A Stability Analysis of the Nord Pool system using hourly spot price data.
Lindström, Erik LU
and Norén, Vicke
(2015)
In Journal of Energy Challenges and Mechanics
2(3).
p.85-90
- Abstract
- Electricity prices are known to spike during peak hours, only to revert to normal levels during off-peak hours. We introduce a generalization of the time varying independent spike model commonly used to model the electricity spot price from daily data to hourly data to cope with this feature.
We let the probability of extreme prices depend on several variables, such as consumption, reserve margin or wind power. The model can then be used to forecast the risk of extreme prices.
More factors become relevant for predicting extreme events when moving to hourly data, but consumption is still the most important factor. The methodology is showcased by illustrating how extreme prices can be forecasted by... (More) - Electricity prices are known to spike during peak hours, only to revert to normal levels during off-peak hours. We introduce a generalization of the time varying independent spike model commonly used to model the electricity spot price from daily data to hourly data to cope with this feature.
We let the probability of extreme prices depend on several variables, such as consumption, reserve margin or wind power. The model can then be used to forecast the risk of extreme prices.
More factors become relevant for predicting extreme events when moving to hourly data, but consumption is still the most important factor. The methodology is showcased by illustrating how extreme prices can be forecasted by predicting the consumption. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8244274
- author
- Lindström, Erik
LU
and Norén, Vicke
- organization
- publishing date
- 2015
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Electricity Market, HMM, Forward contract, EM-algorithm, Stability analysis
- in
- Journal of Energy Challenges and Mechanics
- volume
- 2
- issue
- 3
- pages
- 85 - 90
- publisher
- North Sea Conference & Journal LTD
- ISSN
- 2056-9386
- language
- English
- LU publication?
- yes
- id
- 2ebe2056-c49d-4475-84c4-95dca69bae77 (old id 8244274)
- alternative location
- http://www.nscj.co.uk/JECM/PDF/2-3-2-Lindstrom.pdf
- date added to LUP
- 2016-04-01 14:34:09
- date last changed
- 2019-03-08 03:24:07
@article{2ebe2056-c49d-4475-84c4-95dca69bae77,
abstract = {{Electricity prices are known to spike during peak hours, only to revert to normal levels during off-peak hours. We introduce a generalization of the time varying independent spike model commonly used to model the electricity spot price from daily data to hourly data to cope with this feature.<br/><br>
<br/><br>
We let the probability of extreme prices depend on several variables, such as consumption, reserve margin or wind power. The model can then be used to forecast the risk of extreme prices.<br/><br>
<br/><br>
More factors become relevant for predicting extreme events when moving to hourly data, but consumption is still the most important factor. The methodology is showcased by illustrating how extreme prices can be forecasted by predicting the consumption.}},
author = {{Lindström, Erik and Norén, Vicke}},
issn = {{2056-9386}},
keywords = {{Electricity Market; HMM; Forward contract; EM-algorithm; Stability analysis}},
language = {{eng}},
number = {{3}},
pages = {{85--90}},
publisher = {{North Sea Conference & Journal LTD}},
series = {{Journal of Energy Challenges and Mechanics}},
title = {{A Stability Analysis of the Nord Pool system using hourly spot price data.}},
url = {{https://lup.lub.lu.se/search/files/4039474/8244307}},
volume = {{2}},
year = {{2015}},
}