Dissertations / Theses: 'Electricity markets'

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Hoang, Philip. "Essays in electricity markets /." [St. Lucia, Qld.] :, 2005. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18590.pdf.

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Le, Coq Chloé. "Quantity choices and market power in electricity markets." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-566.

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Competitive power markets from different countries exhibit a common market design, especially because of the nature of electricity (lack of storage, inelastic load, and strong seasonal effects on multiple time scales). For example, a majority of countries have created a spot market where electricity is traded hourly. The design of the spot markets reflected an ambition of providing strong incentives for efficient and least-cost production. Subsequently, the spot market price has been considered as a reference price for other existing electricity markets such as the contract market or the real-time market. However, empirical studies on electricity markets find some evidence of abnormally high markups. The literature on the electricity spot market mainly focuses on the producers' pricing decisions. The present thesis argues that quantity choices, both in terms of available as well as contracted quantities, are crucial for understanding market power in electricity markets.
Diss. Stockholm : Handelshögskolan, 2003 [4], iii, [1] s., s. 1-6: sammanfattning, s. 7-119, [5] s.: 4 uppsatser

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Le, Coq Chloé. "Quantity choices and market power in electricity markets /." Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/615.htm.

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4

Cubuklu, Omer. "Capacity Trading In Electricity Markets." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12613988/index.pdf.

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In electricity markets, capacity cost must be determined in order to make capacity trading. In this thesis, capacity cost and the factors deriving the capacity cost are studied. First, fixed capacity cost of power plants is examined. Direct and indirect costs of fixed capacity cost are detailed with respect to different types of power plants and the impact of these factors to the capacity cost is given. Second, interconnection and system utilization costs of transmission and distribution system are considered in order to simulate energy flow from the producer to the customer. Finally, a capacity cost calculation program is practiced. By the help of this program, capacity cost of power plants is figured out, different cases are compared and the main factors affecting the capacity cost are discussed in detail.

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Talasli, Irem. "Stochastic Modeling Of Electricity Markets." Phd thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614034/index.pdf.

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Day-ahead spot electricity markets are the most transparent spot markets where one can find integrated supply and demand curves of the market players for each settlement period. Since it is an indicator for the market players and regulators, in this thesis we model the spot electricity prices. Logarithmic daily average spot electricity prices are modeled as a summation of a deterministic function and multi-factor stochastic process. Randomness in the spot prices is assumed to be governed by three jump processes and a Brownian motion where two of the jump processes are mean reverting. While the Brownian motion captures daily regular price movements, the pure jump process models price shocks which have long term effects and two Ornstein Uhlenbeck type jump processes with different mean reversion speeds capturing the price shocks that affect the price level for relatively shorter time periods. After removing the seasonality which is modeled as a deterministic function from price observations, an iterative threshold function is used to filter the jumps. The threshold function is constructed on volatility estimation generated by a GARCH(1,1) model. Not only the jumps but also the mean reverting returns following the jumps are filtered. Both of the filtered jump processes and residual Brownian components are estimated separately. The model is applied to Austrian, Italian, Spanish and Turkish electricity markets data and it is found that the weekly forecasts, which are generated by the estimated parameters, turn out to be able to capture the characteristics of the observations. After examining the future contracts written on electricity, we also suggest a decision technique which is built on risk premium theory. With the help of this methodology derivative market players can decide on taking whether a long or a short position for a given contract. After testing our technique, we conclude that the decision rule is promising but needs more empirical research.

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Ferreira, Dias Marta. "Integration of European electricity markets." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/47365/.

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This thesis contributes to the study of the role of some identified obstacles to delay the process of liberalisation and integration of European electricity markets and to impede the achievement of its full benefits, namely increase efficiency and, ultimately, to pass on this efficiency gains to final consumers by lowering prices of electricity. Chapter 1 is a description and analysis of the progress made on European liberalisation and integration of electricity markets, identifying some of the main obstacles found on the path to achieve the Single European Market for electricity and solutions propsed to avoid them, either from the perspective of the EC and from the perspective of economic literature. The concerns considered for this review are related with the main focus of the thesis, market power and concentration. The solutions found on the literature to avoid these obstacles are related with the search for the best market design to be adopted in the Single Electricity Market. Since the Nordic countries constitute an integrated market considered as a success, this example is briefly explained in order to understand which are the main features of this success. The second chapter presents a simulation for the integration of the Iberian wholesale electricity market (MIBEL) in order to study how the exercise of market power will evolve with regional full integration. Following Borenstein and Bushnell (1999), we compare simulated market outcomes on four days of 2004, with no integration and with full integration. The presence of market power is measured using the Lerner Index. The simulation results allow us to conclude that, as expected, market power is lower after full integration. However, even after full integration, market power is still a feature of the market. Therefore, the full benefits of liberalisation and integration are not seized by the consumers, since wholesale prices persist to be higher than the marginal costs. The market participants with more benefits are the Portuguese, both consumers and the incumbent firm. The third chapter's purpose is to assess econometrically the impact on final consumer of mergers between electricity generators and natural gas suppliers. We find evidence that a merger of this type will increase final price of electricity in the market where it occurs. Moreover, as a consequence of the EOn-Rurhas German household consumers pay more 1.8% for the electricity and, in Finland, the Nest-Ivo merger caused an increase of around 2% on prices for household consumers. The answer to the question "should household consumers be concerned if a cross sectorial merger happens" seems to be yes, due to the detrimental effects on final prices.

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Nicholson, Emma Leah. "Essays on restructured electricity markets." Connect to Electronic Thesis (ProQuest) Connect to Electronic Thesis (CONTENTdm), 2008. http://worldcat.org/oclc/436443232/viewonline.

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8

Li, Zili. "Topics in deregulated electricity markets." Thesis, Queensland University of Technology, 2016. https://eprints.qut.edu.au/98895/1/Zili_Li_Thesis.pdf.

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The deregulation and introduction of market oriented competition has been a feature of major electricity markets worldwide in recent decades. This deregulation has given rise to a myriad of new challenges that impinge upon the decisions of market regulators, market operators and electricity generators and electricity retailers. This thesis is an investigation of three challenges in the national electricity market of Australia that have emerged in the post deregulation era. These are, respectively, forecasting load, the strategic bidding and rebidding behaviour of generators, and the effect of transmission constraints on the behaviour of prices.

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Harbord, David William Cameron. "Competition in decentralized electricity markets : three papers on electricity auctions." Thesis, London School of Economics and Political Science (University of London), 2005. http://etheses.lse.ac.uk/2417/.

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This thesis consists of three self-contained papers on the analysis of electricity auctions written over a period of twelve years. The first paper models price competition in a decentralized wholesale market for electricity as a first-price, sealed-bid, multi-unit auction. In both the pure and mixed-strategy equilibria of the model, above marginal cost pricing and inefficient despatch of generating units occur. An alternative regulatory pricing rule is considered and it is shown that offering to supply at marginal cost can be induced as a dominant strategy for all firms. The second paper analyses strategic interaction between long-term contracts and price competition in the British electricity wholesale market, and confirms that forward contracts will tend to put downward pressure on spot market prices. A 'strategic commitment' motive for selling forward contracts is also identified: a generator may commit itself to bidding lower prices into the spot market in order to ensure that it will be despatched with its full capacity. The third paper characterizes bidding behavior and market outcomes in uniform and discriminatory electricity auctions. Uniform auctions result in higher average prices than discriminatory auctions, but the ranking in terms of productive efficiency is ambiguous. The comparative effects of other market design features, such as the number of steps in suppliers' bid functions, the duration of bids and the elasticity of demand are analyzed. The paper also clarifies some methodological issues in the analysis of electricity auctions. In particular we show that analogies with continuous share auctions are misplaced so long as firms are restricted to a finite number of bids.

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Monjoie, Léopold. "Securing Investments in Electricity Markets. Three Essays on Market Design." Electronic Thesis or Diss., Université Paris sciences et lettres, 2024. http://www.theses.fr/2024UPSLD005.

