A Hyperbolic Bid Stack Approach to Electricity Price Modelling

被引：0

作者：

Katona, Krisztina ^{[1
]}

Nikitopoulos, Christina Sklibosios ^{[1
]}

Schloegl, Erik ^{[2
,3
,4
]}

机构：

[1] Univ Technol Sydney, UTS Business Sch, Finance Discipline Grp, Sydney, NSW 2007, Australia

[2] Univ Technol Sydney, Sch Math & Phys Sci, Sydney, NSW 2007, Australia

[3] Univ Cape Town, African Inst Financial Markets & Risk Management A, ZA-7700 Cape Town, South Africa

[4] Univ Johannesburg, Fac Sci, Dept Stat, ZA-2006 Johannesburg, South Africa

来源：

RISKS | 2023年 / 11卷 / 08期

关键词：

electricity price modelling; bid stack functions; network constraint effects; structural price model; fundamental price model; RISK-NEUTRAL MODEL; GENERATION; VALUATION;

D O I：

10.3390/risks11080147

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Modelling the energy price in the Australian National Electricity Market (NEM) requires features that are not well reflected in existing models. We present a semi-structural, multi-regional model wherein bidding is not required to be cost-based, renewable fuels and storage technology are structurally integrated, and network constraints are often binding in optimal dispatch. Available fuel capacity then does not necessarily sum to registered bid capacity, as-bid fuel costs do not dependably follow input fuel prices, and cross-regional interconnectedness requires modelling trade. Furthermore, modelling the NEM spot price path must admit price negativity and price spikes. Extending previous work in the literature, the present paper proposes a hyperbolic bid stack approach to price modelling under these conditions.

引用

页数：39

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