The Analysis of Spot Price Stochasticity in Deregulated Wholesale Electricity Markets

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dc.contributor.authorTipping, James Patricken
dc.date.accessioned2008-09-05T01:39:44Z
dc.date.available2008-09-05T01:39:44Z
dc.date.issued2007en
dc.description.abstractTraditionally, time series of wholesale electricity market spot prices have been modelled either by mimicking market operation and equilibrating demand and supply, or by specifying an exogenous process for prices. More recently, a number of hybrid models have been developed, combining the merits of both methods. In this vein, we present an econometric model for daily spot prices in the New Zealand Electricity Market (NZEM) that utilises reservoir management theory to incorporate information on the hydro storage level, a recognised driver of NZEM spot price behaviour. In order to forecast future storage levels and prices, we also construct a model for daily reservoir releases that can be used in conjunction with time series of inflows. This analysis reveals that releases in New Zealand are driven primarily by hydrological factors, as opposed to market conditions. The combined price and storage forecasting model can be applied in a variety of contexts, and offers an alternative perspective to the traditional models of NZEM behaviour. Finally, we calibrate a Cournot model of market behaviour in the National Electricity Market of Australia during daily peak, shoulder and off-peak periods, adding credibility to the future application of such models. The resulting model parameters are, in general, consistent with conventional wisdom. Spot prices from this market are then modelled by combining the output of the analytical model with a stochastic price process.en
dc.identifier.urihttp://hdl.handle.net/10092/864
dc.identifier.urihttp://dx.doi.org/10.26021/5554
dc.language.isoen
dc.publisherUniversity of Canterbury. Managementen
dc.relation.isreferencedbyNZCUen
dc.rightsCopyright James Patrick Tippingen
dc.rights.urihttps://canterbury.libguides.com/rights/thesesen
dc.subjectelectricityen
dc.subjectspot marketen
dc.subjectpoweren
dc.subjectpricesen
dc.subjecttime seriesen
dc.subjectjump diffusionen
dc.subjectstochasticen
dc.subjecthydroen
dc.subjectstorageen
dc.subjectreservoiren
dc.subjectCournoten
dc.subjectforecastingen
dc.subjectNZEMen
dc.subjectNEMen
dc.titleThe Analysis of Spot Price Stochasticity in Deregulated Wholesale Electricity Marketsen
dc.typeTheses / Dissertations
thesis.degree.disciplineManagement Scienceen
thesis.degree.grantorUniversity of Canterburyen
thesis.degree.levelDoctoralen
thesis.degree.nameDoctor of Philosophyen
uc.bibnumber1044486en
uc.collegeUC Business Schoolen
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