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L’électricité est au cœur du fonctionnement de notre économie moderne, par conséquent un défi majeur pour les économistes est de s'assurer d’avoir suffisamment d’investissement. Actuellement dans la plupart des pays développés, ce sont majoritairement des acteurs privés qui prennent les décisions à la fois d’investir et de consommer. C’est dans ce contexte que cette thèse s’intéresse à comprendre comment déterminer des architectures de marché permettant de donner des incitations vertueuses aux acteurs. L’objectif est alors qu’ils prennent des décisions d’investissement et de consommation efficaces. La méthodologie employée dans cette thèse repose sur une représentation théorique des comportements d’acteur dans l’ensemble des marchés électriques et s’attèle à étudier comment ces comportements interagissent avec les règles édictées sur ces mêmes marchés. Le premier chapitre examine le comportement des producteurs sur les marchés de capacité. Un marché de capacité permet aux producteurs de générer des revenus à l’avance en échange de leur engagement à être disponible, ce qui doit les inciter à suffisamment investir. Le premier chapitre propose une nouvelle approche pour conceptualiser les offres sur ces marches en utilisant la théorie des options réelles. Ce modèle décrit notamment l’interaction entre les caractéristiques du contrat vendu sur le marché de capacité, notamment sa durée, et les offres faites par les producteurs. Ainsi, le chapitre apporte un nouvel éclairage sur la formation des prix sur ces marchés. Le second chapitre souligne l’importance de bien choisir comment la demande sur les marchés de capacité est mise en place. En effet, il démontre qu’en fonction des caractéristiques des marchés et des acteurs, certaines façons de prendre en compte la demande dans ces marchés peuvent avoir des effets inattendus sur le surplus. Ces effets peuvent à la fois être positifs ou négatifs. Enfin, le dernier chapitre pose la question de savoir comment s’assurer d’avoir suffisamment d’investissement lorsque l’on ne connait pas la demande des consommateurs. Il décrit ainsi l’arbitrage entre financer des investissements et maximiser la consommation d’électricité. Le chapitre souligne notamment que la mise en place de marchés permettant d’atteindre un niveau d’investissement peut poser des questions de redistribution, avec certains consommateurs se retrouvant lésés même si le bien-être global est maximisé
Because electricity is at the heart of our modern economy, a significant challenge for economists is to ensure sufficient investment. Currently, in most developed countries, it is predominantly private actors who make both investment and consumption decisions. It is in this context that this thesis is concerned with understanding how to design markets that provide virtuous incentives to a diverse set of actors. The aim is then to induce efficient investment and consumption decisions. The methodology employed in this thesis is based on a theoretical representation of actor behavior in electricity markets and studies how this behavior interacts with the rules enacted in these same markets. The first chapter examines the behavior of producers in capacity markets. A capacity market allows generators to generate income in advance in exchange for their commitment to availability, which should provide incentives to invest sufficiently. The first chapter proposes a new approach to conceptualizing offers on these markets, using real options theory. In particular, this model describes the interaction between the characteristics of the contract sold on the capacity market, notably its duration, and the bids made by producers. In this way, the chapter sheds new light on price formation in these markets. The second chapter highlights the importance of choosing the right way to choose the demand on capacity markets. Indeed, it shows that, depending on the characteristics of the markets and the players involved, certain ways of taking demand into account in these markets can have unexpected effects on surplus. These effects can be both positive and negative. Finally, the last chapter raises the question of how to ensure sufficient investment when consumer demand is unknown. It describes the trade-off between financing investment and maximizing welfare. In particular, the chapter points out that setting up markets to achieve a certain level of investment can raise questions of redistribution, with some consumers being harmed even if overall welfare is maximized

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11

Nguyen, Duy Huu Manh. "Analysing electricity markets with evolutionary computation." University of Western Australia. School of Electrical, Electronic and Computer Engineering, 2002. http://theses.library.uwa.edu.au/adt-WU2003.0018.

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The use of electricity in 21st century living has been firmly established throughout most of the world, correspondingly the infrastructure for production and delivery of electricity to consumers has matured and stabilised. However, due to recent technical and environmental–political developments, the electricity infrastructure worldwide is undergoing major restructuring. The forces driving this reorganisation are a complex interplay of technical, environmental, economic and political factors. The general trend of the reorganisation is a dis–aggregation of the previously integrated functions of generation, transmission and distribution, together with the establishment of competitive markets, primarily in generation, to replace previous regulated monopolistic utilities. To ensure reliable and cost effective electricity supply to consumers it is necessary to have an accurate picture of the expected generation in terms of the spatial and temporal distribution of prices and volumes. Previously this information was obtained by the regulated utility using technical studies such as centrally planned unit–commitment and economic–dispatch. However, in the new deregulated market environment such studies have diminished applicability and limited accuracy since generation assets are generally autonomous and subject to market forces. With generation outcomes governed by market mechanisms, to have an accurate picture of expected generation in the new electricity supply industry, it is necessary to complement traditional studies with new studies of market equilibrium and stability. Models and solution methods have been developed and refined for many markets, however they cannot be directly applied to the generation market due to the unique nature of electricity, having high inelastic demand, low storage capability and distinct transportation requirements. Intensive effort is underway to formulate solutions and models that specifically reflect the unique characteristics of the generation market. Various models have been proposed including game theory, stochastic and agent–based systems. Similarly there is a diverse range of solution methods including, Monte–Carlo simulations, linear–complimentary and quadratic programming. These approaches have varying degrees of generality, robustness and accuracy, some being better in certain aspects but weaker in others. This thesis formulates a new general model for the generation market based on the Cournot game, it makes no conjectures about producers’ behaviour and assumes that all electricity produced is immediately consumed. The new formulation characterises producers purely by their cost curves, which is only required to be piece–wise differentiable, and allows consumers’ characteristics to remain unspecified. The formulation can determine dynamic equilibrium and multiple equilibria of markets with single and multiple consumers and producers. Additionally stability concepts for the new market equilibrium is also developed to provide discrimination for dynamic equilibrium and to enable the structural stability of the market to be assessed. Solutions of the new formulation are evaluated by the use of evolutionary computation, which is a guided stochastic search paradigm that mimics the operation of biological evolution to iteratively produce a population of solutions. Evolutionary computation is employed as it is adept at finding multiple solutions for underconstrained systems, such as that of the new market formulation. Various enhancements to significantly improve the performance of the algorithms and simplify its application are developed. The concept of convergence potential of a population is introduced together with a system for the controlled extraction of such potential to accelerate the algorithm’s convergence and improve its accuracy and robustness. A new constraint handling technique for linear constraints that preserves the solution’s diversity is also presented together with a coevolutionary solution method for the multiple consumers and producers market. To illustrate the new electricity market formulation and its evolutionary computation solution methods, the equilibrium and stability of a test market with one consumer and thirteen thermal generators with valve point losses is examined. The case of a multiple consumer market is not simulated, though the formulation and solution methods for this case is included. The market solutions obtained not only confirms previous findings thus validating the new approach, but also includes new results yet to be verified by future studies. Techniques for market designers, regulators and other system planners in utilising the new market solutions are also given. In summary, the market formulation and solution method developed shows great promise in determining expected generation in a deregulated environment.

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12

Damsgaard, Niclas. "Deregulation and regulation of electricity markets." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 2003. http://www.hhs.se/efi/summary/630.htm.

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13

Kockar, Ivana. "Combined poolbilateral operation in electricity markets." Thesis, McGill University, 2003. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=84274.

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This thesis develops a general combined pool/bilateral electricity market model that allows for the simultaneous dispatch of both pool and bilateral trades. The latter are usually negotiated privately among the generators and loads and result in long-term agreements of the order of days to months. The bilateral contracts can be firm or non-firm but in all cases they stand for physical rather than financial obligations to generate a certain amount of power at some bus and to consume it at some other specified point in the power network. The power consumed by the loads that does not come from bilateral contracts is supplied by the pool generation, and is traded in the so-called spot markets whose time horizons can range from a day to as close as one hour.
In this combined market model, all ancillary services including transmission losses and congestion management are supplied by the pool. The market clearing process identifying the scheduled generation levels and the nodal electricity prices (also known as locational marginal prices) is defined by the solution of an optimal power flow which minimizes the total offered generation cost plus any curtailment or non-curtailment costs. This optimization, which is performed centrally by a system operator, simultaneously satisfies the power balance at all the network buses while respecting the power flow limits in all lines including transmission losses. In particular, the market clearing process takes into consideration generation limits imposed by the bilateral contracts, a constraint which as this thesis demonstrates can have a profound impact on the market performance.
The performance of the combined pool/bilateral market is evaluated both technically and financially. The technical performance of a specific market is measured in terms of the pool and bilateral generation levels, by the degree of transmission congestion and by the transmission losses. The financial performance of individual market participants is based on the nodal prices, power transfer rates, as well as on the revenues and expenditures of both generators and loads.
Simulation results indicate that careful coordination of the pool and bilateral trades is essential as certain mixes can force out of merit generator operation, unnecessary transmission congestion, lower generation revenues, and higher consumer payments. This is particularly so if the bilateral contracts are firm.
In order to lessen the consequences of inefficient pool/bilateral mixes, a variation of the combined pool/bilateral market is also examined under which the participants may submit curtailment offers for their firm contracts and non-curtailment bids for their non-firm contracts. The market clearing procedure in this case determines the levels of generation, the nodal prices, as well as the levels of contract curtailment.
Finally, the Aumann-Shapley unbundling procedure is applied to the combined pool/bilateral model with firm contracts. This enables the decomposition of the generation levels into three different service components, namely pool generation, bilateral generation, as well as a generation term supplying ancillary services attributed to the bilateral trades. The unbundling procedure also calculates the corresponding costs associated with these "unbundled" services and allocates them among the different market participants. This service and cost unbundling process is then implemented into a Pay-as-Bid pricing mechanism and compared with the conventional marginal pricing.

