual for a commodity, that the difference between contemporaneous forward and spot prices has power to forecast both the spot price change and the risk premium realized at delivery. Our evidence of a time-varying risk premium is consistent with expected hourly and seasonal variation in the needs of producers and retailers of electricity to hedge against extreme spot price decreases and increases, respectively.

scholarly journals Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts

Energies ◽  
2021 ◽  
Vol 14 (11) ◽  
pp. 3345
Author(s):  
Alfredo Trespalacios ◽  
Lina M. Cortés ◽  
Javier Perote
Keyword(s):  
Electricity Market ◽  
Risk Premium ◽  
Spot Price ◽  
Risk Indicator ◽  
Forward Contracts ◽  
Hedging Strategy ◽  
Hedge Ratio ◽  
Nonparametric Distribution ◽  
Forward Risk Premium

Energy transactions in liberalized markets are subject to price and quantity uncertainty. This paper considers the spot price and energy generation to follow a bivariate semi-nonparametric distribution defined in terms of the Gram–Charlier expansion. This distribution allows us to jointly model not only mean, variance, and correlation but also skewness, kurtosis, and higher-order moments. Based on this model, we propose a static hedging strategy for electricity generators that participate in a competitive market where hedging is carried out through forward contracts that include a risk premium in their valuation. For this purpose, we use Monte Carlo simulation and consider information from the Colombian electricity market as the case study. The results show that the volume of energy to be sold under long-term contracts depends on each electricity generator and the risk assessment made by the market in the forward risk premium. The conditions of skewness, kurtosis, and correlation, as well as the type of the employed risk indicator, affect the hedging strategy that each electricity generator should implement. A positive correlation between the spot price and energy production tends to increase the hedge ratio; meanwhile, negative correlation tends to reduce it. The increase of forward risk premium, on the other hand, reduces the hedge ratio.

Commodity Exchange-Traded Funds

2018 ◽  
Author(s):  
Christopher Milliken
Keyword(s):  
Portfolio Diversification ◽  
Futures Contracts ◽  
Spot Price ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Regulatory Structure ◽  
Commodity Exchange ◽  
Asset Class ◽  
Exchange Traded Fund

Commodity exchange-traded funds (ETCs), which debuted in 2004, enable investors to access an asset class previously difficult or expensive to access. Although a small segment of the overall exchange-traded fund (ETF) universe, ETCs have grown in popularity with both speculators and investors looking for long-term portfolio diversification. Examples of the types of commodities that are now accessible through ETCs include gold, oil, and agricultural. The literature on ETCs is limited, but academic and industry work has centered on using futures contracts to replicate the performance of the underlying commodities spot price as well as the effect additional capital has had on the integrity of the futures market. This chapter covers this topic by reviewing the growth, investment strategies, and regulatory structure of ETCs as well as the underlying effects these funds have had on the underlying markets with which they engage.

scholarly journals Mapping of affordability levels for photovoltaic-based electricity generation in the solar belt of sub-Saharan Africa, East Asia and South Asia

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Sándor Szabó ◽  
Irene Pinedo Pascua ◽  
Daniel Puig ◽  
Magda Moner-Girona ◽  
Mario Negre ◽  
...  
Keyword(s):  
East Asia ◽  
South Asia ◽  
Electricity Generation ◽  
Sub Saharan Africa ◽  
Solar Photovoltaic ◽  
Term Operation ◽  
Sub Saharan ◽  
High Level ◽  
Do So

AbstractLack of access to modern forms of energy hampers efforts to reduce poverty. The provision of electricity to off-grid communities is therefore a long-standing developmental goal. Yet, many off-grid electrification projects neglect mid- and long-term operation and maintenance costs. When this is the case, electricity services are unlikely to be affordable to the communities that are the project’s primary target. Here we show that, compared with diesel-powered electricity generation systems, solar photovoltaic systems are more affordable to no less than 36% of the unelectrified populations in East Asia, South Asia, and sub-Saharan Africa. We do so by developing geo-referenced estimates of affordability at a high level of resolution (1 km2). The analysis illustrates the differences in affordability that may be found at the subnational level, which underscores that electrification investments should be informed by subnational data.

Volatility Forecast by Volatility Index and Its Use as a Risk Management Tool Under a Value-at-Risk Approach

2018 ◽  
Vol 21 (02) ◽  
pp. 1850010 ◽  
Author(s):  
Yam Wing Siu
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Risk Premium ◽  
Value At Risk ◽  
Realized Volatility ◽  
Management Tool ◽  
Spot Price ◽  
Pricing Options ◽  
Significance Levels ◽  
Risk Approach

