Jump Risk Premia in Short-Term Spread Options: Evidence from the German Electricity Market

2009 ◽  
Author(s):  
Jan Marckhoff ◽  
Matthias Muck
Keyword(s):  
Electricity Market ◽  
Risk Premia ◽  
Short Term ◽  
Jump Risk ◽  
Term Spread ◽  
Spread Options

scholarly journals Clustering electricity market participants via FRM models

2020 ◽  
pp. 1-12
Author(s):  
Ayla Gülcü ◽  
Sedrettin Çalişkan
Keyword(s):  
Electricity Market ◽  
Distance Metrics ◽  
Agglomerative Clustering ◽  
Timely Manner ◽  
Short Term ◽  
Clustering Techniques ◽  
Market Participants ◽  
Cosine Distance ◽  
Collateral Mechanism

Collateral mechanism in the Electricity Market ensures the payments are executed on a timely manner; thus maintains the continuous cash flow. In order to value collaterals, Takasbank, the authorized central settlement bank, creates segments of the market participants by considering their short-term and long-term debt/credit information arising from all market activities. In this study, the data regarding participants’ daily and monthly debt payment and penalty behaviors is analyzed with the aim of discovering high-risk participants that fail to clear their debts on-time frequently. Different clustering techniques along with different distance metrics are considered to obtain the best clustering. Moreover, data preprocessing techniques along with Recency, Frequency, Monetary Value (RFM) scoring have been used to determine the best representation of the data. The results show that Agglomerative Clustering with cosine distance achieves the best separated clustering when the non-normalized dataset is used; this is also acknowledged by a domain expert.

scholarly journals Short-Term Electricity Price Forecasting by Employing Ensemble Empirical Mode Decomposition and Extreme Learning Machine

Forecasting ◽  
2021 ◽  
Vol 3 (3) ◽  
pp. 460-477
Author(s):  
Sajjad Khan ◽  
Shahzad Aslam ◽  
Iqra Mustafa ◽  
Sheraz Aslam
Keyword(s):  
Extreme Learning Machine ◽  
Empirical Mode Decomposition ◽  
Electricity Market ◽  
Ensemble Empirical Mode Decomposition ◽  
Electricity Price ◽  
Price Forecasting ◽  
Short Term ◽  
Mode Decomposition ◽  
Electricity Price Forecasting ◽  
Learning Machine

Day-ahead electricity price forecasting plays a critical role in balancing energy consumption and generation, optimizing the decisions of electricity market participants, formulating energy trading strategies, and dispatching independent system operators. Despite the fact that much research on price forecasting has been published in recent years, it remains a difficult task because of the challenging nature of electricity prices that includes seasonality, sharp fluctuations in price, and high volatility. This study presents a three-stage short-term electricity price forecasting model by employing ensemble empirical mode decomposition (EEMD) and extreme learning machine (ELM). In the proposed model, the EEMD is employed to decompose the actual price signals to overcome the non-linear and non-stationary components in the electricity price data. Then, a day-ahead forecasting is performed using the ELM model. We conduct several experiments on real-time data obtained from three different states of the electricity market in Australia, i.e., Queensland, New South Wales, and Victoria. We also implement various deep learning approaches as benchmark methods, i.e., recurrent neural network, multi-layer perception, support vector machine, and ELM. In order to affirm the performance of our proposed and benchmark approaches, this study performs several performance evaluation metric, including the Diebold–Mariano (DM) test. The results from the experiments show the productiveness of our developed model (in terms of higher accuracy) over its counterparts.

scholarly journals Short-Term Forecasting of Electricity Supply and Demand by Using the Wavelet-PSO-NNs-SO Technique for Searching in Big Data of Iran’s Electricity Market

Data ◽  
2018 ◽  
Vol 3 (4) ◽  
pp. 43 ◽  
Author(s):  
Mesbaholdin Salami ◽  
Farzad Movahedi Sobhani ◽  
Mohammad Ghazizadeh
Keyword(s):  
Neural Networks ◽  
Electricity Market ◽  
Simulation Optimization ◽  
Supply And Demand ◽  
Electricity Supply ◽  
Wavelet Neural Networks ◽  
Short Term ◽  
Swarm Optimization ◽  
Forecasting Accuracy ◽  
Short Term Forecasting

The databases of Iran’s electricity market have been storing large sizes of data. Retail buyers and retailers will operate in Iran’s electricity market in the foreseeable future when smart grids are implemented thoroughly across Iran. As a result, there will be very much larger data of the electricity market in the future than ever before. If certain methods are devised to perform quick search in such large sizes of stored data, it will be possible to improve the forecasting accuracy of important variables in Iran’s electricity market. In this paper, available methods were employed to develop a new technique of Wavelet-Neural Networks-Particle Swarm Optimization-Simulation-Optimization (WT-NNPSO-SO) with the purpose of searching in Big Data stored in the electricity market and improving the accuracy of short-term forecasting of electricity supply and demand. The electricity market data exploration approach was based on the simulation-optimization algorithms. It was combined with the Wavelet-Neural Networks-Particle Swarm Optimization (Wavelet-NNPSO) method to improve the forecasting accuracy with the assumption Length of Training Data (LOTD) increased. In comparison with previous techniques, the runtime of the proposed technique was improved in larger sizes of data due to the use of metaheuristic algorithms. The findings were dealt with in the Results section.

