combining day ahead forecasts for british electricity prices abstract this paper considers how well the approach of combining forecasts extends to the context of electricity prices with the increasing popularity of regime switching and time varying parameter models for predicting power prices the multi model and evolutionary considerations that usually support the combining of simpler time series methods may be less applicable when the individual models incorporate these features we address this question with a backtesting analysis on british day ahead prices furthermore given the volatility of power prices and concerns about accurate forecasting under extreme price excursions we evaluate the results using various error metrics including expected shortfall the comparisons are furthermore carefully simulated to consider model selection uncertainty in order to realistically test the value of combining as an ex ante policy overall our results support combining for both accurate operational planning and risk management

go south southern dimension of the v4 states energy policy strategies an assessment of viability and prospects abstract the energy policy of the visegrad group states v4 poland czechia slovakia and hungary is being challenged by among many other factors dependence on the import of energy resources increasing environmental pressure insufficient and disappointing process of energy policy europeanisation therefore all v4 states are seeking new energy policy solutions and directions which is seen as a condition for both economic and political development this paper provides a conceptualisation of the geopolitical dimensions of energy policy strategy empirically focusing on its southern direction firstly it aims to identify and analyse the key areas of strategic thinking about energy security in the visegrad states secondly it attempts to answer the question of place and importance of the southern dimension sd in v4 energy policy strategies in other words it investigates whether the v4 states energy security can be improved by deepening energy cooperation with partners from southern regions in particular with the mena region the hypothesis to be verified by this study states that the more hawkish v4 states energy security strategies are the greater their preference for the liberalisation of the international energy market the article follows the qualitative approach and relies on the case study methodology

the british model in britain failing slowly in 1990 britain reorganised its electricity industry to run on competitive lines the british reforms are widely regarded as successful and the model used provides the basis for reforms of electricity industries worldwide the main reason for this perception of success is major reductions in the real price of electricity with no reduction in service quality this paper examines whether the reputation of the british reforms is justified it concludes that the reputation is not justified and that serious fundamental problems are beginning to emerge the central question is have the british reforms resulted in the creation of efficient wholesale and retail markets on this criterion the reforms have failed the wholesale market is dominated by obscure long term contracts privileged access to the market and self dealing within integrated generator retailers leaving the spot markets with minimal liquidity and unreliable prices the failure to develop an efficient wholesale market places the onus on consumers to impose competitive forces on electricity companies by switching regularly small consumers will not do this and they are paying too much for their power for the future there is a serious risk that the electricity industry will become a weakly regulated oligopoly with a veneer of competition

distributional modeling and short term forecasting of electricity prices by generalized additive models for location scale and shape abstract in the context of the liberalized and deregulated electricity markets price forecasting has become increasingly important for energy company s plans and market strategies within the class of the time series models that are used to perform price forecasting the subclasses of methods based on stochastic time series and causal models commonly provide point forecasts whereas the corresponding uncertainty is quantified by approximate or simulation based confidence intervals aiming to improve the uncertainty assessment this study introduces the generalized additive models for location scale and shape gamlss to model the dynamically varying distribution of prices the gamlss allow fitting a variety of distributions whose parameters change according to covariates via a number of linear and nonlinear relationships in this way price periodicities trends and abrupt changes characterizing both the position parameter linked to the expected value of prices and the scale and shape parameters related to price volatility skewness and kurtosis can be explicitly incorporated in the model setup relying on the past behavior of the prices and exogenous variables the gamlss enable the short term one day ahead forecast of the entire distribution of prices the approach was tested on two datasets from the widely studied california power exchange calpx market and the less mature italian power exchange ipex calpx data allow comparing the gamlss forecasting performance with published results obtained by different models the study points out that the gamlss framework can be a flexible alternative to several linear and nonlinear stochastic models

