A Hyperbolic Bid Stack Approach to Electricity Price Modelling-Reference-Cited by-同舟云学术

A Hyperbolic Bid Stack Approach to Electricity Price Modelling

Published:2023-08-10 Issue:8 Volume:11 Page:147
ISSN:2227-9091
Container-title:Risks
language:en
Short-container-title:Risks

Author:

Katona Krisztina¹^ORCID,Nikitopoulos Christina Sklibosios¹^ORCID,Schlögl Erik²³⁴^ORCID

Affiliation:

1. Finance Discipline Group, UTS Business School, University of Technology Sydney, Sydney, NSW 2007, Australia

2. School of Mathematical and Physical Sciences, University of Technology Sydney, Sydney, NSW 2007, Australia

3. The African Institute of Financial Markets and Risk Management (AIFMRM), University of Cape Town, Cape Town 7700, South Africa

4. Faculty of Science, Department of Statistics, University of Johannesburg, Johannesburg 2006, South Africa

Abstract

Modelling the energy price in the Australian National Electricity Market (NEM) requires features that are not well reflected in existing models. We present a semi-structural, multi-regional model wherein bidding is not required to be cost-based, renewable fuels and storage technology are structurally integrated, and network constraints are often binding in optimal dispatch. Available fuel capacity then does not necessarily sum to registered bid capacity, as-bid fuel costs do not dependably follow input fuel prices, and cross-regional interconnectedness requires modelling trade. Furthermore, modelling the NEM spot price path must admit price negativity and price spikes. Extending previous work in the literature, the present paper proposes a hyperbolic bid stack approach to price modelling under these conditions.

Funder

UTS President’s scholarship

UTS International Research Scholarship

Publisher

MDPI AG

Subject

Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting

Link

https://www.mdpi.com/2227-9091/11/8/147/pdf

Reference38 articles.

1. AEMC (2020, June 20). National Electricity Rules Version 142. June, Available online: https://energy-rules.aemc.gov.au/ner/28.

2. AEMO (2023, August 01). Pre-Dispatch Process Description. July.—No Longer in Use. New Version Since 2021. Available online: https://www.aemo.com.au/-/media/files/electricity/nem/5ms/procedures-workstream/stakeholder-consultation/dispatch-procedures/so_op_3704—predispatch—marked-up.pdf.

3. AEMO (2023, August 01). Market Ancillary Services Specification. June.—No Longer in Use. New Version Since 2022. Available online: https://aemo.com.au/-/media/files/stakeholder_consultation/consultations/nem-consultations/2021/mass/final-determination/market-ancillary-services-specification-v70-marked-changes.pdf?la=en.

4. AEMO (2023, August 01). Dispatch, July. —No Longer in Use. New Version Since 2022. Available online: https://aemo.com.au/-/media/files/stakeholder_consultation/consultations/nem-consultations/2022/dispatch-procedure-consultation/dispatch-procedure-change-marked.pdf?la=en.

5. AEMO (2023, January 05). NEM Registration and Exemption List. Available online: https://www.aemo.com.au/-/media/Files/Electricity/NEM/Participant_Information/NEM-Registration-and-Exemption-List.xls.