			Home About us Contact

Price Spikes (price + spike)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	40%

Selected Abstracts

Economic evaluation of demand-side energy storage systems by using a multi-agent-based electricity market

ELECTRICAL ENGINEERING IN JAPAN, Issue 3 2009
Ken Furusawa
Abstract With the wholesale electric power market opened in April 2005, deregulation of the electric power industry in Japan has faced a new competitive environment. In the new environment, Independent Power Producer (IPP), Power Producer and Supplier (PPS), Load Service Entity (LSE), and electric utility can trade electric energy through both bilateral contracts and single-price auction at the electricity market. In general, the market clearing price (MCP) is largely changed by the amount of total load demand in the market. The influence may cause a price spike, and consequently the volatility of MCP will make LSEs and their customers face a risk of higher revenue and cost. DSM is attractive as a means of load leveling, and has an effect on decreasing MCP at peak load period. Introducing Energy Storage systems (ES) is one DSM in order to change demand profile at the customer side. In the case that customers decrease their own demand due to increased MCP, a bidding strategy of generating companies may be changed. As a result, MCP is changed through such complex mechanism. In this paper the authors evaluate MCP by multi-agent. It is considered that customer-side ES has an effect on MCP fluctuation. Through numerical examples, this paper evaluates the influence on MCP by controlling customer-side ES corresponding to variation of MCP. © 2009 Wiley Periodicals, Inc. Electr Eng Jpn, 167(3): 36,45, 2009; Published online in Wiley InterScience (www.interscience.wiley.com). DOI 10.1002/eej.20658 [source]

Equilibrium pricing of contingent claims in tradable permit markets

THE JOURNAL OF FUTURES MARKETS, Issue 6 2010
Masaaki Kijima
We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial markets. In particular, if the social cost function kinks at some level of abatement, the forward price, as well as the spot price, can be subject to the so-called price spike. However, this price-spike phenomenon can be weakened if a system of banking and borrowing is properly introduced. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:559,589, 2010 [source]

Optimising the policy cost of market stabilisation: Which commodity matters most in Ethiopia?

JOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 3 2009
Kindie Getnet
Abstract Unprecedented food crop price spikes in recent years prompted the Ethiopian government to impose grain export ban and to distribute grain stocks as price stabilization strategies. Successful price stabilization and size of public spending for such programs depend, to a large extent, on the choice and targeting of stabilization strategies. In a situation where a single commodity plays a leadership role in the price dynamics of other crops, targeting intervention at such a commodity would provide a useful mechanism to reduce policy cost of price stabilization while achieving commodity-wide stabilization objectives. Using multiple cointegration analysis techniques to generate knowledge useful in targeting price stabilization intervention, this study investigates whether there is a single food crop in Ethiopia, among the three major ones (teff, wheat, and maize), with an exclusive price leadership role in the price formation process of the rest. The results show that maize price plays a leadership role in the dynamics of teff and wheat prices at all markets studied, except that of Addis Ababa teff market. Given the major evidence of a price leadership role of maize, it might be possible to achieve commodity-wide price stabilization objectives through targeting intervention on maize. Such targeted intervention may also prove efficiency in terms of reducing policy cost and public spending. Copyright © 2008 John Wiley & Sons, Ltd. [source]

Natural gas storage valuation and optimization: A real options application

NAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 3 2009
Matt Thompson
Abstract In this article, we present an algorithm for the valuation and optimal operation of natural gas storage facilities. Real options theory is used to derive nonlinear partial-integro-differential equations (PIDEs), the solution of which give both valuation and optimal operating strategies for these facilities. The equations are designed to incorporate a wide class of spot price models that can exhibit the same time-dependent, mean-reverting dynamics, and price spikes as those observed in most energy markets. Particular attention is paid to the operational characteristics of real storage units. These characteristics include working gas capacities, variable deliverability and injection rates, and cycling limitations. We illustrate the model with a numerical example of a salt cavern storage facility that clearly shows how a gas storage facility is like a financial straddle with both put and call properties. Depending on the amount of gas in storage the relative influence of the put and call components vary. © 2009 Wiley Periodicals, Inc. Naval Research Logistics 2009 [source]

Modelling Spikes in Electricity Prices,

THE ECONOMIC RECORD, Issue 263 2007
RALF BECKER
During periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes therefore is important for risk management. This paper builds a time-varying-probability Markov-switching model of Queensland electricity prices, aimed particularly at forecasting price spikes. Variables capturing demand and weather patterns are used to drive the transition probabilities. Unlike traditional Markov-switching models that assume normality of the prices in each state, the model presented here uses a generalised beta distribution to allow for the skewness in the distribution of electricity prices during high-price episodes. [source]