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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/39311
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| Title: | | The dynamics of hourly electricity prices  |
| Authors: | | Härdle, Wolfgang Karl Trück, Stefan |
| Issue Date: | | 2010 |
| Series/Report no.: | | SFB 649 discussion paper 2010,013 |
| Abstract: | | The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in order to verify that the schedule is feasible and lies within transmission constraints. Instead agents have to submit their bids and offers for delivery of electricity for all hours of the next day before a specified market closing time. We suggest the use of dynamic semiparametric factor models (DSFM) for the behavior of hourly electricity prices. We find that a model with three factors is able to explain already a high proportion of the variation in hourly electricity prices. Our analysis also provides insights into the characteristics of the market, in particular with respect to the driving factors of hourly prices and their dynamic behavior through time. |
| Subjects: | | Power Markets Dynamic Semiparametric Factor Models Day-ahead Electricity Prices |
| JEL: | | G12 C19 C13 Q47 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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