The case of negative day-ahead electricity prices

被引：119

作者：

Fanone, Enzo ^{[1
,2
]}

Gamba, Andrea ^{[3
]}

Prokopczuk, Marcel ^{[4
]}

机构：

[1] Univ Trieste, I-20121 Milan, Italy

[2] Pricing & Structuring Edison Trading Spa, I-20121 Milan, Italy

[3] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England

[4] Univ Reading, Henley Business Sch, ICMA Ctr, Reading RG6 6BA, Berks, England

来源：

ENERGY ECONOMICS | 2013年 / 35卷

关键词：

Electricity; Levy processes; Price spikes; Negative prices; Fractional integration; SPOT; JUMPS;

D O I：

10.1016/j.eneco.2011.12.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：22 / 34

页数：13

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