Multivariate constrained robust M-regression for shaping forward curves in electricity markets

Modelling electricity forward markets by ambit fields

This paper proposes a new modelling framework for electricity forward markets based on so– called ambit fields. The new model can capture many of the stylised facts observed in energy markets and is highly analytically tractable. We give a detailed account on the probabilistic properties of the new type of model, and we discuss martingale conditions, option pricing and change of measure within ...

Robust Multivariate Regression

Analyzing Capacity Withholding in Oligopoly Electricity Markets Considering Forward Contracts and Demand Elasticity

In this paper capacity withholding in an oligopolistic electricity market that all Generation Companies (GenCos) bid in a Cournot model is analyzed and the capacity withheld index, the capacity distortion index and the price distortion index are obtained and formulated. Then a new index, Distortion-Withheld Index (DWI), is proposed in order to measure the potential ability of market for capacit...

How does renewables competition affect forward contracting in electricity markets?

Higher renewables penetration reduces the incentive of conventional electricity generators to sell forward production. This can undermine the role of forward contracting in mitigating market power. More renewable energy raises wholesale electricity prices in states of the world where its capacity utilization is low due to intermittency.

Forward Contracts in Electricity Markets: the Australian Experience

Forward contracts play a vital role in all electricity markets, and yet the details of the market for forward contracts are often opaque. In this paper we review the existing literature on forward contracts and explore the contracting process as it operates in Australia. The paper is based on interviews with participants in Australia’s National Electricity Market. The interviews were designed t...