Abstract
With the liberalization of global power markets, modeling of exchange-traded electricity contracts has attracted significantly the attention of both academic and industry. In this paper we offer an overview of the most common deseasonalization techniques and modeling approaches in the literature. We extract the deterministic component of EEX Phelix hourly electricity prices and we discuss different financial and time-series models for their stochastic component. Additionally we apply extreme value theory (EVT) to investigate the tails of the price changes distribution. Generally our results suggest EVT to be of interest to both risk managers and portfolio managers in the highly volatile electricity markets.
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Appendix
Appendix
Autocorrelations of day-ahead baseload, off-peak I, peak, and off-peak II hourly prices (source [10], p. 35)
Occurrence of negative prices Sept 2008–Dec 2011 on different hours
Occurrence of negative prices Sept 2008–Dec 2011 on different days
Histogram of historical negative prices at EEX
EEX hourly prices
Autocorrelation function of standardized residual
Filtered residuals and filtered conditional standard deviation
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Paraschiv, F. (2013). Price Dynamics in Electricity Markets. In: Kovacevic, R., Pflug, G., Vespucci, M. (eds) Handbook of Risk Management in Energy Production and Trading. International Series in Operations Research & Management Science, vol 199. Springer, Boston, MA. https://doi.org/10.1007/978-1-4614-9035-7_3
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DOI: https://doi.org/10.1007/978-1-4614-9035-7_3
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