robust estimation and forecasting of the long term seasonal component of electricity spot prices when building stochastic models for electricity spot prices the problem of uttermost importance is the estimation and consequent forecasting of a component to deal with trends and seasonality in the data while the short term seasonal components daily weekly are more regular and less important for valuation of typical power derivatives the l ong term seasonal components ltsc seasonal annual are much more diffi cult to tackle surprisingly in many academic papers dealing with electricity spot price modeling the importance of the seasonal decomposition is neglected and the problem of forecasting it is not considered with this paper we want to fill the gap and present a thorough study on estimation and forecasting of the ltsc of electricity spot prices we consider a battery of models based on fourier or wavelet decomposition combined with linear or exponential decay we find that all considered wavelet base d models are significantly better in terms of forecasting spot prices up to a year ahead than all considered sine based models this result questions the validity and usefulness of stochastic models of spot electricity prices built on sinusoidal long term seasonal components

european union energy supply security the benefits of natural gas imports from the eastern mediterranean abstract this paper analyzes the potential of eastern mediterranean offshore natural gas discoveries to increase eu natural gas supply security it presents an overview of the status quo of eu 28 natural gas import dependency the efforts to increase energy security through various measures and the challenges to supply diversification it further provides an analysis of the energy and offshore resource sectors of egypt israel cyprus and lebanon the paper presents projections of domestic natural gas consumption needs for the years 2012 2042 and results show that potentially large quantities will be available for exports an empirical model is used to analyze the capital and transmission costs for exporting gas to europe via the east med pipeline the east med pipeline project is discussed in the broader context of other regional supply options as well as potential u s lng exports to europe the paper concludes that the east med pipeline which has been classified as a project of common interest by the eu should receive policy priority as its benefits in terms of security of supply go beyond those that can be captured in a competitive market and the positive externalities that it provides justify a security premium

forecasting nord pool day ahead prices with an autoregressive model abstract this paper presents a model to forecast nord pool hourly day ahead prices the model is based on weron and misiorek 2008 but reduced in terms of estimation parameters from 24 sets to 1 and modified to include nordic demand and danish wind power as exogenous variables we model prices across all hours in the analysis period rather than across each single hour of 24 hours by applying three model variants on nord pool data we achieve a weekly mean absolute percentage error wmae of around 6 7 and an hourly mean absolute percentage error mape ranging from 8 to 11 out of sample results yields a wmae and an hourly mape of around 5 the models enable analysts and traders to forecast hourly day ahead prices accurately moreover the models are relatively straightforward and user friendly to implement they can be set up in any trading organization

evaluating electricity sector reforms in argentina lessons for developing countries abstract in argentina prior to the macroeconomic crisis of early 2002 power sector reforms had proven successful in delivering low electricity tariffs and increasing private investments this had been achieved through the unbundling of electricity supply businesses and the introduction of competition paying due attention to the lessons learned by forerunners in power sector reform including neighbouring chile the reforms that had been implemented in argentina were therefore deemed to have been a success however in the wake of the macroeconomic crisis and the devaluation of the peso generators and gas suppliers found themselves in critical financial straights which caused a halt to additional investment the current challenge facing reforms in the argentine power sector is to rebound from the financial ramifications of peso devaluation and to promote private investment given these basic facts this paper traces the history of reforms in the argentine electricity sector assessing the progress that has been achieved and suggesting lessons for developing countries it is often the case in developing countries that the unbundling of vertically integrated state owned industries into privatised enterprises requires efforts to improve infrastructure as a prerequisite for the introduction of competitive practices bearing this in mind this paper lays out measures that would be useful to consider for electricity sector reforms in developing countries from the following three perspectives 1 transition from a state owned power companies to private enterprises 2 development of conditions required to promote infrastructure projects and 3 development of conditions for the establishment of a healthy and fair competitive environment assuming that liberalisation is achieved once the conditions in 1 and 2 are met