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14

林霙芝 and Ying-chi Lam. "Agent-based simulation of electricity markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B31222882.

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15

Houllier, M. "Integration of liberalised European electricity markets." Thesis, City University London, 2014. http://openaccess.city.ac.uk/12886/.

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The aim of this thesis is to assess the integration of European electricity markets. An integrated market could help to improve security of supply, foster competition, and may also help to integrate renewables. After reviewing the literature and describing the context, three studies are reported as separate chapters, which besides the common underlying theme use novel econometric and statistical methodology for time series analysis. Chapter two examines electricity market integration in nine European spot markets between 2000 and 2013, and four forward markets between 2007 and 2012. In contrast to most previous studies, this study proposes that electricity price processes are time-varying, and assesses the potential impacts of special events. Spot prices are found to be fractionally integrated and mean-reverting processes whose parameters are time-dependent and associated with electricity market coupling initiatives or changes in interconnector capacity. Forward prices, in contrast, do not revert to the mean, and in general show more stable common long-run associations than electricity spot prices. Chapter three investigates the association between electricity market integration, fuel and carbon price developments during base and peak load hours from December 2005 to October 2013 for France, Nordpool and the UK. The local electricity mix and interconnection with adjacent markets are found to be associated with common price dynamics between electricity markets, as well as with electricity fuel and carbon prices. Chapter four studies the possible implications of Germany’s Nuclear Phase Out Act on the integration of EU’s electricity market. In 2011, Germany’s secure generating capacity decreased significantly after eight nuclear power plants were closed within a period of six months. The short-run interrelationships of electricity spot prices, from November 2009 to October 2012, with wind introduced by the German system, are modelled using multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) models with dynamic correlations. In addition, a time-varying fractional cointegration analysis is conducted to identify any change in mean reversion and convergence of electricity spot prices. The results suggest unintended consequences from the policy: in the one-year period after the closures, the German market decoupled from the other markets and price volatility transmission increased.

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16

Karaduman, Ömer. "Essays on electricity and matching markets." Thesis, Massachusetts Institute of Technology, 2020. https://hdl.handle.net/1721.1/129011.

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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, September, 2020
Cataloged from student-submitted PDF of thesis.
Includes bibliographical references (pages 219-228).
This thesis contains two chapters on the Electricity Markets and a chapter on Matching Markets. In the first chapter, I study how an energy storage affects the wholesale electricity market. The transition to a low-carbon electricity system is likely to require grid-scale energy storage to smooth the variability and intermittency of renewable energy. I investigate whether private incentives for operating and investing in grid-scale energy storage are optimal and the need for policies that complement investments in renewables with encouraging energy storage. In a wholesale electricity market, energy storage systems generate profit by arbitraging inter-temporal electricity price differences. In addition, storage induces non-pecuniary externalities due to production efficiency and carbon emissions. I build a new dynamic equilibrium framework to quantify the effects of grid-scale energy storage and apply it to study the South Australian Electricity Market.
This equilibrium framework computes a supply function equilibrium using estimated best responses from conventional sources to observed variation in the residual demand volatility. Accounting for storage's effect on equilibrium prices is quantitatively important: previous methods that ignore this channel overestimate the profitability of operating a storage unit. The first set of results shows that although entering the electricity market is not profitable for privately operated storage, such entry would increase consumer surplus and total welfare and reduce emissions. A storage operator that minimizes the cost of acquiring electricity could further improve consumer surplus by twice as much. Importantly, a competitive storage market cannot achieve this outcome because other power plants distort prices. These results argue for a capacity market to compensate for a private firm for investing in storage.
The second set of results shows that at moderate levels of renewable power, introducing grid-scale storage to the system reduces renewable generators' revenue by decreasing average prices. For high levels of renewable generation capacity, storage increases the return to renewable production and decreases CO₂ emissions by preventing curtailment during low-demand periods. In the second chapter, I study how a large scale wind power investment affects the wholesale electricity market. Renewable subsidies have been an influential device for wind power investment in many parts of the world. These policies help to lower emissions by offsetting high-emitting electricity generation with clean energy. For zero-emission targets, this transition towards renewable power should be accompanied by thermal generators' retirement to set clean the energy mix in the power sector.
In this paper, I build a framework to quantify the offset and revenue impact of large-scale wind power investment in a wholesale electricity market and apply it to study the South Australian Electricity Market. This equilibrium framework computes a supply function equilibrium using estimated best responses from conventional sources to observed variation in the residual demand volatility. I first show that reduced-form methods are biased as the scale of the additional capacity increases. My results highlight that with different investment sizes, the substitution patterns and negative revenue impact for wind power differ considerably. As the penetration level of wind power increases, the electricity becomes cheaper. The offset and negative shock shifts from low-cost inflexible generators to high-cost flexible generators, while the revenue impact is the highest on existing renewable generation.
I also show quite a bit heterogeneity in price impact among different potential wind power projects. These results have some policy implications on renewable targets' long-run effects and the project selection given the subsidy scheme. In the third chapter, joint with Nikhil Agarwal, Itai Ashlagi, Eduardo Azevedo and Clayton Featherstone, I study the market failure in kidney exchange. We show that kidney exchange markets suffer from market failures whose remedy could increase transplants by 30 to 63 percent. First, we document that the market is fragmented and inefficient; most transplants are arranged by hospitals instead of national platforms. Second, we propose a model to show two sources of inefficiency: hospitals only partly internalize their patientsâǍŹ benefits from exchange, and current platforms suboptimally reward hospitals for submitting patients and donors. Third, we calibrate a production function and show that individual hospitals operate below efficient scale.
Eliminating this inefficiency requires either a mandate or a combination of new mechanisms and reimbursement reforms.
by Ömer Karaduman.
Ph. D.
Ph.D. Massachusetts Institute of Technology, Department of Economics

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17

Lam, Ying-chi. "Agent-based simulation of electricity markets /." Hong Kong : University of Hong Kong, 1999. http://sunzi.lib.hku.hk/hkuto/record.jsp?B21482391.

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18

Spiridonova, Olga. "Three essays on European electricity markets." Doctoral thesis, Humboldt-Universität zu Berlin, 2019. http://dx.doi.org/10.18452/20613.

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Diese Dissertation untersucht Fragen, die sich mit dem Einfluss der Übertragungskapazitäten und der Erzeugung erneuerbarer Energien auf dem Strommarkt befassen. Die Arbeit besteht aus drei eigenständigen Aufsätze, die für die politische Debatte einen Beitrag leisten. Das erste Kapitel konzentriert sich auf ein Netzwerk mit strategischen Unternehmen, die die Stromflüsse zu ihrem Vorteil manipulieren können. Dieses Kapitel gehört zur Forschungsliteratur, die Strommärkte als Gleichgewichtsprobleme mit Gleichgewichtseinschränkungen darstellt. In diesem Rahmen vergleiche ich mehrere Strategien zur Stärkung des Wettbewerbs und zeige, dass der Netzausbau zwar den Wettbewerb ankurbeln kann, mit Umstrukturierungen aber größere Verbesserungen des Verbraucherüberschusses und des Wohlstands erzielt werden können. Das zweite Kapitel basiert auf einem ähnlichen Modell mit einem einfachen Zwei-Knoten-Netzwerk. Dieser Ansatz zeigt mögliche nachteilige Auswirkungen (höhere Preise, geringerer Gesamtverbrauch, geringerer Konsumentenrente) einer höheren Einspeisung erneuerbarer Energie in einem Netz, in dem eine Region mit hohem erneuerbaren Potenzial von einer Region mit hoher Last durch eine begrenzte Übertragungskapazität getrennt ist. Die Annahme ist, dass es in jeder Region einen strategischen Akteur gibt, der seine Marktmacht ausübt. Das dritte Kapitel befasst sich mit der Substitution zwischen Übertragungs- und Speicherkapazitäten - beides Instrumente zur Integration von erneuerbarer Energien. Eine Analyse mit einfachen Speicherheuristik zeigt den relativ bescheidenen Effekt des zeitlichen Ausgleichs. Im Gegensatz dazu birgt die Erweiterung des Übertragungsnetzes ein erhebliches Steigerungspotenzial für die Nutzung erneuerbarer Energiequellen, die Verringerung der Kürzungsraten und die Reduzierung der minimalen konventionellen Stromerzeugung.
This thesis investigates several questions related to the influence of transmission capacities and generation of renewable energy on the outcomes in the wholesale electricity markets. The thesis consists of three self-contained essays that contribute to the policy debate. The analysis of the first essay focuses on a network with strategic firms that can manipulate power flows to their advantage. Methodologically, this chapter belongs to the research literature that represents electricity markets as equilibrium problems with equilibrium constraints. In this framework I compare several policies of enhancing competition and demonstrate that although network expansion can stimulate competition, larger improvements in consumer surplus and welfare can be achieved with restructuring. The second essay is based on a similar model, but in a stylized two node network. This approach demonstrates potential adverse effects (higher prices, lower total consumption, lower consumer surplus) from higher renewable infeed in a network where a region with high renewable potential is separated from a region with high load by a limited transmission capacity. I adopt a worst-case assumption that in each region there is a strategic player exercising its market power. The third essay studies the substitution between transmission and storage expansion - two instruments for the integration of expanding renewable energy. Using a myopic storage heuristic I demonstrate the relatively modest effect of temporal balancing of renewable power. In contrast, transmission expansion has a significant potential in increasing renewable penetration, mitigating curtailment rates, and reducing the minimum conventional generation power at any hour. If Europe is to pursue the high targets of renewable power in electricity consumption, the only way to avoid the expansion of cross border lines is extremely high installed renewable capacities and energy capacities of storage.

