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Volatility Structures Of The Italian Electricity Market
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Book Synopsis Volatility Structures of the Italian Electricity Market by : Angelica Gianfreda
Download or read book Volatility Structures of the Italian Electricity Market written by Angelica Gianfreda and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the volatility structure of electricity prices in the Italian zonal market is analyzed. Volatility should be a primary concern for investors and operators on energy markets because it is related to investment uncertainty and power plant management. Even if volatility of electricity prices received extensive attention in the past, the relationship with traded and demanded electricity volumes has not been explored. We try to fill this gap estimating the volatility-volume link within the framework of ARMA-GARCH models, using daily data on a five year period. Opposite to what usually argued about electricity prices, we found evidence of direct leverage effect in the Italian market. Furthermore our estimates highlight an inverse relation between price volatility and lagged volumes.
Book Synopsis Zonal Price Analysis of the Italian Wholesale Electricity Market by : Angelica Gianfreda
Download or read book Zonal Price Analysis of the Italian Wholesale Electricity Market written by Angelica Gianfreda and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers, to the authors' knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore this contribution is an investigation with emphasis on prices dynamics and volatility facts taking into account extreme spiky behavior considering median and not simply mean values to correct for outliers that heavily in°uence the analysis. Most papers consider daily averages of spot prices as arithmetic mean of 24 hourly prices. This produces a distortion because of the existence of spikes or jumps in the price dynamics. In addition a preliminary analysis of these Italian zonal spot prices, and the resulting single national price (PUN), shows interesting features as those observed in NordPool. We aim to understand price and volatility dynamics for production planning, pricing and risk{hedging problems proposing Reg-ARFIMA models considering at the same time congestions and technologies. Hence we provide evidence that all zonal prices and standard deviations are fractionally integrated and congestion costs, as defined in [9], play an important role in both studied dynamics. Finally, we draw policy indications regarding investment strategies in new power plant generators and in reinforced grid interconnections.
Book Synopsis Market Structure and the Stability and Volatility of Electricity Prices by : Mikael Bask
Download or read book Market Structure and the Stability and Volatility of Electricity Prices written by Mikael Bask and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Electricity markets and reforms in Europe by : AA. VV.
Download or read book Electricity markets and reforms in Europe written by AA. VV. and published by FrancoAngeli. This book was released on 2012-05-14T00:00:00+02:00 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: 380.381
Book Synopsis Market Power and Transmission Congestion in the Italian Electricity Market by : Simona Bigerna
Download or read book Market Power and Transmission Congestion in the Italian Electricity Market written by Simona Bigerna and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of market power in electricity markets is relevant for understanding the competitive development of the industry's restructuring and liberalization process. Because the existing literature lacks adequate consideration of line transmission congestion, this paper sets forth a new approach to measuring market power in the Italian Power Exchange (IPEX) by explicitly taking into account transmission line congestion. We construct the residual demand curve to disentangle the measure of unilateral market power from congestion rent for the main Italian generators during the period of April 2004 to December 2007. In Italy, this was a period of stable transmission network structure. Following the approach of Wolak (2003, 2009), we measure the unilateral market power with the Lerner Index (LI) computed as the inverse of the residual demand elasticity. In conclusion, the correct modeling of the residual demand curve including transmission congestions allows us to compute the zonal LI and therefore more accurately measure the market power when congestion occurs. Our results show that various generators exercise market power in only some zones, which provides us with a deeper understanding of the IPEX and better support for designing appropriate market surveillance and competition regulation.
Book Synopsis Modelling Realized Volatility in Electricity Spot Prices by : Aitor Ciarreta
Download or read book Modelling Realized Volatility in Electricity Spot Prices written by Aitor Ciarreta and published by . This book was released on 2017 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of the volatility. Our results show that even though that market is narrow, it is relevant to identify jumps in volatility. Besides, modeling residuals improve estimation results. The time-dependent structure of the prices is present in volatility as well.
Book Synopsis Stochastic Optimization by : Ioannis Dritsas
Download or read book Stochastic Optimization written by Ioannis Dritsas and published by BoD – Books on Demand. This book was released on 2011-02-28 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Optimization Algorithms have become essential tools in solving a wide range of difficult and critical optimization problems. Such methods are able to find the optimum solution of a problem with uncertain elements or to algorithmically incorporate uncertainty to solve a deterministic problem. They even succeed in fighting uncertainty with uncertainty. This book discusses theoretical aspects of many such algorithms and covers their application in various scientific fields.
