scholarly journals The Impact of Market Rules and Market Structure on the Price Determination Process in the England and Wales Electricity Market

10.3386/w8248 ◽  
2001 ◽  
Author(s):  
Frank Wolak ◽  
Robert Patrick
Keyword(s):  
Market Structure ◽  
Electricity Market ◽  
Price Determination ◽  
England And Wales ◽  
Determination Process ◽  
Market Rules ◽  
The Impact

scholarly journals The Impact of Regulatory Reforms on Demand Weighted Average Prices

Mathematics ◽  
2021 ◽  
Vol 9 (10) ◽  
pp. 1112
Author(s):  
Sherzod N. Tashpulatov
Keyword(s):  
Electricity Market ◽  
Weighted Average ◽  
England And Wales ◽  
On Demand ◽  
Volatility Model ◽  
History Of ◽  
Wholesale Electricity Market ◽  
Model Residuals ◽  
The Impact ◽  
Regulatory Reforms

Average prices are popularly used in the literature on price modeling. Calculating daily or weekly prices as an average over hourly or half-hourly trading periods assumes the same weight ignoring demand or traded volumes during those periods. Analyzing demand weighted average prices is important if producers may affect prices by decreasing them during low-demand periods and increasing them during high-demand periods within a day. The prediction of this price manipulation might have motivated the regulatory authority to introduce price caps not only on annual average prices but also on annual demand weighted average prices in the England and Wales wholesale electricity market. The dynamics of demand weighted average prices of electricity has been analyzed little in the literature. We show that skew generalized error distribution (SGED) is the appropriate assumption for model residuals. The estimated volatility model is used for evaluating the impact of regulatory reforms on demand weighted average prices during the complete history of the England and Wales wholesale electricity market.

scholarly journals The Empirical Study on Market Liquidity and Determinants of Sukuk in Malaysia

2018 ◽  
Vol 2 (3) ◽  
pp. 4-15
Author(s):  
Norshafizah Hanafi ◽  
Amirul Hamiza Abdul Hamid ◽  
Jasmani Mohd Yunus
Keyword(s):  
Secondary Data ◽  
Secondary Market ◽  
Market Liquidity ◽  
Yield Spread ◽  
Price Determination ◽  
Determination Process ◽  
Asset Backed Securities ◽  
The Right ◽  
The Impact ◽  
The Relationship

The purpose of this study is to examine the relationship between market liquidity and the determinants of Sukuk in Malaysia’s perspective. This study is also to determine whether the Sukuk market is also reacting as similar to the bond market regarding market liquidity. A sample of 933 issued Sukuk in Malaysia is collected from secondary data of Bond Pricing of Agency Malaysia (BPAM) and Bond Info hub of Bank Negara Malaysia from the period of 2005 to 2015. The sample of issued Sukuk is based on Malaysian Ringgit denominated currency and these Sukuk are actively traded in the secondary market of Malaysia. The sample comprises five (5) sectors inclusive government, quasi-government, finance; Asset-Backed Securities (ABS) and corporates. Market Microstructure Theory is using on the impact of numerous market frictions in the market structure and individual behaviour during the price determination process in this study. The empirical results of this study show that age and maturity have a positive relationship with Sukuk market liquidity and they are significantly correlated. The findings of this study could assist investors in the making decision by choosing the right type of Sukuk structure and by utilising the suitable Sukuk determinants at the right time. From the analysis, the researcher concludes that investors prefer to hold their securities until meeting its maturity rather than traded it in the secondary market. Further research should be done by incorporating other liquidity factors such as the liquidity risk, yield spread and price in order to have more input to the study on liquidity since the Sukuk market is increasing in demand and becomes more sophisticated as the financial market is moving towards digitalisation and electrification.

scholarly journals The analysis of price changes transmission along the cereals commodity chain

2005 ◽  
Vol 53 (3) ◽  
pp. 77-86
Author(s):  
Iva Lechanová
Keyword(s):  
Food Chain ◽  
Time Series Data ◽  
Price Transmission ◽  
Series Data ◽  
Commodity Chain ◽  
Price Determination ◽  
Price Changes ◽  
Statistical Verification ◽  
Determination Process ◽  
The Impact

The paper aims to analyse the process of the price transmission within selected agri-food chain. First, the issue of the price transmission is introduced as well as the impact of market power on the extent of transmitted price changes in successive stages of the chain. The price transmission theory is applied to the agri-food chain following the production of cereals, which is analysed separately as a food and a feed branch of the cereals chain. By means of correlation analysis of the time series data, the completeness of price transmission is statistically verified. Furthermore, the existence of time delay in price reactions transmitted throughout the selected commodity chain is a subject of the statistical verification as well. Finally, several implications regarding the market structure and the price determination process are derived from the results there.

