4,352 research outputs found
Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis
This paper examines the transmission of spot electricity prices and price volatility among the five Australian electricity markets in the National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the limitations of the present system of regional interconnectors. Nevertheless, the large number of significant ownvolatility and cross-volatility spillovers in all five markets indicates the presence of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary.spot electricity price markets; mean and volatility spillovers; multivariate GARCH
Market and Economic Modelling of the Intelligent Grid: End of Year Report 2009
The overall goal of Project 2 has been to provide a comprehensive understanding of the impacts of distributed energy (DG) on the Australian Electricity System. The research team at the UQ Energy Economics and Management Group (EEMG) has constructed a variety of sophisticated models to analyse the various impacts of significant increases in DG. These models stress that the spatial configuration of the grid really matters - this has tended to be neglected in economic discussions of the costs of DG relative to conventional, centralized power generation. The modelling also makes it clear that efficient storage systems will often be critical in solving transient stability problems on the grid as we move to the greater provision of renewable DG. We show that DG can help to defer of transmission investments in certain conditions. The existing grid structure was constructed with different priorities in mind and we show that its replacement can come at a prohibitive cost unless the capability of the local grid to accommodate DG is assessed very carefully.Distributed Generation. Energy Economics, Electricity Markets, Renewable Energy
From Packet to Power Switching: Digital Direct Load Scheduling
At present, the power grid has tight control over its dispatchable generation
capacity but a very coarse control on the demand. Energy consumers are shielded
from making price-aware decisions, which degrades the efficiency of the market.
This state of affairs tends to favor fossil fuel generation over renewable
sources. Because of the technological difficulties of storing electric energy,
the quest for mechanisms that would make the demand for electricity
controllable on a day-to-day basis is gaining prominence. The goal of this
paper is to provide one such mechanisms, which we call Digital Direct Load
Scheduling (DDLS). DDLS is a direct load control mechanism in which we unbundle
individual requests for energy and digitize them so that they can be
automatically scheduled in a cellular architecture. Specifically, rather than
storing energy or interrupting the job of appliances, we choose to hold
requests for energy in queues and optimize the service time of individual
appliances belonging to a broad class which we refer to as "deferrable loads".
The function of each neighborhood scheduler is to optimize the time at which
these appliances start to function. This process is intended to shape the
aggregate load profile of the neighborhood so as to optimize an objective
function which incorporates the spot price of energy, and also allows
distributed energy resources to supply part of the generation dynamically.Comment: Accepted by the IEEE journal of Selected Areas in Communications
(JSAC): Smart Grid Communications series, to appea
Evaluating the Information Efficiency of Australian Electricity Spot Markets: Multiple Variance Ratio Tests of Random Walks
This paper examines whether Australian electricity spot prices follow a random walk. Daily peak and off-peak (base load) prices for New South Wales, Victoria, Queensland and South Australia are sampled over the period July 1999 to June 2001 and analysed using multiple variance ratio tests. The results indicate that the null hypothesis of a random walk can be rejected in all peak period and most off-period markets because of the autocorrelation of returns. For the Victorian market, the off-peak period electricity spot price follows a random walk. One implication of the study is that in most instances, stochastic autoregressive modelling techniques may be adequate for forecasting electricity prices
Understanding the Fine Structure of Electricity Prices.
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a jump-reversion component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture - for the first time to our knowledge - both the trajectorial and the statistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets.Energy price risk; Simulation; Calibration; Statistical estimations; Jump diffusions; Electricity prices;
The Relationship Between Energy Spot and Futures Prices: Evidence from the Australian Electricity Market
This paper examines the relationship between futures and spot electricity prices for two of the Australian electricity regions in the National Electricity Market (NEM): namely, New South Wales and Victoria. A generalised autoregressive conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers from the futures market to the spot market. The results indicate the presence of positive mean spillovers in the NSW market for peak and off-peak (base load) futures contracts and mean spillovers for the offpeak Victorian futures market. The large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot and futures prices are stationary.
Investigation on electricity market designs enabling demand response and wind generation
Demand Response (DR) comprises some reactions taken by the end-use customers to decrease
or shift the electricity consumption in response to a change in the price of electricity or a
specified incentive payment over time. Wind energy is one of the renewable energies which
has been increasingly used throughout the world. The intermittency and volatility of
renewable energies, wind energy in particular, pose several challenges to Independent
System Operators (ISOs), paving the way to an increasing interest on Demand Response
Programs (DRPs) to cope with those challenges. Hence, this thesis addresses various
electricity market designs enabling DR and Renewable Energy Systems (RESs) simultaneously.
