Modeling electricity loads in California: a continuous-time approach

Abstract

In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.

Market price of risk implied by Asian-style electricity options and futures

“…This could be circumvented by using dummies for the middle of the month coupled with smooth interpolation between them. Yet, another approach was proposed by Weron et al (2001). It consists of fitting a function of a one year period, which is determined by taking the average (over the years in the sample) of the smoothed rolling volatility.…”

Measuring long-range dependence in electricity prices

“…To test if these results are an artifact of the seasonality in the electricity price process we applied a technique proposed in Weron et al (2001) to remove the weekly and annual cycles in the two longest time series (CalPX and Nord Pool markets). The results, which are reported in Table 1, show that mean-reversion is not caused by seasonality.…”

“…This situation calls for new models of electricity price dynamics. Simple continuous-time models were discussed in Weron et al (2001), but surely more work has to be done in this interesting area.…”

A study on bid strategies for electric power suppliers in bilateral market considering spot market

“…The authors presume a price per hour in the spot market based on the Vasicek model using logarithms based on the equations [8][9][10] Table 1 shows the meaning of each symbol. b in the first item on the right of Eq.…”

“…7, but here, the strategy of the electric power suppliers does not determine the contract with suppliers, but instead finds what level of relative demand is appropriate in terms of risk and reward from a long-term perspective while taking electric power trading in a short-term spot market into consideration. Moreover, in addition to simulating the spot price by using the Vasicek model [8][9][10], in which the average return and price for a particular price for electric power is taken into consideration, the authors also assume a mutual relationship between the spot market and the load demand from consumers with bilateral contracts. As a result, realistic conditions in which most of the bilateral demand cannot necessarily be estimated when the spot price is stable can be considered.…”