enlarging the varieties of capitalism the emergence of dependent market economies in east central europe this article enlarges the existing literature on the varieties of capitalism by identifying a third basic variety that does not resemble the liberal market economy or coordinated market economy types the dependent market economy dme type as it is named by the authors is characterized by the importance of foreign capital for the socioeconomic setup and is located in postsocialist central europe since the collapse of state socialism in the late 1980s the czech republic hungary poland and the slovak republic have introduced a rather successful model of capitalism when compared with other postsocialist states this article identifies the key elements of the dme model and discusses their interplay dme s have comparative advantages in the assembly and production of relatively complex and durable consumer goods these comparative advantages are based on institutional complementarities between skilled but cheap labor the transfer of technological innovations within transnational enterprises and the provision of capital via foreign direct investment

industrial and institutional restructuring of the russian electricity sector status and issues abstract the reform of the russian electricity industry represents one of the largest and most technically complex post soviet era industrial restructurings this paper presents the framework status and perspectives for the russian electricity sector liberalisation uncertainties regarding the effective implementation of the reform are specifically examined ultimately the critical analysis of the reform questions the feasibility and adequacy of the recommended measures in the specific russian context current theories fail to answer a fundamental issue namely how to promote investment in an obsolete electrical infrastructure and more generally whether a pure free market model is compatible with physical constraints posed by the electricity sector a careless deregulation of the russian electricity system could hinder the country s stable and sustainable development as its economy and the population s service have traditionally been closely linked to the electricity industry

bidding of price taker power generators in the deregulated turkish power market abstract in deregulated power markets power firms bid into the day ahead power market either with buy offers or sell offers the auction mechanism and competition determine the equilibrium price and quantity for each hour if the bid price of a company is below the market clearing price then the offer of the company is accepted and rewarded with the market price a company can be a price maker or price taker depending on the capacity it offers to the market a price taker unit must determine the right offer that will maximize their profit given price uncertainty and blind auction rules this paper first examines power supply in the turkish electricity market and bidding process then a marginal cost based monte carlo method is developed to determine hourly and block bidding strategies of price taker units historical market prices are then implemented in a normal distribution to generate hourly price scenarios a solution methodology is developed that maximizes the expected profit of each hourly and block bidding strategy over price scenarios the generator is able to both evaluate the hourly bidding and block bidding strategies and find the best bidding strategy that will be submitted to the market using the proposed methodology the model is illustrated for two coal units in turkish power market and the results are presented

a note on using the hodrick prescott filter in electricity markets abstract recently nowotarski et al 2013 have found that wavelet based models for the long term seasonal component ltsc are not only better in extracting the ltsc from a series of spot electricity prices but also significantly more accurate in terms of forecasting these prices up to a year ahead than the commonly used monthly dummies and sine based models however a clear disadvantage of the wavelet based approach is the increased complexity of the technique as compared to the other two classes of ltsc models and the resulting need for dedicated numerical software which may not be readily available to practitioners in their work environments to facilitate this problem we propose here a much simpler yet equally powerful method for identifying the ltsc in electricity spot price series it makes use of the hodrick prescott hp filter a widely recognized tool in macroeconomics

component estimation for electricity prices procedures and comparisons abstract electricity price time series usually exhibit some form of nonstationarity corresponding to long term behavior one or more periodic components as well as dependence on calendar effects as a result modeling electricity prices requires accounting for both long term and periodic components in the literature several filtering procedures have been proposed but a standard has not yet been found furthermore since different procedures are applied in contexts that are not homogeneous with respect to data periods and final goals a fair comparison is difficult this work considers several methods for component estimation in a homogeneous framework and compares them according to specific criteria the final purpose is to find an estimation procedure that performs well independently of the intended market and that can be proposed as a reference for electricity price time series filtering

recent advances in electricity price forecasting a review of probabilistic forecasting abstract since the inception of competitive power markets two decades ago electricity price forecasting epf has gradually become a fundamental process for energy companies decision making mechanisms over the years the bulk of research has concerned point predictions however the recent introduction of smart grids and renewable integration requirements has had the effect of increasing the uncertainty of future supply demand and prices academics and practitioners alike have come to understand that probabilistic electricity price and load forecasting is now more important for energy systems planning and operations than ever before with this paper we offer a tutorial review of probabilistic epf and present much needed guidelines for the rigorous use of methods measures and tests in line with the paradigm of maximizing sharpness subject to reliability the paper can be treated as an update and a further extension of the otherwise comprehensive epf review of weron 1 or as a standalone treatment of a fascinating and underdeveloped topic that has a much broader reach than epf itself

