A Bivariate Model for Deman and Spot Price of Electricity

2012 ◽  
Vol 433-440 ◽  
pp. 3910-3917
Author(s):  
Hilary Green ◽  
Nino Kordzakhia ◽  
Ruben Thoplan
Keyword(s):  
Electricity Markets ◽  
Historical Data ◽  
Extreme Values ◽  
Spot Price ◽  
Bivariate Model ◽  
Spot Prices ◽  
Short Period ◽  
Detailed Statistical Analysis ◽  
Modelling Methodology ◽  
The Mean

In this paper bivariate modelling methodology, solely applied to the spot price of electricity or demand for electricity in earlier studies, is extended to a bivariate process of spot price of electricity and demand for electricity. The suggested model accommodates common idiosyncrasies observed in deregulated electricity markets such as cyclical trends in price and demand for electricity, occurrence of extreme spikes in prices, and mean-reversion effect seen in settling of prices from extreme values to the mean level over a short period of time. The paper presents detailed statistical analysis of historical data of daily averages of electricity spot prices and corresponding demand for electricity. The data is obtained from the NSW section of Australian Energy Markets.

CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS

2004 ◽  
Vol 07 (02) ◽  
pp. 101-120 ◽  
Author(s):  
MARTIN BARLOW ◽  
YURI GUSEV ◽  
MANPO LAI
Keyword(s):  
Kalman Filter ◽  
Stochastic Processes ◽  
Extended Kalman Filter ◽  
Electricity Markets ◽  
Kalman Filters ◽  
Historical Data ◽  
Spot Price ◽  
Market Data ◽  
Multifactor Models ◽  
Spot Prices

Spot prices of electricity and other energy commodities are often modeled by multifactor stochastic processes. This poses a problem of estimating models' parameters based on historical data, i.e. calibrating them to markets. Here we show how a traditional tool of Kalman Filters can be successfuly applied to do this task. We study two mean-reverting log-spot price models and the Pilipovic model using correspondingly Kalman Filter the extended Kalman Filter. The results of applying this method to market data from several power exchanges are discussed.

scholarly journals Granger Causality Network Methods for Analyzing Cross-Border Electricity Trading between Greece, Italy, and Bulgaria

Energies ◽  
2020 ◽  
Vol 13 (4) ◽  
pp. 900 ◽  
Author(s):  
George P. Papaioannou ◽  
Christos Dikaiakos ◽  
Christos Kaskouras ◽  
George Evangelidis ◽  
Fotios Georgakis
Keyword(s):  
Granger Causality ◽  
Electricity Markets ◽  
Historical Data ◽  
Spot Price ◽  
Spot Prices ◽  
Cross Border ◽  
Electricity Trading ◽  
Network Methods ◽  
Generation Capacity ◽  
Market Variables

Italy, Greece, and, to a lesser degree, Bulgaria have experienced fast growth in their renewable generation capacity (RESc) over the last several years. The consequences of this fact include a decrease in spot wholesale prices in electricity markets and a significant effect on cross border trading (CBT) among neighboring interconnected countries. In this work, we empirically analyzed historical data on fundamental market variables (i.e., spot prices, load, RES generation) as well as CBT data (imports, exports, commercial schedules, net transfer capacities, etc.) on the Greek, Italian, and Bulgarian electricity markets by applying the Granger causality connectivity analysis (GCCA) approach. The aim of this analysis was to detect all possible interactions among the abovementioned variables, focusing in particular on the effects of growing shares of RES generation on the commercial electricity trading among the abovementioned countries for the period 2015–2018. The key findings of this paper are summarized as the following: The RES generation in Italy, for the period examined, drives the spot prices in Greece via commercial schedules. In addition, on average, spot price fluctuations do not affect the commercial schedules of energy trading between Greece and Bulgaria.