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19

Pham, Thao. "Market power in power markets in Europe : the Cases in French and German woholesale electricity markets." Thesis, Paris 9, 2015. http://www.theses.fr/2015PA090019/document.

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Les deux derniers siècles ont connu une révolution exceptionnelle dans l'organisation des marchés électriques dans le monde entier. Ainsi, traditionnellement organisé autour de monopoles verticalement intégrés et soumis à la régulation, le secteur électrique connait un processus de réforme et évolue vers une organisation décentralisée qui favorise les mécanismes du marché. Le passage des tarifs régulés à des prix du marché, compte tenu des structures concentrées et les caractéristiques particulières de l'industrie électrique, accroît la possibilité que certaines entreprises puissent manipuler les prix du marché en exerçant leur pouvoir de marché. Les questions de "pouvoir de marché" dans un secteur donné ont été abondamment étudiées dans la littérature de l'économie Industrielle depuis la fin des années 1970, mais des études théoriques et empiriques de "pouvoir de marché dans les marchés électriques" n'ont été développées que récemment. Dans cette thèse, nous essayons de mener une recherche approfondie autour des questions de pouvoir de marché sur les marchés de gros de l'électricité en Europe. Nous conduisons des études empiriques dans deux des plus grands marchés européens: la France (sur des données 2009-2012) et l'Allemagne (sur des données de 2011), en utilisant des méthodes économétriques et des modèles de simulation des marchés électriques. Le sujet semble pertinent dans la période de transition énergétique en Europe
The two last centuries have witnessed an exceptional revolution in the organization of electric power markets worldwide. The industry's organization has changed from vertically integrated monopolies under regulation to unbundled structures that favor market mechanisms; known as reform process in Europe. The shift to reliance on market prices, given concentrated structures and particular characteristics of electricity industry, raises a possibility that some firms could influence the market prices by exercising their market power. The issues of "market power" in a given industry have been abundantly employed in the literatureof Industrial Organization since the late 1970s but theoretical and empirical studies of "market power in electricity markets" have only been developed recently. In this thesis, we attempt to carry out an insight research around market power questions in deregulated wholesale electricity markets in Europe, as regarding the way of defining and measuring it. We carry out empirical studies in two of the biggest liberalized electricity markets in Europe: France (2009-2012's data) and Germany (2011's data), using econometric regressions and electricity simulation models as main methodologies. The subject is particularly relevant inthe context of energy transition in Europe (transition energetique in France and Energiewende in Germany)

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Nanduri, Vishnuteja. "Auction performance evaluation in deregulated electricity markets." [Tampa, Fla.] : University of South Florida, 2005. http://purl.fcla.edu/fcla/etd/SFE0001105.

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Pettersen, Erling. "Managing End-user Flexibility in Electricity Markets." Doctoral thesis, Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management, 2004. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-373.

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Over the past couple of decades, electricity markets across the world have been deregulated. When the electricity systems were being developed, governments exercised extensive control over the industry to ensure reliable services. Today, most of the basic investments have been carried out, and more and more countries have chosen to let market mechanisms regulate the electricity systems. Different countries have, however, approached the deregulation in different ways. While production of electricity is subject to competition in all deregulated markets, there are differences as to how the wholesale markets and end-user markets are organized. An overview of energy optimization models dealing with uncertainty in both regulated and deregulated electricity markets is found in [5].

The primary focus of this thesis is to analyze how participants in the Norwegian electricity market would behave in a situation where the consumers are metered and charged by the hour. The thesis includes five papers, preceded by an introduction. The current part provides a background for the papers and puts them into a common framework. Another purpose of the background part is to point out the scientific contributions of the thesis, which, as we shall see, primarily lie in the application of known methods to new problems.

In Section 2 of the background part a description of the Norwegian electricity market is provided. The section starts with a very brief overview of when and why the market was opened up for competition. Next, we give a description of the wholesale market, with some emphasis on the regulating market (Section 2.1). The end-user market is the primary subject of this thesis, and an overview of this market is given in Section 2.2. Today Norwegian end-users are normally not metered and charged by the hour, as will be apparent from Section 2.2, but if they were, it is likely that this would induce more short-term flexibility in the end-user market. In Section 3 we give a brief overview of how hourly metering, coupled with some sort of two-way communication, may help achieve this. Also, we discuss some potential effects of such flexibility for consumers, retailers, network operators, environment and society (Section 3.2). Finally, in Section 4, we look at two alternative ways of making the end-users alter their load profiles, and discuss pros and cons of the two solutions. Each paper includes its own introduction, and for an overview of the contents of the papers, we refer to these.

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Khazaei, Javad. "Mechanism design for electricity markets under uncertainty." Thesis, University of Auckland, 2012. http://hdl.handle.net/2292/18995.

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In this thesis, we investigate the effects of the electricity market clearing mechanisms on the cost of integrating intermittent resources such as wind. We present a linear supply function equilibrium model of a conventional two settlement electricity market clearing mechanism. We then provide examples of markets for which large-scale wind integration can increase steady state cost of generation and decrease expected social welfare. These counter-intuitive examples lead us to analyse in depth mechanisms that appear to efficiently cater for uncertainty. Recently an alternative so-called stochastic settlement market has been proposed (see e.g. Pritchard et al. [80] and Bouffard et al. [30]). In such a market, the ISO co-optimizes pre-dispatch and spot in one single settlement market. By considering all possible demand realizations ahead of time, pre and spot dispatch is deemed to be scheduled more efficiently. In this thesis we consider simplified models for both stochastic settlement and conventional two settlement market clearing mechanisms. Our models are targeted towards analyzing imperfectly competitive markets. We demonstrate that the stochastic settlement market clearing mechanism can always outperform the two settlement mechanism for symmetric generators. However, we also present an example of an asymmetric market in which, contrary to intuition, the two settlement mechanism yields higher social and consumer welfare in equilibrium. Even though the stochastic settlement mechanism outperforms the two settlement mechanism most of the time, implementing such a system requires extra costs. Thus, we also present results of an empirical study to estimate the value of the stochastic settlement mechanism for New Zealand electricity market. We extend our analysis to hypothetical wind investments in the future.

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Pape, Andrew. "Implementing sustainable energy in competitive electricity markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp04/mq24221.pdf.

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Molina-Escobar, Alberto. "Filtering and parameter estimation for electricity markets." Thesis, University of British Columbia, 2009. http://hdl.handle.net/2429/21736.

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The growing complexity of energy markets requires the introduction of in creasingly sophisticated tools for the analysis of market structures and for the modeling of the dynamics of spot market and forward prices. In order for market participants to use these markets in an efficient way, it is important to employ good mathematical models of these markets. This has proved to be particularly difficult for electricity, where markets are complex, and ex hibit a number of unique features, mainly due to the problems involved in storing electricity. In this thesis we propose three models for electricity prices. All are multifactor models, that is, as well as an observable spot price they assume the existence of an unobservable long term mean’ process. The introduction of such additional processes helps to explain the relation between spot and futures prices. In the first part of the thesis we introduce a two factor Gaus sian model for prices. Using the Kalman filter, and based on both spot and forward prices, we successfully estimate parameters for simulated data. We then estimate parameters for the German EEX market, and compare our fitted model with the observed prices. We find that this model does capture some features of the EEX market, but it fails to exhibit the price spikes which are a prominent feature of true spot prices. We therefore introduce a second model, which includes jumps. The inclusion of jumps has the potential to give a better explanation of the behavior of electricity prices, but it creates difficulties in the estimation of parameters. This is because as the model noise is non-Gaussian the Kalman filter cannot be applied satisfactorily. We implement the particle filter adopting the Liu & West approach for the jump model. This method allows us to identify the hidden process in the model, and to estimate a small number of parameters. The third model is a new model for electricity prices based on the inverse Box-Cox transformation. This model is non-linear with Gaussian noise, and can generate price spikes using fewer parameters than a multi-factor jump-diffusion model. In this context, we successfully applied the Unscented Kalman filter to estimate the parameters.