electricity market reform failures uk norway alberta and california an analysis of electricity market reforms already taken place in the uk norway alberta canada and california usa leads to our overall conclusion that the introduction of a competitive generation market of itself has failed to deliver reliable service at low and stable prices the market reform failures are attributed to market power abuse by few dominant sellers especially at times of transmission congestion poor market design that invites strategic bidding by suppliers the lack of customer response to price spikes capacity shortage caused by demand growth not matched by new capacity and thin trading of forward and futures contracts that are critical for price discovery and risk management the paper then explains why an electricity market reform can easily fail to deliver the promised gains of better service at lower and more stable prices the policy implication is that an electric market reform can be extremely risky and may lead to a disastrous outcome thus it is imprudent to implement such a reform in countries with limited sites for newgeneration and no indigenous fuels e g israel and hong kong these countries should therefore consider introducing performance based regulation that can immediately benefit electricity consumers in terms of lower prices more stable prices improved reliability more choices while encouraging the electric sector to pursue efficient operation and investment r 2003 elsevier science ltd all rights reserved

hedging local volume risk using forward markets nordic case abstract with focus on the nordic electricity market this paper develops hedging strategies for an electricity distributor who manages price and volume risk from fixed price agreements on stochastic electricity load whereas the distributor trades in the spot market at area prices the financial contracts used for hedging are settled against the system price area and system prices are correlated with electricity load as are price differences in practice however this is often disregarded here we develop a joint model for the area price the system price and the load accounting for correlations and we suggest various strategies for hedging in the presence of local volume risk we benchmark against a strategy that ignores correlation and hedges at expected load as is common practice in the industry using data from 2013 and 2014 for two danish bidding areas we show that our best hedging strategy reduces gross loss by 5 8 and 13 6 and increases gross profit by 3 8 and 9 5 respectively although this is partly due to the inclusion of correlation we show that performance improvement is mainly driven by the choice of risk measure

economic impact of electricity market price forecasting errors a demand side analysis several techniques have been proposed in the literature to forecast electricity market prices and improve forecast accuracy however no studies have been reported examining the economic impact of price forecast inaccuracies on forecast users therefore in this paper the application of electricity market price forecasts to short term operation scheduling of two typical and inherently different industrial loads is examined and the associated economic impact is analyzed using electricity market price forecasts as the expected next day electricity prices optimal operating schedules and the associated costs are determined for each load these costs are compared with those of a perfect price forecast scenario in which actual prices are used to determine the operating schedules numerical results and discussions are provided based on price forecasts with different error characteristics

measuring the efficiency of grid companies in china a bootstrapping non parametric meta frontier approach abstract the unbundling policy reform of power industry has become a worldwide trend since 1980s there are quite many studies focusing on the efficiency changes of transmission and distribution sectors in european and latin american countries while few reports on china s issues have been found this paper employs a nonparametric frontier estimation combined with meta frontier and bootstrapping method to measure the productive efficiency and changes in the decomposition index for china s 31 grid companies from 2004 to 2013 in addition it further employs tobit regression model to analyze the influences of relevant policies and heterogeneity factors such as natural conditions and economic development the results indicate that the grouping approach extends the application of non parametric data envelopment analysis which may decrease the assumption of homogeneity for the decision making units and provide better efficiency estimates by increasing the credibility of the evaluation results overall productive efficiency increased during the whole study period with technology progress the main contributor to this improvement efficiency trends fluctuated with changes in economic development and power supply situation and the economics and customer density had positive effects on productive efficiency while the influence of clean power proportion is negative

