作者: KL Lo , YK Wu , None
关键词: Electricity 、 Risk management 、 Marginal cost 、 Valuation of options 、 Electric power industry 、 Volatility (finance) 、 Perfect competition 、 Limit price 、 Econometrics 、 Financial economics 、 Economics
摘要: Risk management in the electric power industry involves measuring risk for all instruments owned by a company. The value of many these depends directly on electricity prices. In theory, wholesale price real-time market should reflect short-run marginal cost. However, most markets are not perfectly competitive, therefore understanding degree correlation between and physical drivers, traders consumers can manage their more effectively efficiently. Market data from two power-pool architectures, both pre-2003 ISO-NE Australia's NEM, have been studied. dynamic character is mean-reverting, consists intra-day weekly variations, seasonal fluctuations, instant jumps. Parts them affected load demands. Hourly signals divided into deterministic random components with discrete fourier transform algorithm. Next, price-load relationship periodic examined. addition, time-varying volatility models constructed GARCH (1,1) model, analysed. Volatility plays critical role evaluating option pricing management.