کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4959653 | 1445953 | 2017 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
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چکیده انگلیسی
We propose a constructive definition of electricity forward price curve with cross-sectional timescales featuring hourly frequency on. The curve is jointly consistent with both risk-neutral market information represented by baseload and peakload futures quotes, and historical market information, as mirrored by periodical patterns exhibited by the time series of day-ahead prices. From a methodological standpoint, we combine nonparametric filtering with monotone convex interpolation such that the resulting forward curve is pathwise smooth and monotonic, cross-sectionally stable, and time local. From an empirical standpoint, we exhibit these features in the context of EPEX Spot and EEX Derivative markets. We perform a backtesting analysis to assess the relative quality of our forward curve estimate compared to the benchmark market model of Benth, Koekebakker, and Ollmar (2007).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 261, Issue 2, 1 September 2017, Pages 715-734
Journal: European Journal of Operational Research - Volume 261, Issue 2, 1 September 2017, Pages 715-734
نویسندگان
Ruggero Caldana, Gianluca Fusai, Andrea Roncoroni,