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Falcey, Jonathan M. "Electricity Markets, Smart Grids and Smart Buildings." Thesis, University of Denver, 2013. http://pqdtopen.proquest.com/#viewpdf?dispub=1536975.

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A smart grid is an electricity network that accommodates two-way power flows, and utilizes two-way communications and increased measurement, in order to provide more information to customers and aid in the development of a more efficient electricity market. The current electrical network is outdated and has many shortcomings relating to power flows, inefficient electricity markets, generation/supply balance, a lack of information for the consumer and insufficient consumer interaction with electricity markets. Many of these challenges can be addressed with a smart grid, but there remain significant barriers to the implementation of a smart grid.

This paper proposes a novel method for the development of a smart grid utilizing a bottom up approach (starting with smart buildings/campuses) with the goal of providing the framework and infrastructure necessary for a smart grid instead of the more traditional approach (installing many smart meters and hoping a smart grid emerges). This novel approach involves combining deterministic and statistical methods in order to accurately estimate building electricity use down to the device level. It provides model users with a cheaper alternative to energy audits and extensive sensor networks (the current methods of quantifying electrical use at this level) which increases their ability to modify energy consumption and respond to price signals

The results of this method are promising, but they are still preliminary. As a result, there is still room for improvement. On days when there were no missing or inaccurate data, this approach has R² of about 0.84, sometimes as high as 0.94 when compared to measured results. However, there were many days where missing data brought overall accuracy down significantly. In addition, the development and implementation of the calibration process is still underway and some functional additions must be made in order to maximize accuracy. The calibration process must be completed before a reliable accuracy can be determined.

While this work shows that a combination of a deterministic and statistical methods can accurately forecast building energy usage, the ability to produce accurate results is heavily dependent upon software availability, accurate data and the proper calibration of the model. Creating the software required for a smart building model is time consuming and expensive. Bad or missing data have significant negative impacts on the accuracy of the results and can be caused by a hodgepodge of equipment and communication protocols. Proper calibration of the model is essential to ensure that the device level estimations are sufficiently accurate. Any building model which is to be successful at creating a smart building must be able to overcome these challenges.

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Legbedji, Alexis Motto. "Price schedules coordination for electricity pool markets." Thesis, McGill University, 2001. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38456.

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We consider the optimal coordination of a class of mathematical programs with equilibrium constraints, which is formally interpreted as a resource-allocation problem. Many decomposition techniques were proposed to circumvent the difficulty of solving large systems with limited computer resources. The considerable improvement in computer architecture has allowed the solution of large-scale problems with increasing speed. Consequently, interest in decomposition techniques has waned. Nonetheless, there is an important class of applications for which decomposition techniques will still be relevant, among others, distributed systems---the Internet, perhaps, being the most conspicuous example---and competitive economic systems. Conceptually, a competitive economic system is a collection of agents that have similar or different objectives while sharing the same system resources. In theory, constructing a large-scale mathematical program and solving it centrally, using currently available computing power can optimize such systems of agents. In practice, however, because agents are self-interested and not willing to reveal some sensitive corporate data, one cannot solve these kinds of coordination problems by simply maximizing the sum of agent's objective functions with respect to their constraints. An iterative price decomposition or Lagrangian dual method is considered best suited because it can operate with limited information. A price-directed strategy, however, can only work successfully when coordinating or equilibrium prices exist, which is not generally the case when a weak duality is unavoidable. Showing when such prices exist and how to compute them is the main subject of this thesis. Among our results, we show that, if the Lagrangian function of a primal program is additively separable, price schedules coordination may be attained. The prices are Lagrange multipliers, and are also the decision variables of a dual program. In addition, we propose a new form of a

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Maiorano, Annalisa. "Modelling and analysis of oligopolistic electricity markets." Thesis, Brunel University, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.367886.

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Petoussis, Andreas G. "Supply function equilibrium analysis for electricity markets." Thesis, University of Warwick, 2009. http://wrap.warwick.ac.uk/1054/.

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The research presented in this Thesis investigates the strategic behaviour of generating firms in bid-based electricity pool markets and the effects of control methods and network features on the electricity market outcome by utilising the AC network model to represent the electric grid. A market equilibrium algorithm has been implemented to represent the bi-level market problem for social welfare maximization from the system operator and utility assets optimisation from the strategic market participants, based on the primal-dual interior point method. The strategic interactions in the market are modelled using supply function equilibrium theory and the optimum strategies are determined by parameterization of the marginal cost functions of the generating units. The AC power network model explicitly represents the active and reactive power flows and various network components and control functions. The market analysis examines the relation between market power and AC networks, while the different parameterization methods for the supply function bids are also investigated. The first part of the market analysis focuses on the effects of particular characteristics of the AC network on the interactions between the strategic generating firms, which directly affect the electricity market outcome. In particular, the examined topics include the impact of transformer tap-ratio control, reactive power control, different locations for a new entry’s generating unit in the system, and introduction of photovoltaic solar power production in the pool market by considering its dependencyon the applied solar irradiance. The observations on the numerical results have shown that their impact on the market is significant and the employment of AC network representation is required for reliable market outcome predictions and for a better understanding of the strategic behaviour as it depends on the topology of the system. The analysis that examines the supply function parameterizations has shown that the resulting market solutions from the different parameterization methods can be very similar or differ substantially, depending on the presence and level of network congestion and on the size and complexity of the examined system. Furthermore, the convergence performance of the implemented market algorithm has been examined and proven to exhibit superior computational efficiency, being able to provide market solutions for large complex AC systems with multiple asymmetric firms, providing the opportunity for applications on practical electricity markets.

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Xu, Li. "Financial and computational models in electricity markets." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/51849.

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This dissertation is dedicated to study the design and utilization of financial contracts and pricing mechanisms for managing the demand/price risks in electricity markets and the price risks in carbon emission markets from different perspectives. We address the issues pertaining to the efficient computational algorithms for pricing complex financial options which include many structured energy financial contracts and the design of economic mechanisms for managing the risks associated with increasing penetration of renewable energy resources and with trading emission allowance permits in the restructured electric power industry. To address the computational challenges arising from pricing exotic energy derivatives designed for various hedging purposes in electricity markets, we develop a generic computational framework based on a fast transform method, which attains asymptotically optimal computational complexity and exponential convergence. For the purpose of absorbing the variability and uncertainties of renewable energy resources in a smart grid, we propose an incentive-based contract design for thermostatically controlled loads (TCLs) to encourage end users' participation as a source of DR. Finally, we propose a market-based approach to mitigate the emission permit price risks faced by generation companies in a cap-and-trade system. Through a stylized economic model, we illustrate that the trading of properly designed financial options on emission permits reduces permit price volatility and the total emission reduction cost.

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Wagner, Michael R. (Michael Robert) 1978. "Hedging optimization algorithms for deregulated electricity markets." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/16778.

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Thesis (M.Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2001.
Includes bibliographical references (p. 83-84).
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Recent trends in many U.S. states are to deregulate their electric power industry and markets with the desire to provide a more consumer-friendly environment than under regulation. However, deregulation also creates uncertainty and risk. It is this risk that we wish to address and contain. In this thesis, we review recently developed stochastic models of physical and financial aspects of deregulated electricity markets and research algorithms to utilize these models to hedge risk. First, we consider the issue of calibrating these models to historical data. Once the models are calibrated sufficiently, we discuss two major frameworks for hedging risk optimally. We begin by first developing a method for static hedging optimization, where we optimize a hedging strategy from a fixed point of time over a finite delivery period. Then we develop a more robust dynamic optimization, where the hedging strategy is continuously improved over a finite hedging period for a finite delivery period. A very lucid and recent motivation for the research in this thesis comes from California, where deregulation took place five years ago. Within the last year, the spot market behaved erratically, causing utility companies to plummet financially, ultimately resulting in many declaring bankruptcy and requiring the state of California to intervene so that California did not fall dark. The hedging optimization algorithms developed in this thesis could be used in deregulated electricity markets to possibly avoid a repetition of the situation that occurred in California.
by Michael R. Wagner.
M.Eng.

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Martyr, Randall. "Optimal prediction games in local electricity markets." Thesis, University of Manchester, 2015. https://www.research.manchester.ac.uk/portal/en/theses/optimal-prediction-games-in-local-electricity-markets(976e566d-e942-444a-9ee0-df17f46188d4).html.

