Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/179590
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A Bivariate model for deman and spot price of electricity
International Conference on Material Science and Information Technology (16 - 18 September 2011 : Singapore)
Zhang, Cai Suo. Materials science and information technology : selected, peer reviewed papers from the 2011 International Conference on Materials Science and Information Technology (MSIT2011), September 16-18, 2011, Singapore, p.3910-3917
In this paper bivariate modelling methodology, solely applied to the spot price of electricity or demand for electricity in earlier studies, is extended to a bivariate process of spot price of electricity and demand for electricity. The suggested model accommodates common idiosyncrasies observed in deregulated electricity markets such as cyclical trends in price and demand for electricity, occurrence of extreme spikes in prices, and mean-reversion effect seen in settling of prices from extreme values to the mean level over a short period of time. The paper presents detailed statistical analysis of historical data of daily averages of electricity spot prices and corresponding demand for electricity. The data is obtained from the NSW section of Australian Energy Markets.