Hourly Electricity Prices in Day-Ahead Markets

By Ronald Huisman, C. Huurman, R. Mahieu. 2007

256 citations recorded by the source corpus.

This paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The dynamics of hourly electricity prices does not behave as a time series process. Instead, these prices should be treated as a panel in which the prices of 24 cross-sectional hours vary from day to day. This paper introduces a panel model for hourly electricity prices in day-ahead markets and examines their characteristics. The results show that hourly electricity prices exhibit hourly specific mean-reversion and that they oscillate around an hourly specific mean price level. Furthermore, a block structured cross-sectional correlation pattern between the hours is apparent.

Subfields: Electrical and Electronic Engineering

View Paper: https://www.semanticscholar.org/paper/f905212cf4886aeb52e84d67ddc2f6c93b35b8e7

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In Electrical and Electronic Engineering

Citations in the corpus

Electricity markets around the world (2018, background): “…prices an interesting field for research and various studies have been conducted on modeling power prices, see, e.g. Lucia and Schwartz (2002); Weron et al. (2004b); Knittel and Roberts (2005); Bierbrauer et al. (2007); Seifert and Uhrig-Homburg (2007); Huisman et al. (2007), just to mention a few.”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, background): “, electricity price) that is yet to be observed, while a confidence interval is associated with a parameter of a model, see Hyndman (2013) for a discussion.”
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices (2013, background): “Instead, hourly prices should be modeled as a panel of 24 daily time-series of hourly prices, as argued by Huisman et al. (2007) and Härdle and Trück (2010), among others.”
An empirical comparison of alternate schemes for combining electricity spot price forecasts (2013, unknown): “Thus, when dealing with the modeling and forecasting of intraday prices it is important to recall that prices for all spot contracts of the next day are determined at the same time using the same available information (Conejo et al., 2005; Huisman et al., 2007; Misiorek et al., 2006; Peña, 2012).”
On the market impact of wind energy forecasts (2010, background): “…dynamics of electricity spot prices, either by (i) relying solely on previous values, i.e. in a univariate time-series modelling framework (Huisman et al., 2006; Conejo et al., 2005; Cuaresma et al., 2004), (ii) by accounting for the price’s response to demand, fuel prices or weather…”