COVID-19 and the Electricity Market

2022 ◽  
pp. 124-144
Author(s):  
Nima Norouzi
Keyword(s):  
Electricity Market ◽  
Electricity Consumption ◽  
Electricity Industry ◽  
Electricity Demand ◽  
The State ◽  
Short Term ◽  
The World ◽  
Relative Decline

This chapter investigates the effects of COVID-19 on electricity consumption in some countries, especially in Iran. The effect of COVID-19 in the electricity industry and the amount of electricity consumption in Iran and in the countries that have been most affected have been studied. A study of COVID-19's impact on the world shows a reduction of about 15% in electricity demand during the short term of the COVID-19 outbreak. This amount varies from country to country. Studies show that the countries under study have experienced a relative decline in electricity demand in the short term, but with the continued prevalence of COVID-19 and the removal of some restrictions, the state of electricity consumption has more or less returned to pre-COVID-19 levels. It is worth noting that at the time of writing this chapter, the COVID-19 pandemic continues.

scholarly journals Hybrid Forecasting Model for Short-Term Electricity Market Prices with Renewable Integration

2018 ◽  
Vol 11 (1) ◽  
pp. 57 ◽  
Author(s):  
Gerardo Osório ◽  
Mohamed Lotfi ◽  
Miadreza Shafie-khah ◽  
Vasco Campos ◽  
João Catalão
Keyword(s):  
Electricity Market ◽  
Wavelet Transforms ◽  
Fuzzy Inference ◽  
Electricity Sector ◽  
Forecasting Model ◽  
Probabilistic Forecasting ◽  
Short Term ◽  
Market Prices ◽  
Inference System ◽  
Hybrid Particle Swarm Optimization

In recent years, there have been notable commitments and obligations by the electricity sector for more sustainable generation and delivery processes to reduce the environmental footprint. However, there is still a long way to go to achieve necessary sustainability goals while ensuring standards of robustness and the quality of power grids. One of the main challenges hindering this progress are uncertainties and stochasticity associated with the electricity sector and especially renewable generation. In this paradigm shift, forecasting tools are indispensable, and their utilization can significantly improve system operation and minimize costs associated with all related activities. Thus, forecasting tools have an essential key role in all decision-making stages. In this work, a hybrid probabilistic forecasting model (HPFM) was developed for short-term electricity market prices (EMP) combining wavelet transforms (WT), hybrid particle swarm optimization (DEEPSO), adaptive neuro-fuzzy inference system (ANFIS), and Monte Carlo simulation (MCS). The proposed hybrid probabilistic forecasting model (HPFM) was tested and validated with real data from the Spanish and Pennsylvania-New Jersey-Maryland (PJM) markets. The proposed model exhibited favorable results and performance in comparison with previously published work considering electricity market prices (EMP) data, which is notable.

scholarly journals Models for Short-Term Wind Power Forecasting Based on Improved Artificial Neural Network Using Particle Swarm Optimization and Genetic Algorithms

Energies ◽  
2020 ◽  
Vol 13 (11) ◽  
pp. 2873 ◽  
Author(s):  
Dinh Thanh Viet ◽  
Vo Van Phuong ◽  
Minh Quan Duong ◽  
Quoc Tuan Tran
Keyword(s):  
Neural Network ◽  
Genetic Algorithm ◽  
Particle Swarm Optimization ◽  
Wind Power ◽  
Optimization Algorithm ◽  
Electricity Market ◽  
Particle Swarm Optimization Algorithm ◽  
Particle Swarm ◽  
Short Term ◽  
Swarm Optimization

As sources of conventional energy are alarmingly being depleted, leveraging renewable energy sources, especially wind power, has been increasingly important in the electricity market to meet growing global demands for energy. However, the uncertainty in weather factors can cause large errors in wind power forecasts, raising the cost of power reservation in the power system and significantly impacting ancillary services in the electricity market. In pursuance of a higher accuracy level in wind power forecasting, this paper proposes a double-optimization approach to developing a tool for forecasting wind power generation output in the short term, using two novel models that combine an artificial neural network with the particle swarm optimization algorithm and genetic algorithm. In these models, a first particle swarm optimization algorithm is used to adjust the neural network parameters to improve accuracy. Next, the genetic algorithm or another particle swarm optimization is applied to adjust the parameters of the first particle swarm optimization algorithm to enhance the accuracy of the forecasting results. The models were tested with actual data collected from the Tuy Phong wind power plant in Binh Thuan Province, Vietnam. The testing showed improved accuracy and that this model can be widely implemented at other wind farms.

On the Nature of Jump Risk Premia

2019 ◽  
Author(s):  
Piotr Orłowski ◽  
Paul Georg Schneider ◽  
Fabio Trojani
Keyword(s):  
Risk Premia ◽  
Jump Risk
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