A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets

2014 ◽  
Vol 18 (5) ◽  
Author(s):  
Katja Ignatieva
Keyword(s):  
Electricity Markets ◽  
Continuous Time ◽  
Regime Switching ◽  
Diffusion Processes ◽  
Market Price ◽  
Parametric Models ◽  
Futures Contracts ◽  
Spot Price ◽  
Nonparametric Model ◽  
Spot Prices

AbstractThis paper deals with the estimation of continuous time diffusion processes describing the dynamics of electricity spot prices. Different parametric models have been proposed in the literature, each attempting to capture empirical characteristics and stylized facts of the electricity market like the spiky behavior of the spot prices. Although jump-diffusion and regime-switching models perform reasonably well, there is always a trade-off between model parsimony and adequacy. The results in the literature indicate that none of the models seem to consistently outperform its counterparts. This paper avoids making parametric assumption about the drift and the diffusion coefficient functions of the underlying electricity spot prices, and estimates these functions together with the market price of risk in a nonparametric way. The latter allows us to price futures contracts written on electricity spots. Using electricity spot prices and futures data from the regional electricity markets in Australia, we show that besides offering a convenient way of estimating the continuous-time models for electricity spot prices, our nonparametric estimation procedure performs well in- and out-of-sample when dealing with pricing of future contracts.

the effects of resonance with Jupiter in the system of short-period comets

1974 ◽  
Vol 22 ◽  
pp. 193-203
Author(s):  
L̆ubor Kresák
Keyword(s):  
Structural Effects ◽  
Order Resonance ◽  
Mean Motion ◽  
Short Period ◽  
The Mean ◽  
Compound Effect ◽  
Low Order

AbstractStructural effects of the resonance with the mean motion of Jupiter on the system of short-period comets are discussed. The distribution of mean motions, determined from sets of consecutive perihelion passages of all known periodic comets, reveals a number of gaps associated with low-order resonance; most pronounced are those corresponding to the simplest commensurabilities of 5/2, 2/1, 5/3, 3/2, 1/1 and 1/2. The formation of the gaps is explained by a compound effect of five possible types of behaviour of the comets set into an approximate resonance, ranging from quick passages through the gap to temporary librations avoiding closer approaches to Jupiter. In addition to the comets of almost asteroidal appearance, librating with small amplitudes around the lower resonance ratios (Marsden, 1970b), there is an interesting group of faint diffuse comets librating in characteristic periods of about 200 years, with large amplitudes of about±8% in μ and almost±180° in σ, around the 2/1 resonance gap. This transient type of motion appears to be nearly as frequent as a circulating motion with period of revolution of less than one half that of Jupiter. The temporary members of this group are characteristic not only by their appearance but also by rather peculiar discovery conditions.

Pricing of Futures Contracts

2018 ◽  
Author(s):  
Timothy A. Krause
Keyword(s):  
Fair Value ◽  
Commodity Futures ◽  
Futures Contracts ◽  
Spot Price ◽  
Futures Prices ◽  
No Arbitrage ◽  
Spot Prices ◽  
Cost Of Carry ◽  
Contract Expiration ◽  
The Cost

This chapter examines the relation between futures prices relative to the spot price of the underlying asset. Basic futures pricing is characterized by the convergence of futures and spot prices during the delivery period just before contract expiration. However, “no arbitrage” arguments that dictate the fair value of futures contracts largely determine pricing relations before expiration. Although the cost of carry model in its various forms largely determines futures prices before expiration, the chapter presents alternative explanations. Related commodity futures complexes exhibit mean-reverting behavior, as seen in commodity spread markets and other interrelated commodities. Energy commodity futures prices can be somewhat accurately modeled as a generalized autoregressive conditional heteroskedastic (GARCH) process, although whether these models provide economically significant excess returns is uncertain.

scholarly journals Operating Rooms efficiency: leveraging data to improve management of elective surgery

2020 ◽  
Vol 30 (Supplement_5) ◽  
Author(s):  
C Quercioli ◽  
G A Carta ◽  
G Cevenini ◽  
G Messina ◽  
N Nante ◽  
...  
Keyword(s):  
Historical Data ◽  
Elective Surgery ◽  
District General Hospital ◽  
Operating Rooms ◽  
Accurate Estimation ◽  
Surgical Time ◽  
Accurate Analysis ◽  
Management Efficiency ◽  
Scheduling Model ◽  
The Mean

