Skip to main content
SpringerLink
Log in

Analysis of Electricity Market Prices Using Multidimensional Scaling

  • Conference paper
  • First Online:
Mathematical Methods in Engineering

  • 1937 Accesses

Abstract

This paper studies the impact of the energy upon electricity markets using Multidimensional Scaling (MDS). Data from major energy and electricity markets is considered. Several maps produced by MDS are presented and discussed revealing that this method is useful for understanding the correlation between them. Furthermore, the results help electricity markets agents hedging against Market Clearing Price (MCP) volatility.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

  1. Hull JC (2002) Fundamentals of futures and options markets, 4th edn. Prentice-Hall, Upper Saddle River

    MATH  Google Scholar 

  2. Shahidehpour M, Alomoush M (2001) Restructured electrical power systems—operation, trading, and volatility. Marcel Dekker, New York

    Google Scholar 

  3. Azevedo F, Vale ZA, Oliveira PBM, Khodr HM (2010) A long-term risk management tool For electricity markets using swarm intelligence. Electr Pow Syst Res 80:424–433 (Elsevier)

    Google Scholar 

  4. Azevedo F, Vale ZA, Oliveira PBM (2007) A decision-support system based on particle swarm optimization for multi-period hedging in electricity markets. IEEE Trans Power Syst 22(3):995–1003

    Article  Google Scholar 

  5. Skantze PL, Ilic MD (2001) Valuation, hedging and speculation in competitive electricity markets: a fundamental approach. Springer, Berlin (Kluwer Academic)

    Google Scholar 

  6. Gower JC (1966) Some distance properties of latent root and vector methods used in multivariate analysis. Biometrika 53:325–338

    Article  MATH  MathSciNet  Google Scholar 

  7. Eckart C, Young G (1936) Approximation of one matrix by another of lower rank. Psychometrika 1:211–218

    Article  MATH  Google Scholar 

  8. Torgerson WS (1952) Multidimensional scaling: theory and method. Psychometrika 17(4):401–419

    Article  MATH  MathSciNet  Google Scholar 

  9. Torgerson WS (1958) Theory and methods of scaling. Wiley, New York

    Google Scholar 

  10. Young G, Householder AS (1938) Discussion of a set of point in terms of their mutual distances. Psychometrika 3:9–22

    Article  Google Scholar 

  11. Groenen PJ, Franses PH (2000) Visualizing time-varying correlations across stock markets. J Empir Financ 7:155–172

    Article  Google Scholar 

  12. Tenreiro Machado JA, Duarte GM, Fernando B (2011) Identifying economic periods and crisis with the multidimensional scaling. Nonlinear Dyn 64:611–622

    Article  Google Scholar 

  13. Martínez-Torres MR, García FJ, Marín SL, Vázquez SG (2005) A digital signal processing teaching methodology using concept-mapping techniques. IEEE Trans Educ 48(3):422–429

    Article  Google Scholar 

  14. Rosario D, Romano J (2010) Multidimensional image processing for remote sensing anomaly detection. In: Proceedings of 2nd international conference on image processing theory tools and applications (IPTA), Paris, pp 471–476

    Google Scholar 

  15. Chen S, Mulgrew B, Grant PM (1993) A clustering technique for digital communications channel equalization using radial basis function networks. IEEE Trans Neural Netw 4:570–578

    Google Scholar 

  16. Bingulac SP (1994) On the compatibility of adaptive controllers (published conference proceedings style). In: Proceedings of 4th annual Allerton conference circuits and systems theory, New York, pp 8–16

    Google Scholar 

  17. Tenreiro Machado JA, Costa AC, Lima MFM (2010) Dynamical analysis of compositions. Nonlinear Dyn 65:399–412. doi:10.1007/s11071-010-9900-6

    Article  Google Scholar 

  18. Borg I, Groenen P (2005) Modern multidimensional scaling—theory and applications, 2nd edn. Springer, Berlin

    MATH  Google Scholar 

  19. Martinez W, Martinez A (2005) Exploratory data analysis with MATLAB. Chapman & Hall/CRC, Boca Raton

    MATH  Google Scholar 

  20. Takane Y, Young FW, Leeuw J (1977) Nonmetric individual differences multidimensional scaling: an alternating least squares method with optimal scaling features. Psychometrika 42:7–67

    Article  MATH  Google Scholar 

  21. Cox TF, Cox MA (2001) Multidimensional scaling, 2nd edn. Chapman & Hall/CRC, Boca Raton

    MATH  Google Scholar 

  22. Smith G, Pisecki W (September 2006) The time-triggered sensor paradigm. In: Proceedings of the 10th IEEE international conference on intelligent engineering systems, Honolulu, Hawaii, pp 297–300

    Google Scholar 

  23. Collina PL, Berben I (February 1997) Computer-based plant surveillance. IEEE Trans Comput 6(1):33–40

    Google Scholar 

Download references

Acknowledgments

The authors acknowledge the help of João Soares to obtain the historical data.

The author thanks the following organizations for allowing access to the data:

∙ U. S. Energy and Information, http://www.eia.doe.gov/

∙ Yahoo! Finance, http://finance.yahoo.com/

∙ OMEL Mercado de Electricidad, http://www.omel.es/inicio

∙ PJM: Interconnection, http://www.pjm.com/

∙ EXAA Energy Exchange Austria, http://www.exaa.at/

∙ GME Gestore Mercati Energetici, http://www.mercatoelettrico.org/En/Default.aspx

Author information

Authors and Affiliations

  1. INESC TEC (formerly INESC Porto) and School of Engineering, Polytechnic Institute of Porto, Porto, Portugal

    Filipe Azevedo

  2. School of Engineering, Polytechnic Institute of Porto, Porto, Portugal

    J. Tenreiro Machado

Authors
  1. Filipe Azevedo
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. J. Tenreiro Machado
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Filipe Azevedo .

Editor information

Editors and Affiliations

  1. Coimbra Institute of Engineering, Coimbra, Portugal

    Nuno Miguel Fonseca Ferreira

  2. Dept of Electrical Engineering, Institute of Engineering of Porto, Porto, Portugal

    José António Tenreiro Machado

Rights and permissions

Reprints and permissions

Copyright information

© 2014 Springer Science+Business Media Dordrecht

About this paper

Cite this paper

Azevedo, F., Machado, J. (2014). Analysis of Electricity Market Prices Using Multidimensional Scaling. In: Fonseca Ferreira, N., Tenreiro Machado, J. (eds) Mathematical Methods in Engineering. Springer, Dordrecht. https://doi.org/10.1007/978-94-007-7183-3_28

Download citation

  • DOI: https://doi.org/10.1007/978-94-007-7183-3_28

  • Published:

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-007-7182-6

  • Online ISBN: 978-94-007-7183-3

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation