Analysis of relationships between hourly electricity price and load in deregulated real-time power markets

IEE Proceedings: Generation, Transmission and Distribution

Volumn 151, Issue 4, 2004, Pages 441-452

  Lo, K L ^a   Wu, Y K ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPETITIVE INTELLIGENCE; COMPUTER SIMULATION; COSTS; ELECTRIC LOADS; FORECASTING; FOURIER TRANSFORMS; FREQUENCIES; MATHEMATICAL MODELS; RISK MANAGEMENT; TRANSFER FUNCTIONS;

ELECTRIC POWER INDUSTRY; ELECTRIC TRADERS; ELECTRICITY PRICE; REAL-TIME POWER MARKETS;

ELECTRIC POWER SYSTEMS;

EID: 4544287861     PISSN: 13502360     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1049/ip-gtd:20040613     Document Type: Conference Paper

References (19)

1. Cheung, K.W., Sun, D., Milligan, J., and Potishnak, M.: 'Energy and ancillary service dispatch for the interim ISO New England electricity market', IEEE Trans., Power Syst., 2000, 15, (3), pp. 968-974
2. Kian, A., and Keyhani, A.: 'Stochastic price modeling of electricity in deregulated energy markets'. Proc. 34th Hawaii Int. Conf. on System Sciences, Hawaii, USA, 3-6 Jan., 2001, pp. 832-838
3. Yang. J., and Anderson, M.D.; 'Dynamic pricing [of electricity]', IEEE Potentials, 2000. 18, (5), pp. 6-9
4. Jinxiang, Z., Jordan, G., and Ihara, S.: "The market for spinning reserve and its impacts on energy prices'. Proc. IEEE Power Engineering Society Winter Meeting, Singapore. 23-27 Jan., 2000. Vol. 2, pp. 1202-1207
5. Vucetic, S., Tomsovic, K., and Obradovic, Z.: 'Discovering price-load relationships in California's electricity market'. IEEE Trans., Power Syst., 2001, 16, (2), pp. 280-286
6. Niimura, T., and Nakashima, T.: 'Deregulated electricity market data representation by fuzzy regression models', IEEE Trans., Syst., Man, Cybern., 2001, 31, (3), pp. 320-326
7. Mount, T.: 'Market power and price volatility in restructured markets for electricity'. Proc. 32nd Hawaii Int. Conf. on Systems Sciences, Hawaii, 5-8 Jan., 1999, pp. 13-15
8. Managing energy price risk, (Risk Books, London, 1999, 2nd Edn.)
9. Mulgrew, B., Grant, P., and Thompson, J.: 'Digital signal processing Concepts and applications' (Palgrave, Basingstoke, 2002)
10. Oran Brigham, E.: 'Fast Fourier transform and its applications', (Prentice Hall, 1988, 1st Edn.)
11. Cochran, W.G.: 'Sampling techniques' (Wiley, Englewood Cliffs, NJ, 1997)
12. Singh, R.: 'Approximately optimum stratification on the auxiliary variable', J. Am. Stat. Assoc., 1971, 66, pp. 829-833
13. Alexander, C: 'Risk management and analysis, Vol 1: Measuring and modelling financial risk', (Wiley, New York, 1999)
14. Cohen, L: Time-frequency analysis', (Prentice Hall, Englewood Cliffs, NJ, 1995, 1st Edn.)
15. Jarrow, R.: 'Volatility: new estimation techniques for pricing derivatives' (Risk Books, London, 1998)
16. Fouque, J.-P., Papanicolaou, G., and Sircar, K.R.: 'Derivatives in financial markets with stochastic volatility' (Cambridge University Press, New York, 2000)
17. Bollerslev, T.: 'Generalized autoregressive conditional heteroskedasticity', J. Econometr., 1986, 31, pp. 307-327
18. Ser-Huang Poon, ., Clive, W.J., and Granger, .: 'Forecasting volatility in financial market: a review', J. Econ. Lit., 2003, XLI, pp. 478-539
19. Alexander, C.: 'Market models: a guide to financial data analysis' (Wiley, New York, 2001)