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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 433-440A Bivariate Model for Deman and Spot Price of...

A Bivariate Model for Deman and Spot Price of Electricity

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Abstract:

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.

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Materials Science and Information Technology

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Periodical:

Advanced Materials Research (Volumes 433-440)

Pages:

3910-3917

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.433-440.3910

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Online since:

January 2012

Authors:

Hilary Green, Nino Kordzakhia, Ruben Thoplan

Keywords:

ARMA, Bivariate Normal Inverse Gaussian Distribution, Filtered Poisson Process, Gaussian Copula, t-Copula

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© 2012 Trans Tech Publications Ltd. All Rights Reserved

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Citation:

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