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Multidimensional Analysis of New Zealand Electricity Prices

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Cyclostationarity: Theory and Methods - II (CSTA 2014)

Part of the book series: Applied Condition Monitoring ((ACM,volume 3))

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Abstract

Modelling electricity prices after market deregulation has become notoriously difficult and yet more important due to the increase of price volatility. The aim of this work is to propose two alternative multivariate autoregressive models with \(\alpha \)-stable noise for modelling New Zealand electricity market prices. The models account for nodal price interrelations as well as price dependency on empirical factors. Moreover, a novel extension of classical approaches is provided by incorporating non-Gaussian noise structure to reproduce price spikes. The results are robust and show high accuracy in day-ahead forecasts and provide market participants with a sound basis for risk assessment.

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Author information

Authors and Affiliations

  1. Department of Mathematics and Physics, Lappeenranta University of Technology, Lappeenranta, Finland

    Matylda Jabłońska-Sabuka

  2. Hugo Steinhaus Center, Department of Mathematics, Wrocław University of Technology, Wrocław, Poland

    Agnieszka Wylomanska

Authors
  1. Matylda Jabłońska-Sabuka
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  2. Agnieszka Wylomanska
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Corresponding author

Correspondence to Agnieszka Wylomanska .

Editor information

Editors and Affiliations

  1. National School of Engineers of Sfa, Sfax, Tunisia

    Fakher Chaari

  2. Institute of Mathematics, Cracow University of Technology, Krakow, Poland

    Jacek Leskow

  3. Department of Engineering, University of Napoli “Parthenope”, Napoli, Italy

    Antonio Napolitano

  4. Institute of Mining Engineering, Wroclaw University of Technology, Wroclaw, Poland

    Radoslaw Zimroz

  5. Institute of Mathematics and Computer Sc, Wroclaw University of Technology, Wroclaw, Poland

    Agnieszka Wylomanska

  6. Department of Applied Mathematics, University of Science and Technology, Krakow, Poland

    Anna Dudek

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Jabłońska-Sabuka, M., Wylomanska, A. (2015). Multidimensional Analysis of New Zealand Electricity Prices. In: Chaari, F., Leskow, J., Napolitano, A., Zimroz, R., Wylomanska, A., Dudek, A. (eds) Cyclostationarity: Theory and Methods - II. CSTA 2014. Applied Condition Monitoring, vol 3. Springer, Cham. https://doi.org/10.1007/978-3-319-16330-7_8

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  • DOI: https://doi.org/10.1007/978-3-319-16330-7_8

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-16329-1

  • Online ISBN: 978-3-319-16330-7

  • eBook Packages: EngineeringEngineering (R0)

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