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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:
author
organization
publishing date
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
2015-12-01 16:45:02
date last changed
2017-02-08 13:39:15
@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},
  keyword      = {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.},
  volume       = {2},
  year         = {2015},
}