Title :
Understanding price volatility in electricity markets
Author :
Alvarado, Fernando L. ; Rajaraman, Rajesh
Author_Institution :
Wisconsin Univ., WI, USA
Abstract :
The paper illustrates notions of volatility associated with power systems spot prices for electricity. The paper demonstrates a frequency-domain method useful to separate out periodic price variations from random variations. It then uses actual observed price data to estimate parameters such as volatility and the coefficient of mean reversion associated with the random variation of prices. It also examines spatial volatility of prices.
Keywords :
costing; frequency-domain analysis; parameter estimation; power system economics; power system simulation; random processes; electricity markets; frequency-domain method; mean reversion coefficient; observed price data; parameter estimation; periodic price variations; power systems spot prices; price volatility; random price variation; random variations; spatial volatility; volatility; Frequency domain analysis; Parameter estimation; Power markets; Power systems; Pricing; Random processes; Risk management; Signal analysis; Signal restoration; Temperature;
Conference_Titel :
System Sciences, 2000. Proceedings of the 33rd Annual Hawaii International Conference on
Print_ISBN :
0-7695-0493-0
DOI :
10.1109/HICSS.2000.926754
