scholarly journals Clustering electricity market participants via FRM models

2020 ◽  
pp. 1-12
Author(s):  
Ayla Gülcü ◽  
Sedrettin Çalişkan
Keyword(s):  
Electricity Market ◽  
Distance Metrics ◽  
Agglomerative Clustering ◽  
Timely Manner ◽  
Short Term ◽  
Clustering Techniques ◽  
Market Participants ◽  
Cosine Distance ◽  
Collateral Mechanism

Collateral mechanism in the Electricity Market ensures the payments are executed on a timely manner; thus maintains the continuous cash flow. In order to value collaterals, Takasbank, the authorized central settlement bank, creates segments of the market participants by considering their short-term and long-term debt/credit information arising from all market activities. In this study, the data regarding participants’ daily and monthly debt payment and penalty behaviors is analyzed with the aim of discovering high-risk participants that fail to clear their debts on-time frequently. Different clustering techniques along with different distance metrics are considered to obtain the best clustering. Moreover, data preprocessing techniques along with Recency, Frequency, Monetary Value (RFM) scoring have been used to determine the best representation of the data. The results show that Agglomerative Clustering with cosine distance achieves the best separated clustering when the non-normalized dataset is used; this is also acknowledged by a domain expert.

scholarly journals Analysis of Block Orders and Its Implications for Market Participation Mode of Battery Energy Storage Stations

2021 ◽  
Vol 252 ◽  
pp. 03003
Author(s):  
Liangyuan Wang ◽  
Shuyuan Lin ◽  
Zongheng Xuan ◽  
Wensheng Ye ◽  
Shuofan Lin ◽  
...  
Keyword(s):  
Energy Storage ◽  
Electricity Market ◽  
Electric Energy ◽  
Actual Situation ◽  
Time Sharing ◽  
Market Participation ◽  
Battery Energy Storage ◽  
Market Participants ◽  
Battery Energy

Flexible block orders designed by European electricity market is a relatively perfect time-sharing electricity price and clearing mechanism. It allows members to provide bidding form of diversification and individuation according to their own characteristics. This mechanism has features of flexibility, compatibility and expansibility, and can reasonably express the trading demands of various types of market participants, which including energy storage. Therefore, it can be used to solve the problem of market participation model of energy storage. Considering the actual situation in China, block orders are suitable for the daily, weekly and monthly markets to help battery energy storage stations. So that they can obtain low-price electric energy by participating in the medium and long-term electricity market and promote the development of them.

scholarly journals Anchored k-medoids: a novel adaptation of k-medoids further refined to measure long-term instability in the exposure to crime

2021 ◽  
Author(s):  
Monsuru Adepeju ◽  
Samuel Langton ◽  
Jon Bannister
Keyword(s):  
Law Enforcement ◽  
Simulated Data ◽  
Computational Social Science ◽  
Crime Trends ◽  
Short Term ◽  
Law Enforcement Agencies ◽  
Clustering Techniques ◽  
The Public ◽  
Long Term Stability

AbstractLongitudinal clustering techniques are widely deployed in computational social science to delineate groupings of subjects characterized by meaningful developmental trends. In criminology, such methods have been utilized to examine the extent to which micro places (such as streets) experience macro-level police-recorded crime trends in unison. This has largely been driven by a theoretical interest in the longitudinal stability of crime concentrations, a topic that has become particularly pertinent amidst a widespread decline in recorded crime. Recent studies have tended to rely on a generic implementation k-means to unpick this stability, with little consideration for its theoretical suitability. This study makes two methodological contributions. First, it demonstrates the application of k-medoids to study longitudinal crime concentrations, and second, it develops a novel ‘anchored k-medoids’ (ak-medoids), a bespoke clustering method specifically designed to meet the theoretical requirements of micro-place investigations into long-term stability. Using both simulated data and 15-years of police-recorded crime data from Birmingham, England, we compare the performances of k-medoids against ak-medoids. We find that both methods highlight instability in the exposure to crime over time, but the consistency and contribution of cluster solutions determined by ak-medoids provide insight overlooked by k-medoids, which is sensitive to short-term fluctuations and subject starting points. This has important implications for the theories said to explain longitudinal crime concentrations, and the law enforcement agencies seeking to offer an effective and equitable service to the public.

