In this paper we propose and implement an electricity market equilibrium model. The model, originally conceived by Hinz [8], is now set up by making use as input of the spot price pattern obtained with the term structure Heath Jarrow Morton [6] model, but we assume that price volatility is seasonal. The chosen volatility functional form captures the price return seasonality and consequently allows to support the production scheduling. We show as seasonality and electricity demand forecasting techniques make the study of energy forward price dynamics related to the demand and the provisional capacity of the agents
Electricity market equilibrium model with seasonal volatilities
FANELLI, VIVIANA;MADDALENA, LUCIA;MUSTI, SILVANA
2015-01-01
Abstract
In this paper we propose and implement an electricity market equilibrium model. The model, originally conceived by Hinz [8], is now set up by making use as input of the spot price pattern obtained with the term structure Heath Jarrow Morton [6] model, but we assume that price volatility is seasonal. The chosen volatility functional form captures the price return seasonality and consequently allows to support the production scheduling. We show as seasonality and electricity demand forecasting techniques make the study of energy forward price dynamics related to the demand and the provisional capacity of the agentsFile in questo prodotto:
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