TY - GEN
T1 - A bivariate model for deman and spot price of electricity
AU - Green, Hilary
AU - Kordzakhia, Nino
AU - Thoplan, Ruben
PY - 2012
Y1 - 2012
N2 - In this paper bivariate modelling methodology, solely applied to the spot price of electricity or demand for electricity in earlier studies, is extended to a bivariate process of spot price of electricity and demand for electricity. The suggested model accommodates common idiosyncrasies observed in deregulated electricity markets such as cyclical trends in price and demand for electricity, occurrence of extreme spikes in prices, and mean-reversion effect seen in settling of prices from extreme values to the mean level over a short period of time. The paper presents detailed statistical analysis of historical data of daily averages of electricity spot prices and corresponding demand for electricity. The data is obtained from the NSW section of Australian Energy Markets.
AB - In this paper bivariate modelling methodology, solely applied to the spot price of electricity or demand for electricity in earlier studies, is extended to a bivariate process of spot price of electricity and demand for electricity. The suggested model accommodates common idiosyncrasies observed in deregulated electricity markets such as cyclical trends in price and demand for electricity, occurrence of extreme spikes in prices, and mean-reversion effect seen in settling of prices from extreme values to the mean level over a short period of time. The paper presents detailed statistical analysis of historical data of daily averages of electricity spot prices and corresponding demand for electricity. The data is obtained from the NSW section of Australian Energy Markets.
UR - http://www.scopus.com/inward/record.url?scp=84856058060&partnerID=8YFLogxK
U2 - 10.4028/www.scientific.net/AMR.433-440.3910
DO - 10.4028/www.scientific.net/AMR.433-440.3910
M3 - Conference proceeding contribution
AN - SCOPUS:84856058060
SN - 9783037853191
VL - 433-440
T3 - Advanced Materials Research
SP - 3910
EP - 3917
BT - Materials Science and Information Technology, MSIT2011
A2 - Zhang, Cai Suo
PB - Trans Tech Publications
CY - Uetkin-Zuerich, Switzerland
T2 - 2011 International Conference on Material Science and Information Technology, MSIT2011
Y2 - 16 September 2011 through 18 September 2011
ER -