probabilistic mid and long term electricity price forecasting abstract the liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers these challenges are accompanied by an increasing uncertainty about future electricity price movements the increasing amount of papers which aim to model and predict electricity prices for a short period of time provided new opportunities for market participants however the electricity price literature seem to be very scarce on the issue of medium to long term price forecasting which is mandatory for investment and political decisions our paper closes this gap by introducing a new approach to simulate electricity prices with hourly resolution for several months up to three years considering the uncertainty of future events we are able to provide probabilistic forecasts which are able to detect probabilities for price spikes even in the long run as market we decided to use the epex day ahead electricity market for germany and austria our model extends the x model which mainly utilizes the sale and purchase curve for electricity day ahead auctions by applying our procedure we are able to give probabilities for the due to the eeg practical relevant event of six consecutive hours of negative prices we find that using the supply and demand curve based model in the long run yields realistic patterns for the time series of electricity prices and leads to promising results considering common error measures

russian electricity market reform deregulation or re regulation abstract russia commenced liberalization of electricity prices in 2007 increasing the liberalization rate by 10 25 every six months it was planned to reach full liberalization by 2011 currently the degree of liberalization is uncertain because of intense price regulation and a highly concentrated market in the hands of four large generating companies increased regulation and further consolidation may drive the market towards its pre reform state this paper analyses the competitive landscape of the russian electricity market by assessing the ownership structure of electricity generation price drivers and government involvement in the electricity wholesale market in russia the main research question is why the targeted level of market liberalization has not been fully achieved in the russian electricity market

liberalisation of the russian power sector abstract the paper discusses the russian power sector reform plan approved by the government in july 2001 which outlines the framework for competition and changes in ownership structure the paper focuses on the following issues related to the plan price reform restructuring of regional energos and large generating companies restructuring of transmission and system operation the mechanism for introducing competition competition for residential consumers and reform sequencing one key message of the paper is that price and regulatory reform is central to success of market liberalisation a second key message is that the restructuring of energos should not create companies with market power ideally local generation and distribution companies would be owned separately with multiple generators in each region at a minimum commonly owned companies should keep separate accounts with regulation of generation a possibility where there is market power regarding transmission and dispatch common ownership would not be a problem given that transmission and generation are separately owned on competition a fully fledged pool may not be appropriate in the case of russia with the alternative of a market based on bilateral contracts with a balancing pool functioning better in a context of non payment and constrained institutional capacity and providing security for investments regarding competition for residential consumers this is not a priority in the short to medium term lastly on sequencing it is better that structural and institutional change takes place before competition begins

effects of long term tariff regulation on investments under low credibility of rules rate of return and price cap in russian electricity grids abstract the transition from a short term cost plus tariff regulation to either a long term rate of return or long term price cap regulation in russia started in 2009 and was completed in 2012 causing substantial changes in investment over the course of the reform we estimate panel data of 46 russian electricity distribution entities with a dynamic investment model using the system generalized method of moments and addressing potential endogeneity issues we show that despite the noncredible regulatory policy the transition from short to long term regulation had a positive and significant effect on the investment rate of regulated entities the specific long term regulation design applied in russia from 2008 to 2017 either rate of return or price cap had no effect on the investment rate these results are important for the introduction of changes in regulatory frameworks in developing countries

on the importance of the long term seasonal component in day ahead electricity price forecasting abstract in day ahead electricity price forecasting epf the daily and weekly seasonalities are always taken into account but the long term seasonal component ltsc is believed to add unnecessary complexity to the already parameter rich models and is generally ignored conducting an extensive empirical study involving state of the art time series models we show that i decomposing a series of electricity prices into a ltsc and a stochastic component ii modeling them independently and iii combining their forecasts can bring contrary to a common belief an accuracy gain compared to an approach in which a given time series model is calibrated to the prices themselves

forecasting next day electricity prices by time series models in the framework of competitive electricity markets power producers and consumers need accurate price forecasting tools price forecasts embody crucial information for producers and consumers when planning bidding strategies in order to maximize their benefits and utilities respectively this paper provides two highly accurate yet efficient price forecasting tools based on time series analysis dynamic regression and transfer function models these techniques are explained and checked against each other results and discussions from real world case studies based on the electricity markets of mainland spain and california are presented

