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This article uses dynamic panel data analysis to examine the impacts of regulatory reforms in the electricity sector. We find that short term negative effects of ownership unbundling are approximately cancelled out by later positive impacts. Third party access seems to allow taking the benefits but avoiding the costs of ownership unbundling. The implementation of electricity exchanges has a positive...
Simulating the random changes of power prices is a crucial task for operational and trading decisions. Currently, models stemming from econometrics and financial mathematics represent the dominating approach to the stochastic simulation of electricity prices. This work proposes a novel methodology based on frequency-domain techniques for simulating the random fluctuations of hourly electricity prices...
In most electricity markets, a key restriction for portfolio optimization is the limited liquidity. Hence, standard models for decision problems have to be adapted to cope with this situation. This paper shows an approach dealing with this situation by including a liquidity function into the standard mean- variance model going back to Markowitz. This leads to a quadratic optimization problem which...
Since electrical energy cannot be stored the maintenance of balance between supply and demand in the grid is one major task of the system operator. His duty is to estimate beforehand how much energy will be injected in or withdrawn from the network. Therefore, an efficient and appropriate designed market is a necessary component in order to assist the balancing management. In awareness of this, the...
A large share of integrated wind power causes technical and financial impacts on the operation of the existing electricity system due to the fluctuating behaviour and unpredictability of wind power. The presented stochastic electricity market model optimises the unit commitment considering four kinds of electricity markets (e.g. a spot and balancing market) and taking into account the stochastic behaviour...
A large share of integrated wind power causes technical and financial impacts on the operation of the existing electricity system due to the fluctuating behaviour and unpredictability of wind power. The presented stochastic bottom-up electricity market model optimises the unit commitment considering five kinds of markets and taking explicitly into account the stochastic behaviour of the wind power...
In portfolio optimization including CHP plants, the heat demand provides a power plant overwhelming restriction. Thus usual real option approaches used for valuing conventional power plants cannot be applied directly. But on the other hand, the operation of CHP systems in liberalized electricity markets has also to take into account uncertain power prices in addition to uncertain heat and electricity...
In this paper a stochastic fundamental electricity market model is presented. The model's principle is cost minimization by determining the marginal system costs mainly as a function of available generation and transmission capacities, primary energy prices, plant characteristics and electricity demand. To obtain appropriate estimates of the marginal value of wind in an adapting system notably reduced...
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