A bivariate model for deman and spot price of electricity

Hilary Green*, Nino Kordzakhia, Ruben Thoplan

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

Abstract

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.

Original languageEnglish
Title of host publicationMaterials Science and Information Technology, MSIT2011
EditorsCai Suo Zhang
Place of PublicationUetkin-Zuerich, Switzerland
PublisherTrans Tech Publications
Pages3910-3917
Number of pages8
Volume433-440
ISBN (Print)9783037853191
DOIs
Publication statusPublished - 2012
Event2011 International Conference on Material Science and Information Technology, MSIT2011 - Singapore, Singapore
Duration: 16 Sep 201118 Sep 2011

Publication series

NameAdvanced Materials Research
Volume433-440
ISSN (Print)10226680

Other

Other2011 International Conference on Material Science and Information Technology, MSIT2011
CountrySingapore
CitySingapore
Period16/09/1118/09/11

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  • Cite this

    Green, H., Kordzakhia, N., & Thoplan, R. (2012). A bivariate model for deman and spot price of electricity. In C. S. Zhang (Ed.), Materials Science and Information Technology, MSIT2011 (Vol. 433-440, pp. 3910-3917). (Advanced Materials Research; Vol. 433-440). Uetkin-Zuerich, Switzerland: Trans Tech Publications. https://doi.org/10.4028/www.scientific.net/AMR.433-440.3910