This paper examines the predicting power of the volatility indexes of VIX and VHSI on the future volatilities (or called realized volatility, [Formula: see text] of their respective underlying indexes of S&P500 Index, SPX and Hang Seng Index, HSI. It is found that volatilities indexes of VIX and VHSI, on average, are numerically greater than the realized volatilities of SPX and HSI, respectively. Further analysis indicates that realized volatility, if used for pricing options, would, on some occasions, result in greatest losses of 2.21% and 1.91% of the spot price of SPX and HSI, respectively while the greatest profits are 2.56% and 2.93% of the spot price of SPX and HSI, respectively, making it not an ideal benchmark for validating volatility forecasting techniques in relation to option pricing. Hence, a new benchmark (fair volatility, [Formula: see text] that considers the premium of option and the cost of dynamic hedging the position is proposed accordingly. It reveals that, on average, options priced by volatility indexes contain a risk premium demanded by the option sellers. However, the options could, on some occasions, result in greatest losses of 4.85% and 3.60% of the spot price of SPX and HSI, respectively while the greatest profits are 4.60% and 5.49% of the spot price of SPX and HSI, respectively. Nevertheless, it can still be a valuable tool for risk management. [Formula: see text]-values of various significance levels for value-at-risk and conditional value-at-value have been statistically determined for US, Hong Kong, Australia, India, Japan and Korea markets.

Modelling the Structure of Long-Term Electricity Forward Prices at Nord Pool

2009 ◽  
Author(s):  
Martin Povh ◽  
Robert Golob ◽  
Stein-Erik Fleten
Keyword(s):  
Forward Prices

scholarly journals A survey of short-term and long-term stability of tube parameters in a mammography unit

2014 ◽  
Vol 29 (4) ◽  
pp. 321-325
Author(s):  
Jovica Praskalo ◽  
Jasna Davidovic ◽  
Biljana Kocic ◽  
Monika Zivkovic ◽  
Svetlana Pejovic
Keyword(s):  
Screening Program ◽  
Short Term ◽  
X Ray ◽  
Term Stability ◽  
Long Term Stability ◽  
Mammography Screening Program ◽  
The Republic ◽  
Set Up ◽  
The Given

In order to set up a successful mammography screening program in the Republic of Srpska, a Siemens Mammomat 1000 X-ray machine was selected for analysis as the said mammography system is widely used in clinical practice. The variations in tube parameters (specific air kerma, high-voltage accuracy and reproducibility, linearity between exposure and dose exposure time) were monitored over a five-year period, from 2008 to 2012. In addition, due to observed daily fluctuations for chosen parameters, a series of measurements were performed three times a day within a single-month period (mainly October 2012). The goal of such an experimental set up is to assess short-term and long-term stability of tube parameters in the given mammography unit and to make a comparison between them. The present paper shows how an early detection of significant parameter fluctuations can help eliminate irregularities and optimize the performance of mammography systems.

scholarly journals Solid Fuel Gasification for Gas Turbines

1997 ◽  
Author(s):  
Alex E. S. Green ◽  
Sergio Peres ◽  
James P. Mullin ◽  
Robert W. Anderson
Keyword(s):  
Solid Fuel ◽  
Gas Turbines ◽  
Electricity Generation ◽  
Low Cost ◽  
Effective Utilization ◽  
Carbonaceous Fuels ◽  
Cogeneration System ◽  
Oxygenated Fuels ◽  
By Products

Gas turbines (GT) have emerged as the most efficient means of transforming heat into mechanical work and with efficient generators are serving as major components of new electricity generation systems. The CCTL research and development efforts are directed towards developing a low cost solid fuel (SF) cogasifier fed by low cost local feedstocks to be coupled with smaller GT systems. The benefits of such systems can be enhanced if valuable by-products are produced or additional community purposes are served. We consider cogasification of biomass with other domestic fuels as a long term strategy for effective utilization of biomass. Our theoretical and experimental work indicate that blending oxygenated fuels such as biomass, MSW, RDF and dried sewage sludge with carbonaceous fuels such as coals, coke and chars in a small cogeneration system will have technological, economic and environmental advantages.

scholarly journals Seasonal and Decadal Variability of Atmosphere Pressure in Arctic, its Statistical and Temporal Analysis

2021 ◽  
Vol 24 (1) ◽  
pp. 57-73
Author(s):  
Константин Павлович Беляев ◽  
Гурий Михайлович Михайлов ◽  
Алексей Николаевич Сальников ◽  
Наталия Павловна Тучкова
Keyword(s):  
Decadal Variability ◽  
Diffusion Processes ◽  
Arctic Region ◽  
Temporal Analysis ◽  
The Arctic ◽  
State University ◽  
Main Research ◽  
Geophysical Interpretation ◽  
The Given

The paper analyzes the statistical and temporal seasonal and decadal variability of the atmospheric pressure field in the Arctic region of Russia. Schemes for the frequency analysis of probability transitions for characteristics of stochastic-diffusion processes were used as the main research method. On the basis of the given series of 60 years long from 1948 to 2008, such parameters of diffusion processes as the mean (drift process) and variance (diffusion process) were calculated and their maps and time curves were constructed. The seasonal and long-term variability of calculated fields was studied as well as their dependencies on a discretization of the frequency intervals. These characteristics were analyzed and their geophysical interpretation was carried out. In particular, the known cycles of solar activity in 11 and 22 years were revealed. Numerical calculations were performed on the Lomonosov-2 supercomputer of the Lomonosov Moscow State University.

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