Modelling interregional links in electricity price spikes
Description
Abnormally high price spikes in spot electricity markets represent a significant risk to market participants. As such, a literature has developed that focuses on forecasting the probability of such spike events, moving beyond simply forecasting the level of price. Many univariate time series models have been proposed to dealwith spikes within an individual market region. This paper is the first to develop a multivariate self-exciting point process model for dealing with price spikes across connected regions in the Australian National Electricity Market. The importance of the physical infrastructure connecting the regions on the transmission of spikes is examined. It is found that spikes are transmitted between the regions, and the size of spikes is influenced by the available transmission capacity. It is also found that improved risk estimates are obtained when inter-regional linkages are taken into account.
Impact and interest:
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ID Code: | 87331 | ||||
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Item Type: | Contribution to Journal (Journal Article) | ||||
Refereed: | Yes | ||||
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Measurements or Duration: | 11 pages | ||||
Keywords: | Hawkes process, electricity prices, peaks over threshold, point process, price spikes, transmission capacity | ||||
DOI: | 10.1016/j.eneco.2015.07.014 | ||||
ISSN: | 1873-6181 | ||||
Pure ID: | 32901889 | ||||
Divisions: | Past > QUT Faculties & Divisions > QUT Business School Past > Institutes > Institute for Future Environments Current > Schools > School of Economics & Finance |
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Copyright Owner: | 2015 Elsevier B.V. | ||||
Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||||
Deposited On: | 09 Sep 2015 00:25 | ||||
Last Modified: | 23 Apr 2024 10:31 |
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