Hybrid Bottom-Up/Top-Down Modeling of Prices in Deregulated Wholesale Power Markets

摘要: “Top-down” models, based on observation of market price patterns, may be used to forecast prices in competitive electricity markets, once a reasonable track record is available and provided the structure stable. But many studies relate potential changes structure, while hydro-dominated markets are driven by inflow fluctuations reservoir management strategies, operating over such long timescale that an adequate not for decades, which time system itself will very different. “Bottom-up” analysis can readily model structural change hydro variation, but must make assumptions about fundamental data, commercial drivers, rational optimizing behavior leave significant unexplained volatility. Here we describe technique fitting hybrid model, “top-down” approach estimate parameters simplified “bottom-up” participant behavior, from along with stochastic process describing residual This fitted then simulate as vary. We briefly survey actual applications other differing characteristics, mainly illustrate application this New Zealand Electricity Market, where largely explained “marginal water value curves.” A second Australian National also provided.