Various types of DRPs are developed in this thesis in a market environment, including
Incentive-Based DR Programs (IBDRPs), Time-Based Rate DR Programs (TBRDRPs) and
combinational DR programs on wind power integration. The uncertainties of wind power
generation are considered through a two-stage Stochastic Programming (SP) model. DRPs are
prioritized according to the ISO’s economic, technical, and environmental needs by means of
the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) method. The
impacts of DRPs on price elasticity and customer benefit function are addressed, including
the sensitivities of both DR parameters and wind power scenarios. Finally, a two-stage
stochastic model is applied to solve the problem in a mixed-integer linear programming (MILP)
approach. The proposed model is applied to a modified IEEE test system to demonstrate the
effect of DR in the reduction of operation cost.A Resposta Dinâmica dos Consumidores (DR) compreende algumas reações tomadas por estes
para reduzir ou adiar o consumo de eletricidade, em resposta a uma mudança no preço da
eletricidade, ou a um pagamento/incentivo especÃfico. A energia eólica é uma das energias
renováveis que tem sido cada vez mais utilizada em todo o mundo. A intermitência e a
volatilidade das energias renováveis, em particular da energia eólica, acarretam vários
desafios para os Operadores de Sistema (ISOs), abrindo caminho para um interesse crescente
nos Programas de Resposta Dinâmica dos Consumidores (DRPs) para lidar com esses desafios.
Assim, esta tese aborda os mercados de eletricidade com DR e sistemas de energia renovável
(RES) simultaneamente. Vários tipos de DRPs são desenvolvidos nesta tese em ambiente de
mercado, incluindo Programas de DR baseados em incentivos (IBDRPs), taxas baseadas no
tempo (TBRDRPs) e programas combinados (TBRDRPs) na integração de energia eólica. As
incertezas associadas à geração eólica são consideradas através de um modelo de
programação estocástica (SP) de dois estágios. Os DRPs são priorizados de acordo com as
necessidades económicas, técnicas e ambientais do ISO por meio da técnica para ordem de
preferência por similaridade com a solução ideal (TOPSIS). Os impactes dos DRPs na
elasticidade do preço e na função de benefÃcio ao cliente são abordados, incluindo as
sensibilidades dos parâmetros de DR e dos cenários de potência eólica. Finalmente, um
modelo estocástico de dois estágios é aplicado para resolver o problema numa abordagem de
programação linear inteira mista (MILP). O modelo proposto é testado num sistema IEEE
modificado para demonstrar o efeito da DR na redução do custo de operação
Tests of the Random Walk Hypothesis for Australian Electricity Spot Prices: An Application Employing Multiple Variance Ratio Tests
This paper examines whether Australian electricity spot prices follow a random walk. Daily peak and off-peak (base load) prices for New South Wales, Victoria, Queensland and South Australia are sampled over the period July 1999 to June 2001 and analysed using multiple variance ratio tests. The results indicate that the null hypothesis of a random walk can be rejected in all peak period and most off-period markets because of the autocorrelation of returns. For the Victorian market, the off-peak period electricity spot price follows a random walk. One implication of the study is that in most instances, stochastic autoregressive modelling techniques may be adequate for forecasting electricity prices.
Intermittency and the Value of Renewable Energy
A key problem with renewable energy is intermittency. This paper develops a method to quantify the social costs of large-scale renewable energy generation. The method is based on a theoretical model of electricity system operations that allows for endogenous choices of generation capacity investment, reserve operations, and demand-side management. We estimate the model using generator characteristics, solar output, electricity demand, and weather forecasts for an electric utility in southeastern Arizona. The estimated welfare loss associated with a 20% solar photovoltaic mandate is 11% higher than the average cost difference between solar generation and natural gas generation. Unforecastable intermittency yields welfare loss equal to 3% of the average cost of solar. Eliminating a mandate provision requiring a minimum percentage of distributed solar generation increases welfare. With a $21/ton social cost of CO2 this mandate is welfare neutral if solar capacity costs decrease by 65%.
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