Book Synopsis Mathematical Modelling of Contemporary Electricity Markets by : Athanasios Dagoumas
Download or read book Mathematical Modelling of Contemporary Electricity Markets written by Athanasios Dagoumas and published by Academic Press. This book was released on 2021-01-30 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical Modelling of Contemporary Electricity Markets reviews major methodologies and tools to accurately analyze and forecast contemporary electricity markets in a ways that is ideal for practitioner and academic audiences. Approaches include optimization, neural networks, genetic algorithms, co-optimization, econometrics, E3 models and energy system models. The work examines how new challenges affect power market modeling, including discussions of stochastic renewables, price volatility, dynamic participation of demand, integration of storage and electric vehicles, interdependence with other commodity markets and the evolution of policy developments (market coupling processes, security of supply). Coverage addresses all major forms of electricity markets: day-ahead, forward, intraday, balancing, and capacity. Provides a diverse body of established techniques suitable for modeling any major aspect of electricity markets Familiarizes energy experts with the quantitative skills needed in competitive electricity markets Reviews market risk for energy investment decisions by stressing the multi-dimensionality of electricity markets
Book Synopsis Capacity Mechanisms in the EU Energy Market by : Leigh Hancher
Download or read book Capacity Mechanisms in the EU Energy Market written by Leigh Hancher and published by . This book was released on 2015 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ensuring an adequate, long-term energy supply is a paramount concern in Europe. The security of a country's energy supply must be guaranteed, and within the EU individual member states are acting in order to safe-guard future energy production. Governments now intervene by encouraging investment in generation capacity, offering an additional revenue stream for conventional power plants in addition to the existing, heavily subsidized investments in renewable energy sources. These capacity remuneration mechanisms (or simply capacity mechanisms) have become a hot topic in the wider European regulatory debate. European electricity markets are increasingly interconnected, so the introduction of a capacity mechanism in one country not only distorts its national market but may have unforeseeable consequences for neighboring electricity markets. If these mechanisms are adopted by several member states with no supra-national coordination and no consideration for their cross-border impact, they may cause serious market distortions and put the future of the European internal electricity market at risk. These national developments are giving great cause for concern, and without a clear understanding of capacity mechanisms and their potential consequences it is difficult to predict the impact these measures will have on the internal European electricity market. This book provides readers with a thorough explanation and analysis of capacity mechanisms, written by an expert team of policy-makers, economists, and legal professionals. It will be a first point of reference for regulators and policy-makers responsible for designing optimal capacity mechanisms in Europe, and will be an invaluable resource for academics and practitioners in the fields of energy, regulation, and competition.
Book Synopsis The Regulation of Power Exchanges in Europe by : Martha M. Roggenkamp
Download or read book The Regulation of Power Exchanges in Europe written by Martha M. Roggenkamp and published by Intersentia nv. This book was released on 2005 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: The liberalisation of the electricity sector has changed the way in which electricity is traded. De facto or legal vertical monopolies are gradually abandoned and new participants have entered the market. At the wholesale level, one of the important developments is the establishment of organised electricity markets, i.e. electricity power exchanges. This book analyses the role and evaluates the impact of these new organised markets, which until now received little attention. The introduction provides an overview of the developments on EC level as this creates the legal environment within which power exchanges operate. The implementation of the EC Electricity Directive has inter alia resulted in a commodization of electricity trading. Thereupon the development of power pools and electricity exchanges is discussed as well as the products which can be traded. Subsequently, the development of the most important national and/or regional exchanges in Europe will be examined. National experts will analyse the role of power exchanges in the Nordic countries, the United Kingdom, the Netherlands, Germany, France, Austria, Spain and Italy. The authors analyse the most important developments in their jurisdictions according to a fixed outline (e.g. implementation of the EC Electricity Directive, market structure, emergence and functioning of the organised market, products traded and the impact of cross-border trade) which allows for a comparative analysis and facilitates understanding. Finally, some conclusions with regard to the establishment of a single electricity market will be presented as well as some future developments.
Book Synopsis Managing the Liberalization of Italy's Retail Electricity Market by : Carlo Stagnaro
Download or read book Managing the Liberalization of Italy's Retail Electricity Market written by Carlo Stagnaro and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Italy will phase electricity retail price regulation by July 1st, 2020. This is the last step in the process of electricity market liberalization, that started in 1999. Until then, residential customers and small businesses who do not choose their supplier, will be supplied under a transitional, regulated service named "maggior tutela" (greater protection), which is supplied by the local distributor at a price set by the regulator. This paper reviews the literature on electricity retail competition - with particular regard to its expected effects on prices, innovation and customer engagement - and the condition under which its benefits may be delivered. Then a Structure-Conduct-Performance analysis of Italy's retail electricity market for residential customers is performed. Two issues are found to be potentially problematic: excessive market concentration and low customer engagement. Energy poverty is also identified as an issue to be addressed. A phase-out mechanism is finally proposed, that relies on graduality, asymmetric regulation and a mandatory, opt-out collective switching exercise. The mechanism aims to rapidly reducing market concentration by leveraging on behavioral incentives to customers still under regulated prices to switch to the cheapest supplier.