scholarly journals On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Energies ◽  
2019 ◽  
Vol 12 (8) ◽  
pp. 1463 ◽  
Author(s):  
Daniel Ştefan Armeanu ◽  
Camelia Cătălina Joldeş ◽  
Ştefan Cristian Gherghina
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Energy Market ◽  
Hard Coal ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Short Term ◽  
Market Participants ◽  
Johansen Cointegration Test

his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

scholarly journals Forecasting Short-term Wholesale Prices on the Irish Single Electricity Market

2018 ◽  
Vol 8 (6) ◽  
pp. 4060
Author(s):  
Francesco Arci ◽  
Jane Reilly ◽  
Pengfei Li ◽  
Kevin Curran ◽  
Ammar Belatreche
Keyword(s):  
Electricity Markets ◽  
Electricity Market ◽  
Electricity Generation ◽  
Informed Trading ◽  
Electricity Prices ◽  
Customer Demand ◽  
Short Term ◽  
Market Participants ◽  
Energy Demands ◽  
Trading Decisions

Electricity markets are different from other markets as electricity generation cannot be easily stored in substantial amounts and to avoid blackouts, the generation of electricity must be balanced with customer demand for it on a second-by-second basis. Customers tend to rely on electricity for day-to-day living and cannot replace it easily so when electricity prices increase, customer demand generally does not reduce significantly in the short-term. As electricity generation and customer demand must be matched perfectly second-by-second, and because generation cannot be stored to a considerable extent, cost bids from generators must be balanced with demand estimates in advance of real-time. This paper outlines a a forecasting algorithm built on artificial neural networks to predict short-term wholesale prices on the Irish Single Electricity Market so that market participants can make more informed trading decisions. Research studies have demonstrated that an adaptive or self-adaptive approach to forecasting would appear more suited to the task of predicting energy demands in territory such as Ireland. We have identified the features that such a model demands and outline it here.

Brazilian electricity market: Problems, dilemmas and a new market design aiming to enhance flexibility while ensuring the same level of efficiency and security of supply

2015 ◽  
Vol 16 (2) ◽  
Author(s):  
Felipe A. Calabria ◽  
J. Tomé Saraiva
Keyword(s):  
Electricity Market ◽  
Market Design ◽  
Energy Resources ◽  
Security Of Supply ◽  
Short Term ◽  
Market Participants ◽  
System A ◽  
Generation Capacity ◽  
Supply Level ◽  
Oriented Approach

The Brazilian electricity market contains certain particularities that distinguish it from other markets. With a continental interconnected transmission system, a large and growing demand, and a total installed generation capacity around 137 GW, from which around70% comes fromhydropower plants withmultipleownerscoexisting in hydro cascades, this electricity market has gone through two large institutional and regulatory reforms in the last twenty years. Nevertheless, currently the conciliation between the commercial commitments of the market participants and the physical dispatch is not smooth. There is a lack of “trading opportunities” to encourage participants to comply with their contracts. Moreover, the Brazilian short-term market actsas a mechanismto settle differences rather thana true market and,neither the short-term price northe dispatch schedule is determined by the market. This paper discusses these problems, brings out some dilemmas that should be examined in order to implement a more market-oriented approach, and proposes a new market design to overcome these issues. The proposed market design is based on the concept of energy right accounts as virtual reservoirs and aims at enhancing the flexibility to enable market participants to comply with their contracts, while still ensuring the efficient use of the energy resources and maintaining the current security supply level.