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Local electricity markets can be defined broadly as 'future electricity market designs involving domestic customers, demand-side response and energy storage'. Like current deregulated electricity markets, these localised derivations present specific stochastic optimisation problems in which the dynamic and random nature of the market is intertwined with the physical needs of its participants. Moreover, the types of contracts and constraints in this setting are such that 'games' naturally emerge between the agents. Advanced modelling techniques beyond classical mathematical finance are therefore key to their analysis. This thesis aims to study contracts in these local electricity markets using the mathematical theories of stochastic optimal control and games. Chapter 1 motivates the research, provides an overview of the electricity market in Great Britain, and summarises the content of this thesis. It introduces three problems which are studied later in the thesis: a simple control problem involving demand-side management for domestic customers, and two examples of games within local electricity markets, one of them involving energy storage. Chapter 2 then reviews the literature most relevant to the topics discussed in this work. Chapter 3 investigates how electric space heating loads can be made responsive to time varying prices in an electricity spot market. The problem is formulated mathematically within the framework of deterministic optimal control, and is analysed using methods such as Pontryagin's Maximum Principle and Dynamic Programming. Numerical simulations are provided to illustrate how the control strategies perform on real market data. The problem of Chapter 3 is reformulated in Chapter 4 as one of optimal switching in discrete-time. A martingale approach is used to establish the existence of an optimal strategy in a very general setup, and also provides an algorithm for computing the value function and the optimal strategy. The theory is exemplified by a numerical example for the motivating problem. Chapter 5 then continues the study of finite horizon optimal switching problems, but in continuous time. It also uses martingale methods to prove the existence of an optimal strategy in a fairly general model. Chapter 6 introduces a mathematical model for a game contingent claim between an electricity supplier and generator described in the introduction. A theory for using optimal switching to solve such games is developed and subsequently evidenced by a numerical example. An optimal switching formulation of the aforementioned game contingent claim is provided for an abstract Markovian model of the electricity market. The final chapter studies a balancing services contract between an electricity transmission system operator (SO) and the owner of an electric energy storage device (battery operator or BO). The objectives of the SO and BO are combined in a non-zero sum stochastic differential game where one player (BO) uses a classic control with continuous effects, whereas the other player (SO) uses an impulse control (discontinuous effects). A verification theorem proving the existence of Nash equilibria in this game is obtained by recursion on the solutions to Hamilton-Jacobi-Bellman variational PDEs associated with non-zero sum controller-stopper games.

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Fanone, Enzo. "Three Essays on Modelling of Electricity Markets." Doctoral thesis, Università degli studi di Trieste, 2012. http://hdl.handle.net/10077/7424.

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Wu, Zhiyong. "Stratum Electricity Markets: Toward Multi-temporal Distributed Risk Management for Sustainable Electricity Provision." Research Showcase @ CMU, 2012. http://repository.cmu.edu/dissertations/89.

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Motivated by the overall challenge of ensuring long-term sustainable electricity service, we view this challenge as a long-term decision making problem under uncertainties. We start by recognizing that, independent of the industry organization, the uncertainties are enormous and often exogenous to the energy service providers. They are multi-dimensional and are result of fundamental drivers, ranging from the supply side, through the demand side, to the regulatory and policy sides. The basic contribution of this thesis comes from the recognition that long-term investments for ensuring reliable and stable electricity service critically depend on how these uncertainties are perceived, valued and managed by the different stakeholders within the complex industry organization such as the electric power industry. We explain several reasons why price signals obtained from current short-term electricity markets alone are not sufficient enough for long-term sustainable provision. Some enhancements are presented in the thesis to improve the short-term electricity market price signals to reflect the true cost of operation. New market mechanisms and instruments are needed to facilitate the stakeholders to better deal with long-term risks. The problems of ensuring long-term stable reliable service in the sense of the traditional resource adequacy requirements are revisited in both the restructuring industry and regulated industry. We introduce a so-called Stratum Electricity Market (SEM) design as the basic market mechanism for solving the problem of long-term reliable electricity service through a series of interactive multi-lateral market exchange platforms for risks communication, management and evaluations over various time horizons and by the different groups of stakeholders. In other words, our proposed SEM is a basic IT-enabled framework for the decision making processes by various parties over different time. Because of the uniqueness of electricity as a commodity, the values for the same amount of energy during different time and at different location can vary dramatically. Moreover, for the same hour, the values for the same amount of power at base load level or at peak load level are different due to the different generation technologies and other non-convex constraints like unit commitment. The multiple market products at zonal/nodal levels with different time horizon and time of use categories are designed to reflect more realistic demand and supply conditions at various temporal and spatial granularities. Detailed market rules, rights and regulations (3Rs) concerning the sub-markets interactions, product hierarchy and financial settlements are also examined.

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Zachmann, Georg. "Empirical Evidence for Inefficiencies in European Electricity Markets." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2009. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-24857.

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This dissertation applies a variety of quantitative methods to European electricity market data to enable us to detect, understand, and eventually mitigate market imperfections. The empirical data indicate that market power and barriers to cross-border trade partially explain today’s market failures. Briefly, the five key findings of this dissertation are: First, we observe a decoupling between German electricity prices and fuel cost, even though British electricity prices are largely explained by short-run cost factors. Second, we demonstrate that rising prices of European Union emission allowances (EUA) have a greater impact on German wholesale electricity prices than falling EUA prices. Third, we reject the assumption of full integration of European wholesale electricity markets in 2002-2006; for several pairs of countries, the weaker hypothesis of (bilateral) convergence is accepted (i.e. efforts to develop a single European market for electricity have been only partially successful). Fourth, we observe that daily auction prices of scarce cross-border transmission capacities are insufficient to explain the persistence of international price differentials. Empirically, our findings confirm the insufficiency of explicit capacity auctions as stated in the theoretical literature. Fifth, we identify inefficiencies in the market behavior for the interconnector linking France and the United Kingdom (UK), for which several explanations, including market power, may be plausible.

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Huang, Qingqing Ph D. Massachusetts Institute of Technology. "Efficiency-risk tradeoffs in dynamic oligopoly markets : with application to electricity markets." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/82397.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2013.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 87-90).
In an abstract framework, we examine how a tradeoff between efficiency and risk arises in different dynamic oligopolistic markets. We consider a scenario where there is a reliable resource provider and agents which enter and exit the market following a random process. Self-interested and fully rational agents can both produce and consume the resource. They dynamically update their load scheduling decisions over a finite time horizon, under the constraint that the net resource consumption requirements are met before each individual's deadline. We first examine the system performance under the non-cooperative and cooperative market architectures, both under marginal production cost pricing of the resource. The statistics of the stationary aggregate demand processes induced by the two market architectures show that although the non-cooperative load scheduling scheme leads to an efficiency loss - widely known as the "price of anarchy" - the stationary distribution of the corresponding aggregate demand process has a smaller tail. This tail, which corresponds to rare and undesirable demand spikes, is important in many applications of interest. With a better understanding of the efficiency-risk tradeoff, we investigate, in a non-cooperative setup, how resource pricing can be used as a tool by the system operator to tradeoff between efficiency and risk. We further provide a convex characterization of the Pareto front of different system performance measures. The Pareto front determines the tradeoff among volatility suppression of concerned measurements in the system with load scheduling dynamics. This is the fundamental tradeoff in the sense that system performance achieved by any load scheduling strategies induced by any specific market architectures is bounded by this Pareto front.
by Qingqing Huang.
S.M.

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Rubin, Ofir D. "Equilibrium pricing in electricity markets with wind power." [Ames, Iowa : Iowa State University], 2010. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3403856.

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Kristiansen, Tarjei. "Risk Management in Electricity Markets Emphasizing Transmission Congestion." Doctoral thesis, Norwegian University of Science and Technology, Department of Electrical Power Engineering, 2004. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-1827.

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This thesis analyzes transmission pricing, transmission congestion risks and their associated hedging instruments as well as mechanisms for stimulating investments in transmission expansion. An example of risk management in the case of a hydropower producer is included.

After liberalization and restructuring of electricity markets, risk management has become important. In particular the thesis analyzes risks due to transmission congestion both in the short- and long-term (investments) for market players such as generators, loads, traders, independent system operators and merchant investors. The work is focused on the northeastern United States electricity markets and the Nordic electricity markets.

The first part of the thesis reviews the literature related to the eight research papers in the thesis. This describes the risks that are relevant for an electricity market player and how these can be managed. Next, the basic ingredients of a competitive electricity market are described including the design of the system operator. The transmission pricing method is decisive for hedging against transmission congestion risks and there is an overview of transmission pricing models considering their similarities and differences. Depending on the transmission pricing method used, locational or area (zonal) pricing, the electricity market players can use financial transmission rights or Contracts for Differences, respectively. In the long-term it is important to create mechanisms for investments in transmission expansion and the thesis describes one possible approach and its potential problems.

The second part comprises eight research papers. It presents empirical analyses of existing markets for transmission congestion derivatives, theoretical analyses of transmission congestion derivatives, modeling of merchant long-term financial transmission rights, theoretical analysis of the risks of the independent system operator in providing financial transmission rights, an analysis of inefficiencies associated with ignoring losses when utilizing area (zonal) pricing, and an application of an integrated risk management model on the power system of Norway’s second largest hydropower producer.

