دانلود مقاله ISI انگلیسی شماره 57377
عنوان فارسی مقاله

پیش بینی تغییرات قیمت در بازارهای برق آشفته

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
57377 2015 10 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Predictability of price movements in deregulated electricity markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Energy Economics, Volume 49, May 2015, Pages 72–81

کلمات کلیدی
بازار برق؛ فرضیه بازار کارآمد؛ تحلیل نوسانات؛ پیش بینی های مالی
پیش نمایش مقاله
پیش نمایش مقاله پیش بینی تغییرات قیمت در بازارهای برق آشفته

چکیده انگلیسی

In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the probability distribution analysis we show that the studied markets exhibit strongly anti-persistent properties suggesting that their dynamics can be predicted based on historic price records across the range of time scales from 1 h to one month. For both Canadian markets, the price movements reveal three types of correlated behavior which can be used for forecasting. The discovered scenarios remain the same on different time scales up to one month as well as for on- and off-peak electricity data. These scenarios represent sharp increases of prices and are not present in the Mid-C market due to its lower volatility. We argue that extreme price movements in this market should follow the same tendency as the more volatile Canadian markets. The estimated values of the Pareto indices suggest that the prediction of these events can be statistically stable. The results obtained provide new relevant information for managing financial risks associated with the dynamics of electricity derivatives over time frame exceeding one day.

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