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Wind power and its impact on power prices in Denmark

Rosenlund Soysal, Emilie (2015) FMS820 20151
Mathematical Statistics
Abstract (Swedish)
Including wind power in the European power system may cause instability
in the power market due to the uncontrollable generation capacity.
The purpose of this thesis is to investigate the relationship between
Danish power prices and wind power produced in Denmark, both in
terms of general dependence structure and the extreme dependence.
Filtered observations of daily power prices and filtered observations of
daily wind power are modeled using copulas and extreme value theory.
Results indicate a significant influence of the wind power on prices,
such that large wind power supply leads to low prices. However, it is
shown that the extreme observations of high prices occur independently
of those of low wind power, leading to the... (More)
Including wind power in the European power system may cause instability
in the power market due to the uncontrollable generation capacity.
The purpose of this thesis is to investigate the relationship between
Danish power prices and wind power produced in Denmark, both in
terms of general dependence structure and the extreme dependence.
Filtered observations of daily power prices and filtered observations of
daily wind power are modeled using copulas and extreme value theory.
Results indicate a significant influence of the wind power on prices,
such that large wind power supply leads to low prices. However, it is
shown that the extreme observations of high prices occur independently
of those of low wind power, leading to the conclusion that low wind
power supply cannot explain occurrences of extremely high prices. (Less)
Please use this url to cite or link to this publication:
author
Rosenlund Soysal, Emilie
supervisor
organization
course
FMS820 20151
year
type
H2 - Master's Degree (Two Years)
subject
keywords
wind power, power prices, copula, extreme value copula
language
English
id
7371839
date added to LUP
2015-06-18 14:42:10
date last changed
2015-06-18 14:42:10
@misc{7371839,
  abstract     = {Including wind power in the European power system may cause instability
in the power market due to the uncontrollable generation capacity.
The purpose of this thesis is to investigate the relationship between
Danish power prices and wind power produced in Denmark, both in
terms of general dependence structure and the extreme dependence.
Filtered observations of daily power prices and filtered observations of
daily wind power are modeled using copulas and extreme value theory.
Results indicate a significant influence of the wind power on prices,
such that large wind power supply leads to low prices. However, it is
shown that the extreme observations of high prices occur independently
of those of low wind power, leading to the conclusion that low wind
power supply cannot explain occurrences of extremely high prices.},
  author       = {Rosenlund Soysal, Emilie},
  keyword      = {wind power,power prices,copula,extreme value copula},
  language     = {eng},
  note         = {Student Paper},
  title        = {Wind power and its impact on power prices in Denmark},
  year         = {2015},
}