MoazeniCoulonAPS2015.pdf (519.76 kB)
A non-parametric structural hybrid modeling approach for electricity prices
journal contribution
posted on 2023-06-08, 21:34 authored by S Moazeni, Michael Coulon, I Arciniegas Rueda, B Song, W B PowellWe develop a stochastic model of zonal/regional electricity prices, designed to reflect information in fuel forward curves and aggregated capacity and load as well as zonal or regional price spreads. We use a nonparametric model of the supply stack that captures heat rates and fuel prices for all generators in the market operator territory, combined with an adjustment term to approximate congestion and other zone-specific behavior. The approach requires minimal calibration effort, is readily adaptable to changing market conditions and regulations, and retains sufficient tractability for the purpose of forward price calibration. The model is illustrated for the spot and forward electricity prices of the PS zone in the PJM market, and the set of time-dependent risk premiums are inferred and analyzed.
History
Publication status
- Published
File Version
- Accepted version
Journal
Quantitative FinanceISSN
1469-7688Publisher
Taylor & FrancisExternal DOI
Issue
2Volume
16Page range
213-230Department affiliated with
- Business and Management Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2015-07-13First Open Access (FOA) Date
2017-08-01First Compliant Deposit (FCD) Date
2015-07-13Usage metrics
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