in this paper, the concept of conjectural variation (cv) is used to specify optimal generation decision for generation companies (gencos). the conjecture of genco is defined as its belief or expectation about the reaction of rivals to change of its output. using cv method, each genco has to learn and estimate strategic behaviors of other competitors from available historical market operation da...

A cointegrated vector autoregressive (CVAR) model is estimated to determine the dynamic relationship between Nordic wholesale electricity prices and EU emissions trading scheme (EU-ETS) CO2 allowance prices. An impulse response analysis reveals that electricity prices have large short-term responses to CO2 price shocks, but that this response dampens over time. Using hourly Nordic electricity s...

This paper argues that the market rules governing the operation of the England and Wales electricity market in combination with the structure of this market presents the two major generators—National Power and PowerGen—with opportunities to earn revenues substantially in excess of their costs of production for short periods of time. Generators competing to serve this market have two strategic w...

Based on monthly observations, I specify an econometric model capturing the driving forces behind the crude oil price series in recent years. A large set of covariates, such as supply and demand variables as well as futures market variables, is used to test the impact on the crude oil price. Current price movements are a result of scarce refining capacity and speculators betting on higher price...

In many power markets around the world the energy generation decisions result from two-sided auctions in which producing and consuming agents submit their price-quantity bids. The determination of optimal bids in power markets is a complicated task that has to be undertaken every day. In the present work, we propose an optimization model for a price-taker hydropower producer in Nord Pool that t...

The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where market power is likely to be particularly strong (UK on-peak sessions, the CalPX). Negative co...

Right now employment of polices and tools to decrease the carbon emission through electricity generation from renewable resources is one of the most important problem in energy policy. Tradable Green Certificate (TGC) is an economics mechanism to support green power generation. Any country has the challenge to choose an appropriate policy and mechanism for design and implementation of TGC. The ...

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have ...

Electricity industries around the world have significantly restructured in order to improve their economic efficiency, reliability of power systems and accountability. Accurate prediction of day-ahead electricity nodal price has now become an important activity to address the system operations and price volatility in the restructured electricity market. This will facilitate the market participa...

In this article we use structural econometrics to formally test whether the use of the alternative marketing arrangements (AMAs) by pork packers is the source of their market power on the spot (cash) market for live hogs. We specify the pork packers’ conjectures of the change in the industry total market procurement of live hogs through the spot market with respect to their AMAs stocks. The tes...