Abstract Background Careful scheduling of elective surgery Operating Rooms (ORs) is crucial for their efficient use, to avoid low/over utilization and staff overtime. Accurate estimation of procedures duration is essential to improve ORs scheduling. Therefore analysis of historical data about surgical times is fundamental to ORs management. We analyzed the effect, in a real setting, of an ORs scheduling model based on estimated optimum surgical time in improving ORs efficiency and decreasing the risk of overtime. Methods We studied all the 2014-2019 elective surgery sessions (3,758 sessions, 12,449 interventions) of a district general hospital in Siena's Province, Italy. The hospital had3 ORs open 5 days/week 08:00-14:00. Surgery specialties were general surgery, orthopedics, gynecology and urology. Based on a pilot study conducted in 2016, which estimated a 5 times greater risk of having an OR overtime for sessions with a surgical time (incision-suture)>200 minutes, from 2017 all the ORs were scheduled using a maximum surgical time of 200 minutes calculated summing the mean surgical times for intervention and surgeon (obtained from 2014-2016 data). We carried out multivariate logistic regression to calculate the probability of ORs overtime (of 15 and 30 minutes) for the periods 2014-2016 and 2017-2019adjusting for raw ORs utilization. Results The 2017-2019 risk of an OR overtime of 15 minutes decreased by 25% compared to the 2014-2016 period (OR = 0.75, 95%CI=0.618-0.902, p = 0.003); the risk of a OR overtime of 30 minutes decreased by 33% (OR = 0.67, 95%CI= 0.543-0.831, p < 0.001). Mean raw OR utilization increase from 62% to 66% (p < 0.001). Mean number of interventions per surgery sessions increased from 3.1 to 3.5 (p < 0.001). Conclusions This study has shown that an analysis of historical data and an estimate of the optimal surgical time per surgical session could be helpful to avoid both a low and excessive use of the ORs and therefore to increase the efficiency of the ORs. Key messages An accurate analysis of surgical procedures duration is crucial to optimize operating room utilization. A data-based approach can improve OR management efficiency without extra resources.

scholarly journals The lunar and solar diurnal variations of water-level in a well at Kew observatory, Richmond

1918 ◽  
Vol 94 (663) ◽  
pp. 476-478
Keyword(s):  
Water Level ◽  
Royal Society ◽  
Correlation Coefficients ◽  
Barometric Pressure ◽  
Diurnal Variations ◽  
Range Of Movement ◽  
Nearest Point ◽  
Similar Relation ◽  
Short Period ◽  
The Mean

In a paper communicated to the Royal Meteorological Society, it was shown that the experimental well at Kew Observatory responded to the lunar fortnightly oscillation of mean level in the River Thames, which is 300 yards from the Observatory at its nearest point. The sensitiveness of the water-level to barometric pressure has also been investigated, and the results have been given in a paper recently read before the Royal Society. The present paper deals with the effects of the short-period tides in the solar and lunar series, S 1 , S 2 , S 3 , S 4 , and M 1 , M 2 , M 3 , M 4 . Two-hourly measurements, both in lunar and solar time, were made on the traces obtained during the first two years, August, 1914-August, 1916, omitting days of very irregular movement. Monthly mean inequalities were then computed. Well marked solar and lunar diurnal variations were found in each month, taking the form of double oscillations with two maxima and two minima during the 24 hours. The range of movement was in each case found to be highly associated with the mean height of the water in the well, the correlation coefficients being 0·89 (lunar) and 0·90 (solar). A similar relation had been previously found to exist in the case of barometric pressure.

scholarly journals Evaluation of a random access analyser: BM/Hitachi 911

1995 ◽  
Vol 17 (6) ◽  
pp. 213-218
Author(s):  
Taweesook Kanluan ◽  
Surapon Tangvarasittichai ◽  
Orathai Tangvarasittichai
Keyword(s):  
Extreme Values ◽  
Random Access ◽  
Regression Analyses ◽  
The Mean ◽  
Carry Over

The performance of Boehringer Mannheim's BM/Hitachi 911 was evaluated for three months. The mean coeffcient of variation (CV) of the within-run and between-run imprecision of the 16 analytes were less than 1.16% (range 0.47-2.38%) and 1.35% (range 0.62-2.93,%), respectively. A linearity study for the various assays covered clinically important levels. No relevant drift was observed during an eight-hour assay nor was any sample-related carry-over detected. In all cases, the regression analyses (slopes) of the results obtainedfrom BM/Hitachi 911 and 717 were between the extreme values of 0.94 and 1.05. During the three months of operation, no major problem was encountered. The BM/Hitachi 911 was found to be easily operated, to require minimal attention and simple daily maintenance during operation.

Sign in / Sign up

Export Citation Format

Share Document