Securitization in the Capital Markets Union

2018 ◽  
Author(s):  
Gerard Kastelein
Keyword(s):  
Capital Markets ◽  
Negotiation Process ◽  
Short Term ◽  
Market Participants ◽  
Capital Markets Union ◽  
Negative Effect ◽  
Commercial Paper ◽  
Application Date ◽  
Primary Focus

On 30 May 2017, the European Parliament, Council, and Commission reached a political agreement on the package of regulatory reforms of the European securitisation market. The package is aimed at facilitating the development of a securitisation market in Europe. The package represents the latest development of a negotiation process that started back in September 2015. The application date is expected to be 1 January 2019. Meanwhile, market participants have expressed uncertainties as to its effectiveness. This chapter considers the risk that the package will have a negative effect on the European securitisation market, resulting in further contraction. The primary focus of the chapter is on the rules on long-term securitisations as opposed to the short-term securitisations (asset-backed commercial paper).

scholarly journals The case for including additional long‐term oriented environmental data in coffee and cocoa futures forecasting models: an exploration

2021 ◽  
Author(s):  
Jaclyn Daitchman
Keyword(s):  
Public Information ◽  
Environmental Data ◽  
Short Term ◽  
Academic Literature ◽  
Weather Patterns ◽  
Market Participants ◽  
Building Models ◽  
Future Viability ◽  
Insight Into

Price discovery is a key function of the futures markets yet limited public information exists about the price‐building models used by market participants. To fill a gap in the literature, interviews were conducted with the largest coffee and cocoa traders, investors, and organizations to provide insight into the models they use to forecast supply and futures prices, with an emphasis on the environmental factors considered to have a significant impact on yield. Despite concerns in the academic literature about soil degradation and climate change affecting the future viability of these crops, market participants primarily based their forecasts on short‐term weather patterns that deviated from the norm, as per historical data. Participants’ near‐unanimous acknowledgement that low coffee and cocoa prices pose a threat to the sustainability of the industry suggests that there is room to price in long‐term factors into short‐term futures models.

Particle Swarm Optimization Based GM(1,1) Method on Short-Term Electricity Price Forecasting with Predicted Error Improvement

2010 ◽  
Vol 40-41 ◽  
pp. 183-188
Author(s):  
Rui Qing Wang ◽  
Fu Xiong Wang ◽  
Wen Tian Ji
Keyword(s):  
Particle Swarm Optimization ◽  
Electricity Market ◽  
Particle Swarm ◽  
Electricity Price ◽  
Price Forecasting ◽  
Short Term ◽  
Swarm Optimization ◽  
Forecasting Accuracy ◽  
Market Participants ◽  
Electricity Price Forecasting

Under deregulated environment, accurate electricity price forecasting is a crucial issue concerned by all market participants. Experience shows that single forecasting model is very difficult to improve the forecasting accuracy due to the complicated factors affecting electricity prices. In this paper, a particle swarm optimization based GM(1,1) method on short-term electricity price forecasting with predicted error improvement is proposed, in which the moving average method is used to process the raw data, the particle swarm optimization based GM(1,1) model is used to the processed series, and the time series analysis is used to further improve the predicted errors. The numerical example based on the historical data of the PJM market shows that the method can reflect the characteristics of electricity price better and the forecasting accuracy can be improved virtually compared with the conventional GM(1,1) model. The forecasted prices accurate enough to be used by electricity market participants to prepare their bidding strategies.

A Transmission Pricing Method Considering Long-Term Capacity Cost

2013 ◽  
Vol 316-317 ◽  
pp. 128-131
Author(s):  
Xu Liu ◽  
Yang Liu
Keyword(s):  
Electricity Market ◽  
Transmission Network ◽  
Electricity Pricing ◽  
Short Term ◽  
Transmission Pricing ◽  
Special Fund ◽  
Generation Company ◽  
Short Run ◽  
Capacity Cost

In the research of electricity market, electricity pricing is a key issue. Transmission pricing affects the interests of generation company, transmission company and consumer. In this paper, a new method of transmission pricing is proposed .It is based on the short term marginal cost method and further considers capacity cost. Simulation results show that the method proposed can not only lead to short-run market efficiency by providing effective economic signals to generators and consumers, but also ensure the balance between income and expenditure of transmission companies as well as help them accumulate special fund for transmission network expansion.

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