The most important research findings include the following issues. First, Contracts for Differences in the Nordic market appear to be over-priced. Second, a merchant long-term financial transmission rights model is possible to realize in mathematical and economic terms. Third, by including the proceeds from a financial transmission right auction the independent system operator can issue a higher volume of rights because there is a relationship between the congestion rent, the proceeds from the auction and the payments to the financial transmission rights holders. Fourth, ignoring losses in the Norwegian area pricing, can lead to inefficiencies. Next, an integrated risk management model is applicable on large-scale power systems. Then, an overview is presented of different contractual arrangements that can be used to hedge transmission congestion risks. Finally, empirical data from existing financial transmission rights markets demonstrate how these markets work.

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Weigt, Hannes. "Modeling Competition and Investment in Liberalized Electricity Markets." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2009. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-24711.

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In this thesis current questions regarding the functionality of liberalized electricity markets are studied addressing different topics of interest in two main directions: market power and competition policy on electricity wholesale markets, and network investments and incentive regulation. The former is studied based on the case of the German electricity market with respect to ex-post market power analysis and ex-ante remedy development. First an optimization model is designed to obtain the competitive benchmark which can be compared to the observed market outcomes between 2004 and 2006. In a second step the horizontal breaking up of dominant firms (divestiture) is simulated applying equilibrium techniques (the classical Cournot approach and the Supply Function Equilibrium approach). The later issue of transmission capacity investment is addressed by highlighting the complexity of network investments in electricity markets and by analyzing a regulatory mechanism with a two part tariff approach. The technical characteristics of power flows are combined with economic criteria and tested for different network settings.

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Xia, Zhendong. "Pricing and Risk Management in Competitive Electricity Markets." Diss., Georgia Institute of Technology, 2005. http://hdl.handle.net/1853/7528.

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Electricity prices in competitive markets are extremely volatile with salient features such as mean-reversion and jumps and spikes. Modeling electricity spot prices is essential for asset and project valuation as well as risk management. I introduce the mean-reversion feature into a classical variance gamma model to model the electricity price dynamics as a mean-reverting variance gamma (MRVG) process. Derivative pricing formulae are derived through transform analysis and model parameters are estimated by the generalized method of moments and the Markov Chain Monte Carlo method. A real option approach is proposed to value a tolling contract incorporating operational characteristics of the generation asset and contractual constraints. Two simulation-based methods are proposed to solve the valuation problem. The effects of different electricity price assumptions on the valuation of tolling contracts are examined. Based on the valuation model, I also propose a heuristic scheme for hedging tolling contracts and demonstrate the validity of the hedging scheme through numerical examples. Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized ARCH (GARCH) models are widely used to model price volatility in financial markets. Considering a GARCH model with heavy-tailed innovations for electricity price, I characterize the limiting distribution of a Value-at-Risk (VaR) estimator of the conditional electricity price distribution, which corresponds to the extremal quantile of the conditional distribution of the GARCH price process. I propose two methods, the normal approximation method and the data tilting method, for constructing confidence intervals for the conditional VaR estimator and assess their accuracies by simulation studies. The proposed approach is applied to electricity spot price data taken from the Pennsylvania-New Jersey-Maryland market to obtain confidence intervals of the empirically estimated Value-at-Risk of electricity prices. Several directions that deserve further investigation are pointed out for future research.

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40

Sturluson, Jon Thor. "Topics in the industrial organization of electricity markets." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 2003. http://www.hhs.se/efi/summary/614.htm.

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41

Davis, Clay D. "Competitive electricity markets and the case of California." Manhattan, Kan. : Kansas State University, 2008. http://hdl.handle.net/2097/784.

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42

Liu, Min, and 劉敏. "Energy allocation with risk management in electricity markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B29335978.

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43

Figueroa, Marcelo Gustavo. "Modelling electricity markets : swing options and hybrid models." Thesis, Birkbeck (University of London), 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.439778.

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44

Concettini, Silvia. "Competition in electricity markets : retailers, generators and technologies." Thesis, Paris 10, 2015. http://www.theses.fr/2015PA100033/document.

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Cette thèse vise à répondre à trois questions soulevées par la vague de réformes dans les secteurs de l’électricité: est-ce que la libéralisation de la fourniture d’électricité a atteint ses objectifs dans l’Union Européenne ? Comment les producteurs qui utilisent des sources renouvelables et non renouvelables se font concurrence dans le marché libéralisé ? Quel est l’'impact de l’augmentation de la production d’électricité à partir de sources renouvelables sur la congestion du réseau et sur les différences de prix zonaux en Italie ? Le premier chapitre fournit une évaluation à mi-terme de la libéralisation de la fourniture d’électricité en Europe. On propose une théorie complète sur la libéralisation de la fourniture et on teste sa cohérence avec la pratique dans l’Union Européenne. L’analyse met en évidence la persistance d’une structure oligopolistique dans la fourniture, un faible engagement des clients et des asymétries dans le taux et la vitesse de transfert des coûts d’approvisionnement dans les prix des contrats. L’attribution aux enchères des services par défaut et de dernier recours semble la meilleure solution afin de favoriser le développement de la concurrence. Dans le deuxième chapitre, nous étudions les interactions stratégiques entre une technologie de production traditionnelle et une renouvelable caractérisée par une capacité aléatoire. Nous employons une version modifiée du modèle de Dixit sur les investissements stratégiques de dissuasion à l’entrée avec deux configurations pour la concurrence après l’entrée: concurrence à la Cournot dans un jeu en deux étapes et le cadre entreprise dominante-frange concurrentielle dans un jeu en trois étapes. Dans les deux cas, l’analyse suggère que le producteur renouvelable exploite l’ordre de mérite afin de remplacer la production de son rival. Dans le troisième chapitre, nous analysons l’impact de la production d’énergie renouvelable sur la congestion et sur les différences de prix zonaux en Italie. En utilisant une base de données unique, nous estimons deux modèles économétriques sur cinq couples de zones: un modèle logit multinomial pour l’occurrence et la direction de la congestion et un modèle MCO pour la taille des différences de prix. L’analyse montre que dans une région importatrice l’effet de l’augmentation de la production renouvelable locale est de diminuer (augmenter) la probabilité de congestion provoquée par la région limitrophe (causée à la région limitrophe). L’augmentation de la production d’énergie renouvelable semble avoir un impact significatif sur les zones insulaires, en diminuant (augmentant) le niveau des différences positives (négatives) des prix
The objective of this thesis is to answer to three questions raised by the wave of reform in electricity industries: has retail liberalization achieved its objectives in European Union? How traditional and renewable generators compete in a liberalized market? What is the impact on congestion and zonal price differences of increased production from renewable intermittent sources in Italy? The first chapter provides a mid-term evaluation of liberalization of electricity retailing in Europe. We propose a comprehensive theory on retail liberalization and test its consistency with the practice in European Union. The analysis highlights the presence of an oligopolistic supply structure, a limited level of customer engagement in the market and asymmetries in the rate and speed of cost-pass through. The attribution of the Default/Last Resort service through an auction mechanism seems the best solution to favor the development of competition. In the second chapter we study the strategic interactions between a traditional generation technology and a renewable one characterized by an intermittent availability of capacity. We employ a modified version of the Dixit model for entry deterrence with two post entry competition settings: the Cournot framework in a two stage game and the dominant firm-competitive fringe setting in a three stage game. In both cases, the analysis suggests that the renewable generator exploits the merit order rule to crowd out the production of its rival. In the third chapter we analyze the impact of renewable generation on congestion and zonal price differences in Italy. Using a unique database we estimate two econometric models on five zonal pairings: a multinomial logit model for the occurrence and direction of congestion and an OLS model for the size of paired-price differences. The analysis shows that in an importing region the effect of a larger local renewable supply is to decrease (increase) the probability of congestion in entry (exit). Increasing renewable generation seems to have a significant impact on the islander zones, decreasing (increasing) the level of positive (negative) price differences

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45

Aketi, Venkata Sesha Praneeth. "Prices in Wholesale Electricity Markets and Demand Response." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1388765872.

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46

Fezzi, Carlo <1980&gt. "Econometric models for the analysis of electricity markets." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2007. http://amsdottorato.unibo.it/433/1/tesi_dottorato_carlofezzi.pdf.

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47

Fezzi, Carlo <1980&gt. "Econometric models for the analysis of electricity markets." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2007. http://amsdottorato.unibo.it/433/.

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48

Mazzi, Nicolò. "Optimal offering and operating strategies in electricity markets." Doctoral thesis, Università degli studi di Padova, 2018. http://hdl.handle.net/11577/3422428.