Detecting the impact of fundamentals and regulatory reforms on the Greek wholesale electricity market using a SARMAX/GARCH model

Energy ◽  
2018 ◽  
Vol 142 ◽  
pp. 1083-1103 ◽  
Author(s):  
George P. Papaioannou ◽  
Christos Dikaiakos ◽  
Athanasios S. Dagoumas ◽  
Anargyros Dramountanis ◽  
Panagiotis G. Papaioannou
Keyword(s):  
Electricity Market ◽  
Garch Model ◽  
Wholesale Electricity Market ◽  
The Impact ◽  
Regulatory Reforms

scholarly journals A Hybrid Energy System Workflow for Energy Portfolio Optimization

Energies ◽  
2021 ◽  
Vol 14 (15) ◽  
pp. 4392
Author(s):  
Jia Zhou ◽  
Hany Abdel-Khalik ◽  
Paul Talbot ◽  
Cristian Rabiti
Keyword(s):  
Time Series ◽  
Gaussian Process ◽  
Electricity Market ◽  
Process Model ◽  
Net Present Value ◽  
Historical Data ◽  
Energy System ◽  
Initial Guess ◽  
Reduced Order ◽  
The Impact

This manuscript develops a workflow, driven by data analytics algorithms, to support the optimization of the economic performance of an Integrated Energy System. The goal is to determine the optimum mix of capacities from a set of different energy producers (e.g., nuclear, gas, wind and solar). A stochastic-based optimizer is employed, based on Gaussian Process Modeling, which requires numerous samples for its training. Each sample represents a time series describing the demand, load, or other operational and economic profiles for various types of energy producers. These samples are synthetically generated using a reduced order modeling algorithm that reads a limited set of historical data, such as demand and load data from past years. Numerous data analysis methods are employed to construct the reduced order models, including, for example, the Auto Regressive Moving Average, Fourier series decomposition, and the peak detection algorithm. All these algorithms are designed to detrend the data and extract features that can be employed to generate synthetic time histories that preserve the statistical properties of the original limited historical data. The optimization cost function is based on an economic model that assesses the effective cost of energy based on two figures of merit: the specific cash flow stream for each energy producer and the total Net Present Value. An initial guess for the optimal capacities is obtained using the screening curve method. The results of the Gaussian Process model-based optimization are assessed using an exhaustive Monte Carlo search, with the results indicating reasonable optimization results. The workflow has been implemented inside the Idaho National Laboratory’s Risk Analysis and Virtual Environment (RAVEN) framework. The main contribution of this study addresses several challenges in the current optimization methods of the energy portfolios in IES: First, the feasibility of generating the synthetic time series of the periodic peak data; Second, the computational burden of the conventional stochastic optimization of the energy portfolio, associated with the need for repeated executions of system models; Third, the inadequacies of previous studies in terms of the comparisons of the impact of the economic parameters. The proposed workflow can provide a scientifically defendable strategy to support decision-making in the electricity market and to help energy distributors develop a better understanding of the performance of integrated energy systems.

scholarly journals Competition in Power Generation: Ex-ante Analysis of Indonesia’s Electricity Market

Energies ◽  
2020 ◽  
Vol 13 (24) ◽  
pp. 6741
Author(s):  
Dzikri Firmansyah Hakam ◽  
Sudarso Kaderi Wiyono ◽  
Nanang Hariyanto
Keyword(s):  
Power System ◽  
Market Structure ◽  
Market Power ◽  
Electricity Markets ◽  
Electricity Market ◽  
Regulatory Reform ◽  
Optimal Number ◽  
Load Flow ◽  
Utility Company ◽  
Competitive Electricity Markets

This research optimises the mix and structure of Generation Companies (GenCos) in the Sumatra power system, Indonesia. Market power, indicating the ability to raise prices profitably above the competitive level, tends to be a significant problem in the aftermath of electricity market restructuring. In the process of regulatory reform and the development of competitive electricity markets, it is desirable and practical to establish an efficient number of competitor GenCos. Simulations of a power system account for multi-plant mergers of GenCos subject to a regulatory measure of the Residual Supply Index and the influence of direct current load flow and the topology of the system. This study simulates the Sumatra power system in order to determine the following: optimal market structure, efficient GenCo generation mix, and the optimal number of competitive GenCos. Further, this study seeks to empirically optimise the electricity generation mix and electricity market structure of the Sumatra power system using DC load flow optimisation, market power index, and multi-plant monopoly analysis. The simulations include generation and transmission constraints to represent network constraints. This research is the first to analyse the Sumatra power system using imperfect (Cournot) competition modelling. Furthermore, this study is the first kind to optimise the mix and structure of the Sumatra generation power market. The guidelines and methodology in this research can be implemented in other countries characterised by a monopoly electricity utility company.

The duck curve in a drying pond: The impact of rooftop PV on the Western Australian electricity market transition

2021 ◽  
Vol 71 ◽  
pp. 101232
Author(s):  
Sam Wilkinson ◽  
Martin J. Maticka ◽  
Yue Liu ◽  
Michele John
Keyword(s):  
Electricity Market ◽  
Market Transition ◽  
The Impact ◽  
Western Australian
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