Econometric analysis of 15-minute intraday electricity prices

Intraday Empirical Analysis of Electricity Price Behaviour

This paper proposes an approach to the intraday analysis of the dynamics of electricity prices. The growth optimal portfolio (GOP) is used as a reference unit in a continuous financial electricity price model. A diversified global portfolio in the form a market capitalisation weighted index approximates the GOP. The GOP, measured in units of electricity, is normalised and then modelled as a tim...

An econometric analysis of emission allowance prices

Knowledge of the statistical distribution of the prices of emission allowances, and their forecastability, are crucial in constructing, among other things, purchasing and risk management strategies in the emissions-constrained markets. This paper analyzes the two emission permits markets, CO2 in Europe, and SO2 in the US, and investigates a model for dealing with the unique stylized facts of th...

Intraday overreaction of stock prices

We propose a concept of intraday overreaction characterized by intraday price movements which are corrected within the same trading day. It is a concept of relative overreaction in the sense that the price range within a trading day is large in comparison with the openclose return volatility. As a one-sided concept it allows to distinguish between upward and downward overreaction. A test for ov...

Modeling and Forecasting Intraday Electricity Load

This paper aims models electricity load curves for short-term forecasting purposes. A broad class of multivariate dynamic regression model is proposed to model hourly electricity load. Alternative forecasting models, special cases of our general model, include separate time series regressions for each hour and week day. All the models developed include components that represent trends, seasons ...

Econometric Models for the Analysis of Electricity Markets