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In recent years the power sector has experienced a significant growth of the deployment of renewable energy sources, such as wind and solar power. This brings new challenges to the optimal operation and management of power systems. The output of these stochastic sources can only be predicted with limited accuracy, leading to real-time deviations from their contracted schedule. Therefore, such stochastic sources need to be operated differently than conventional generation units, such as gas- or coal-fired plants. The operation of conventional production units may also be strongly affected by the massive deployment of renewable energy sources as their growing penetration is leading to a decrease in the market prices and an increase in the balancing energy need. The thesis analyses three case studies, i.e., the optimal market participation of a stochastic power producer, a conventional power producer and a group of stochastic and conventional production units. We start from a stochastic power producer trading in an electricity market. The real-time deviations are settled under two alternative imbalance settlement schemes available in the Italian electricity market. These schemes add a tolerance band around the quantity of energy contracted in the day-ahead market. The portion of the imbalance within the band is priced differently than the part exceeding the band. We conclude that those imbalance pricing schemes may lead to a market distortion and therefore they may not be a preferable alternative to conventional schemes (e.g., the dual-price scheme). Then, the thesis takes the perspective of a conventional power producer. Even though European day-ahead electricity markets are mostly settled under a uniform pricing scheme, several balancing markets (e.g., in Germany and Italy) are settled under a pay-as-bid pricing scheme. We propose an innovative approach that allows modeling the trading problem under a pay-as-bid pricing scheme as a linear programming model. Thanks to this novel formulation, we derive the optimization problem that a conventional power producer would solve to evaluate its optimal day-ahead market offers while considering the future expected revenues from the balancing market. The proposed model is tested on a realistic case study against a sequential offering approach, showing the capability of increasing profits in expectation. Lastly, we consider the case of a virtual power plant, defined as a cluster of conventional generating units, stochastic power units, and storage systems, which together act as a single participant in the electricity market. We introduce a novel structure of the balancing market, which allows an active/passive participation of the virtual power plant. Indeed, the virtual power plant can decide to be an active actor (i.e., offering regulating energy) in some trading intervals, and a passive one (i.e., deviating from the contracted schedule) in the remaining hours. The model is tested in a realistic case study against alternative benchmark strategies (e.g., active-only and passive-only participation).
Nell'ultimo decennio il settore energetico ha sperimentato un'importante crescita dell'utilizzo di fonti energetiche rinnovabili, come l'energia solare ed eolica. Ciò ha portato a nuove sfide nella gestione ottimale di sistemi energetici. La generazione di tali fonti stocastiche può solamente essere predetta con bassa accuratezza, causando sbilanciamenti tra la posizione contrattata in sede di mercato e la reale produzione. Di conseguenza, queste fonti stocastiche devono essere operate con modalità differenti dalle unità di generazione convenzionali, come impianti a gas e a carbone. Anche la gestione di impianti convenzionali può tuttavia essere influenzata dalla crescente penetrazione di fonti rinnovabili non programmabili, poiché l'utilizzo di tali fonti sta causando un calo dei prezzi nei mercati elettrici ed un aumento della richiesta di energia per il bilanciamento. La tesi analizza tre casi studio: la partecipazione ottimale nel mercato elettrico di impianti a fonte rinnovabile non programmabile, di impianti convenzionali e di un gruppo di impianti a fonte rinnovabile e unità convenzionali. Il primo caso studia un impianto a fonte rinnovabile che partecipa al mercato elettrico. Gli sbilanciamenti tra la reale produzione e la posizione contrattata sono penalizzati secondo due schemi di sbilanciamento alternativi presenti nel mercato elettrico italiano. Questi schemi introducono una banda di tolleranza ancorata alla quantità di energia contratta nel Mercato del Giorno Prima. La porzione dello sbilanciamento all'interno di tale banda è riconosciuta ad un prezzo diverso dalla porzione che eccede la banda di tolleranza. Si conclude che questi schemi di sbilanciamento alternativi posso portare a distorsioni nel mercato e di conseguenza non sembrano preferibili agli schemi tradizionali, come ad esempio lo schema “dual-price”. Successivamente, la tesi prende la prospettiva di un impianto di generazione convenzionale. Il mercato elettrico considerato utilizza uno schema di prezzo “pay-as-bid” per remunerare le offerte nel Mercato di Bilanciamento, come accade ad esempio in Italia e Germania. Si propone un approccio innovativo che permette di costruire il problema di “trading” ottimale nei mercati “pay-as-bid” tramite un problema di programmazione lineare. Grazie a questa nuova formulazione, la tesi presenta il problema di ottimizzazione che un produttore convenzionale potrebbe risolvere per ottenere le offerte da sottoporre nel Mercato del Giorno Prima includendo i possibili profitti futuri derivanti dal Mercato di Bilanciamento. Il modello proposto viene testato in un caso studio realistico contro una strategia di offerta sequenziale mostrando la capacità di aumentare i profitti attesi. Per ultimo, la tesi considera un “virtual power plant”, ovvero un insieme di unità di generazione convenzionali, impianti a fonte rinnovabile non programmabile e sistemi di accumulo dell'energia, che si propone nel mercato elettrico come un singolo partecipante. Questo studio introduce una struttura innovativa del Mercato di Bilanciamento che permette un partecipazione attivo/passiva al “virtual power plant”. Infatti, esso può decidere di essere attivo (cioè offrire energia per la regolazione) in alcune ore e passivo (cioè creare sbilanciamenti) nelle restanti ore di negoziazione. Il modello viene testato in un caso studio realistico contro strategie di offerta alternative, ad esempio con partecipazione solo attiva o solo passiva.

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49

Concettini, S. "COMPETITION IN ELECTRICITY MARKETS: RETAILERS, GENERATORS AND TECHNOLOGIES." Doctoral thesis, Università degli Studi di Milano, 2015. http://hdl.handle.net/2434/267395.

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The objective of this thesis is to answer to three questions raised by the wave of reform in electricity industries: has retail liberalization achieved its objectives in European Union? How traditional and renewable generators compete in a liberalized market? What is the impact on congestion and zonal price differences of increased production from renewable intermittent sources in Italy? The first chapter provides a mid-term evaluation of liberalization of electricity retailing in Europe. We propose a comprehensive theory on retail liberalization and test its consistency with the practice in European Union. The analysis highlights the presence of an oligopolistic supply structure, a limited level of customer engagement in the market and asymmetries in the rate and speed of cost-pass through. The attribution of the Default/Last Resort service through an auction mechanism seems the best solution to favor the development of competition. In the second chapter we study the strategic interactions between a traditional generation technology and a renewable one characterized by an intermittent availability of capacity. We employ a modified version of the Dixit model for entry deterrence with two post entry competition settings: the Cournot framework in a two stage game and the dominant firm-competitive fringe setting in a three stage game. In both cases, the analysis suggests that the renewable generator exploits the merit order rule to crowd out the production of its rival. In the third chapter we analyze the impact of renewable generation on congestion and zonal price differences in Italy. Using a unique database we estimate two econometric models on five zonal pairings: a multinomial logit model for the occurrence and direction of congestion and an OLS model for the size of paired-price differences. The analysis shows that in an importing region the effect of a larger local renewable supply is to decrease (increase) the probability of congestion in entry (exit). Increasing renewable generation seems to have a significant impact on the islander zones, decreasing (increasing) the level of positive (negative) price differences.

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50

Hu, Linlin. "A novel hybrid technique for short-term electricity price forecasting in deregulated electricity markets." Thesis, Brunel University, 2010. http://bura.brunel.ac.uk/handle/2438/4498.

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Short-term electricity price forecasting is now crucial practice in deregulated electricity markets, as it forms the basis for maximizing the profits of the market participants. In this thesis, short-term electricity prices are forecast using three different predictor schemes, Artificial Neural Networks (ANNs), Support Vector Machine (SVM) and a hybrid scheme, respectively. ANNs are the very popular and successful tools for practical forecasting. In this thesis, a hidden-layered feed-forward neural network with back-propagation has been adopted for detailed comparison with other forecasting models. SVM is a newly developed technique that has many attractive features and good performance in terms of prediction. In order to overcome the limitations of individual forecasting models, a hybrid technique that combines Fuzzy-C-Means (FCM) clustering and SVM regression algorithms is proposed to forecast the half-hour electricity prices in the UK electricity markets. According to the value of their power prices, thousands of the training data are classified by the unsupervised learning method of FCM clustering. SVM regression model is then applied to each cluster by taking advantage of the aggregated data information, which reduces the noise for each training program. In order to demonstrate the predictive capability of the proposed model, ANNs and SVM models are presented and compared with the hybrid technique based on the same training and testing data sets in the case studies by using real electricity market data. The data was obtained upon request from APX Power UK for the year 2007. Mean Absolute Percentage Error (MAPE) is used to analyze the forecasting errors of different models and the results presented clearly show that the proposed hybrid technique considerably improves the electricity price forecasting.

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Dissertations / Theses on the topic 'Electricity markets'

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