Book Synopsis Structural Changes and their Econometric Modeling by : Vladik Kreinovich
Download or read book Structural Changes and their Econometric Modeling written by Vladik Kreinovich and published by Springer. This book was released on 2018-11-24 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.
Book Synopsis The Merit-Order Effect in the Italian Power Market by : Alessandra Cataldi
Download or read book The Merit-Order Effect in the Italian Power Market written by Alessandra Cataldi and published by . This book was released on 2015 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Italy promoted one of the most generous renewable support schemes worldwide which resulted in a high increase of solar power generation. We analyze the Italian day-ahead wholesale electricity market, finding empirical evidence of the merit-order effect. Over the period 2005-2013 an increase of 1 GWh in the hourly average of daily production from solar and wind sources has, on average, reduced wholesale electricity prices by respectively 2.3 €/MWh and 4.2 €/MWh and has amplified their volatility. The impact on prices has decreased over time in correspondence with the increase in solar and wind electricity production. We estimate that, over the period 2009-2013, solar production has generated higher monetary savings than wind production, mainly because the former is more prominent than the latter. However, in the solar case, monetary savings are not sufficient to compensate the cost of the related supporting schemes which are entirely internalized within end-user tariffs, causing a reduction of the consumer surplus, while the opposite occurs in the case of wind.
Book Synopsis The Italian Utilities Industry by : Andrea Gilardoni
Download or read book The Italian Utilities Industry written by Andrea Gilardoni and published by Springer Nature. This book was released on 2020-01-21 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the fundamental changes that the Italian public utilities sector has undergone in the last two decades. Since the late 1990s, liberalisation and privatisation have replaced state-owned monopolies at both the national and local level, new technologies have created a broad range of new opportunities for power generation and distribution, and a redesigned public policy agenda has brought to the fore a whole set of new priorities. In this fast-changing environment, firms have redrawn their strategies, redesigned their business architectures and models, invested in infrastructure and R&D, taken advantage of growth opportunities at home and abroad, opened up their ownership structure, revised their offerings, and developed a new approach to customers. As a result, a radically altered market structure has emerged. As the sector tackles the overriding challenge of sustainability and energy transition, the book takes stock of such past and ongoing developments through the direct testimonies of various stakeholders: the companies in the energy, water, and waste management sectors that are at the forefront of this sweeping transformation; regulators; financial partners; and management consulting firms. The diversity of perspectives and wealth of information presented make this book a valuable resource for anyone wanting to grasp the direction, intensity and causes of change, as well as the nature of the challenges that lie ahead. This work has been prepared as part of the research activities of the Observatory on Alliances and Strategies in the Pan-European Utility Market, one of Agici’s Research and Advisory units.
Book Synopsis Modeling and Forecasting Electricity Loads and Prices by : Rafal Weron
Download or read book Modeling and Forecasting Electricity Loads and Prices written by Rafal Weron and published by John Wiley & Sons. This book was released on 2007-01-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes—electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.
Book Synopsis Applied And Industrial Mathematics In Italy - Proceedings Of The 7th Conference by : Mario Primicerio
Download or read book Applied And Industrial Mathematics In Italy - Proceedings Of The 7th Conference written by Mario Primicerio and published by World Scientific. This book was released on 2005-06-14 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: Industrial mathematics is evolving into an important branch of mathematics. Mathematicians, in Italy in particular, are becoming increasingly aware of this new trend and are engaged in bridging the gap between highly specialized mathematical research and the emerging demand for innovation from industry. In this respect, the contributions in this volume provide both R&D workers in industry with a general view of existing skills, and academics with state-of-the-art applications of mathematics to real-world problems, which may also be incorporated in advanced courses.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
Book Synopsis Dynamic Volatility Connectedness in the European Electricity Market by : Magdalena Sikorska-Pastuszka
Download or read book Dynamic Volatility Connectedness in the European Electricity Market written by Magdalena Sikorska-Pastuszka and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the 1990s, one of the objectives of the European Union (EU) energy policy has been to create a single integrated European internal electricity market within the EU. This study uses a broad set of European electricity markets to answer the question whether volatility spillover is higher in geographically closer markets or if all markets are integrated. Our empirical analysis examines volatility spillover in 26 European electricity markets between 1 August 2007 and 23 February 2022 using the time-varying parameter vector autoregressive (TVP-VAR) based on the extended joint connectedness method (Balcilar et al., 2021). The results reveal that the volatility spillover between markets, i.e., the integration of European electricity markets, increases in the analysed periods. In the early periods, primarily the connectedness within regional initiatives is observed. However, with the introduction of further regulations of the European energy policy and the development of electricity markets, apart from regional connections, also interregional connections appear. This is particularly evident in the recent period characterised by high electricity and energy commodity price volatility.