residential electricity pricing in china the context of price based demand response abstract as a secondary energy electricity is an important channel between original energy and energy consumers electricity price is a critical factor for the interests of all involvers in the electric power market it also plays an important role for the sustainable development of energy and environment smart grid is a new conception proposed in recent years to improve the intelligent level and increase the efficiency of electric power system operation smart grid combines and integrates information technology communication technology and intelligent control technology with tradition power system to achieve the many objectives of smart grid demand response dr as an effective technique of demand side management dsm refers to the changes in electricity consumption behavior of users in response to the dynamic price or incentive rewards price based demand response pbdr is one of the two major dr programs in this paper we first introduce the pricing theories in economics the pricing of electricity and the development of electricity pricing in china then we present a detailed discussion on the pbdr strategies in the dsm of smart grid also the research status of pbdr is reviewed finally it gives a summary of the whole paper in the last section

estimating temperature effects on the italian electricity market abstract this paper provides empirical evidence of the effects that weather conditions exert on the electricity market offering a new contribution to the understanding of hourly regional price formation in the day ahead market in italy the empirical estimation uses a new data set of hourly data on both market variables and temperature variables there is a vast body of literature on the effect of temperature on final consumers and on wholesale electricity market equilibrium however the influence of temperature on the behavior of the wholesale electricity market has not been studied at the hourly level a new econometric estimation shows some evidence of different effects of temperature and provides a more accurate estimation of the hourly prices forecasting out of sample performance of the model is satisfactory the present results have welfare improving policy implications because appropriate policy strategies can help public decision makers promote regulation such as issuing public weather alert and designing contingent plans to face extreme weather conditions which improves production efficiency network management and consumer saving behavior taking specific weather conditions into account

the state led transition to liberal capitalism neoliberal organizational world systems and social structural explanations of poland s economic success neoliberals argue that rapid liberalization and privatization can transform postcommunist economies into western style capitalist systems organizational sociologists argue that these policies produce a unique variety of capitalism while world systems theorists argue that they lead to underdevelopment this article advances a social structural alternative in a crucial case poland s relative economic success resulted from prolonged state ownership and an interventionist state employing various industrial policy tools that facilitated efficiency enhancing market oriented restructuring before ushering in beneficial foreign direct investment the resulting capitalist system closely resembles the typical pattern found in most late industrializers

analysis of the value for unit commitment of improved load forecasts load forecast errors can yield suboptimal unit commitment decisions the economic cost of inaccurate forecasts is assessed by a combination of forecast simulation unit commitment optimization and economic dispatch modeling for several different generation load systems the forecast simulation preserves the error distributions and correlations actually experienced by users of a neural net based forecasting system underforecasts result in purchases of expensive peaking or spot market power overforecasts inflate start up and fixed costs because too much capacity is committed the value of improved accuracy is found to depend on load and generator characteristics for the systems considered here a reduction of 1 in mean absolute percentage error mape decreases variable generation costs by approximately 0 1 0 3 when mape is in the range of 3 5 these values are broadly consistent with the results of a survey of 19 utilities using estimates obtained by simpler methods a conservative estimate is that a 1 reduction in forecasting error for a 10 000 mw utility can save up to 1 6 million annually

forecasting electricity spot prices using lasso on capturing the autoregressive intraday structure in this paper we present a regression based model for day ahead electricity spot prices we estimate the considered linear regression model by the lasso estimation method the lasso approach allows for many possible parameters in the model but also shrinks and sparsifies the parameters automatically to avoid overfitting thus it is able to capture the autoregressive intraday dependency structure of the electricity price well we discuss in detail the estimation results which provide insights to the intraday behavior of electricity prices we perform an out of sample forecasting study for several european electricity markets the results illustrate well that the efficient lasso based estimation technique can exhibit advantages from two popular model approaches