Reporter: You-Cheng Luo 2011/01/04 Spikes of the Electricity.

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Presentation transcript:

Reporter: You-Cheng Luo 2011/01/04 Spikes of the Electricity

Outline Review on the data ( lesale.html) lesale.html Review on Propose Methods Parameter Estimation Result Conclusion & Future Work

Review on the data The first data is the delivery date from 2009/01/05 to 2010/11/15 in the Ercotsouth which is a main trade hub in Texas. The second data is the delivery date form 2009/01/07 to 2010/11/10 in the PJM West which is a main trade hub in Pennsylvania. The prices are computed by WtdAvgPrice $/MWh, where the WtdAvgPrice is

Review on the Proposed Methods Geman and Roncoroni (2002) introduce a jump-reversion model for electricity spot prices, namely the representation of S(t), by:

Selection of the Structural Element Mean trend The first term may be viewed as a fixed cost linked to the production of power. The second one drives the long-run linear trend in the total production cost. The overall effect of the third and fourth terms is a periodic path displaying two maxima per year, of possibly different magnitudes.

Selection of the Structural Element A probability distribution for the jump size. We select a truncated version of an exponential density with parameter θ 3 : where ψ represents an upper bound for the absolute value of price changes.

Model Parameter Estimation The constant Brownian volatility over observation dates 0 = t 0 < t 1 <…< t n = t can be obtained as : where each summand represents the square of the continuous part of observed price variations (in a logarithmic scale) between consecutive days t i and t i+1

Model Parameter Estimation

Simulation Algorithm Where N is sample from a standard normal distribution and J is sample from p( ‧, θ 3 ) for some k=1, …,n

Result PJM Market

Result Ercotsouth

Conclusion and Future Work My simulation is not fitting well about the spikes of the data because of my experiences. Maybe we can try another models to fit the electricity prices, and then introduce the copula to figure out the dependency between other variables and electricity prices.

References U.S. Energy Information Administration Independent Statistic and Analysis esale.html Roncoroni-Geman(2002) ;The Journal of Business Understanding the Fine Structure of Electricity Prices oroni-Geman.pdf